Application of Smooth Transition Autoregressive (STAR) Models for the Real Exchange Rate in Algeria
Kamel Si MOHAMMED, Meryem MOUSLIM-DIB, Djamel ZEDDOUN, Abdelkrim BENAMEUR

Abstract
The purpose of this paper is model non-linearity in the real exchange rates upon monthly data for the period M1:1994 till M4: 2015 an application of logistic Smooth transition autoregressive (LSTAR) and exponential Smooth transition autoregressive (ESTAR) modeling to reel exchange rate in Algeria. Tests result reject linearity null hypothesis in favor nonlinearity alternative hypothesis. Our empirical analysis helps explain how the Algerian policy-makers will wish to take into consideration the nonlinear predictions as a forecasting method.

Full Text: PDF