INFLATION TARGETING AND THE STATIONARITY OF INFLATION: NEW RESULTS FROM AN ESTAR UNIT ROOT TEST

In this paper, we examine the time series properties of inflation in seven countries that have adopted inflation targeting. Unlike previous studies, we utilize a non‐linear mean reverting adjustment mechanism for inflation and we discover that, although deviations of inflation from the target can exhibit a region of non‐stationary behaviour, overall they are stationary indicating successful targeting implementation.     

A note on some properties of the ESTAR model

Some properties of ESTAR models are derived. We demonstrate that these models can exhibit chaotic dynamics and multiple equilibria. We show that a nonchaotic deterministic model with added noise can produce a time series that (falsely) appears to be chaotic.     

非线性时间序列分析STAR模型及其在经济学中的应用

20世纪90年代末以来，非线性时间序列模型两个主要的研究方向是混沌论模型（chaos model）和机制转换模型（switching regime models），而后者考虑了各种不同形式的机制转换行为（switching regime behavior），通常被认为由三个最常见的机制转换模型组成。平滑转换自回归模型（STAR）由于能在某种程度上捕捉到机制转换过程中时间序列的动态过程，因而成为近年国外计量经济学前沿领域追踪的热点之一。本文将主要对平滑转换自回归模型（STAR）的特征、估计、检验方法以及在经济领域的应用做深入的探讨。