The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …

mean changes and is hence compatible with long-run PPP. Nonlinear adjustment is modeled by means of an ESTAR model. Our … depreciation of the dollar in the 1980s and the ESTAR adjustment appears to play an important role. …

Rapach and Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is … also illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions …

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …

The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange … study shows that the non-linearity in the point forecasts of the ESTAR model decrease as the forecast horizon increases …. Multiple steps ahead density forecasts of the ESTAR model are approximately normal looking, with no signs of skewness or …

Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is the … illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions to a simple …

roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit … means of a Monte Carlo study. The chosen parametrization is obtained by real-life exchange rates. The test against ESTAR has …

literature is five-fold: First, we compare ESTAR and MSAR models from a unit root perspective. To this end, we propose a new unit … Carlo setup with real world parameter constellations. The ESTAR unit root test is not indicative, while the MSAR unit test … is robust. Fourthly, we consider the case of correctly specified alternatives and observe low power of the ESTAR but not …

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …