Escribano, A.

model outlier speci cation procedures procedure lstar series exchange decision rules linearity estar table exchange rates observation terasvirta function decision exchange rate power cation speci price estar model presence nonlinearity transition panel star models hypothesis lstar model value frequency parameter statistic silver return escribano weight erent section p-value nonlinear figure time series signi cance level gm estimation procedure property linearity tests jorda journal economic transaction costs lm-type tests level star model process point estimation cance paper signi transaction middle panel increase exchange rate series behavior lm-type test statistics result sample additive power parity van dijk testing silver prices replication rejection frequencies alternative 1000 replications transition autoregressive models universidad carlos iii