Testing Fiscal Reaction Function in Iran: An Application of Nonlinear Dickey-Fuller (NDF) Test
Publish place: Iranian Economic Review Journal، Vol: 21، Issue: 3
Publish Year: 1396
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IER-21-3_006
تاریخ نمایه سازی: 21 مهر 1402
Abstract:
Abstract T his paper is to convince the usage of the nonlinear unit root tests when dealing with a nonlinear model. To do so, the stationary test for variables in a model titles “Fiscal Reaction Function in Iran” has been applied according to both the ordinary and the Nonlinear Dickey-Fuller (NDF) tests. Results show that while variables under investigation are stationary in a nonlinear form, augmented Dickey-Fuller test indicates tendency to fail and reject the null hypothesis of a unit root in the presence of nonlinear dynamics. Therefore based on the results of Nonlinear Dickey-Fuller (NDF), the paper estimates the fiscal reaction function (FRF) in Iran. The estimated nonlinear regression supports a threshold behavior of two regimes in applying the fiscal reaction. Finally, findings confirm that fiscal policy in Iran is countercyclical though not sensitive in order to react to accumulation of the government debt.
Keywords:
Keywords: Unit Root Test , Nonlinear Dickey-Fuller (NDF) Test , STR Model , Fiscal Reaction Function , Iran. JEL classification: C۲۲ , E۳۲ , H۶۲ , H۶۳
Authors
Ahmad Jafari Samimi
Department of Economics, University of Mazandaran, Mazandaran, Iran
Saeed Karimi Petanlar
Department of Economics, University of Mazandaran, Mazandaran, Iran
Jalal Montazeri Shoorekchali
Department of Economics, University of Mazandaran, Mazandaran, Iran
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