حجت پارسا

Application of nonlinear time series models as a modern form of econometrics models has been rising from last decade. In this regard, exponential smooth transition autoregressive models, as one of the most important forms of nonlinear time series models, have attracted considerable attention due to modeling real exchange rate. The purpose of this study at first is introducing and then feasibility study on application of exponential smooth transition autoregressive model in estimation of real exchange rate behavior for the period of 1372:1- 1387:2. For this purpose, at first we introduce various aspects of ESTAR model, and investigate the behavior of its exponential smooth transition function and affecting factor on it, and then we survey the efficiency of application of this model in estimation of real exchange rate in Iran economy by using conventional econometric methods. The identification problem and the model estimation results suggest that the exponential smooth transition function and consequently ESTAR model has poor efficiency on modeling the real exchange rate in Iran economy