The out-of-sample forecasting performances of two univariate time series presentations for the USD/DEM real exchange rate are compared using quarterly data for the period 1957Q1-1998Q4.The linear AR process is frequently fitted to real exchange rate series because it is sufficient for capturing...

The out-of-sample forecasting performances of two univariate time series presentations for the USD/DEM real exchange rate are compared using quarterly data for the period 1957Q1-1998Q4. The linear AR process is frequently fitted to real exchange rate series because it is sufficient for capturing...

This article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and actually tests for the null of interest, i.e. purchasing power parity. Our results are based...

The out-of-sample forecasting performances of two univariate time series presentations for the USD/DEM real exchange rate are compared using quarterly data for the period 1957Q1-1998Q4. The linear AR process is frequently fitted to real exchange rate series because it is sufficient for capturing...

This paper considers forecast combination in a predictive regression. We construct the point forecast by combining predictions from all possible linear regression models given a set of potentially relevant predictors. We propose a frequentist model averaging criterion, an asymptotically unbiased...

This paper considers model averaging in spectral density estimation. We construct the spectral density function by averaging the autoregressive coefficients from all potential autoregressive models and investigate the autoregressive spectral averaging estimator using weights that minimize the...

This paper develops a simple long-difference transformation for estimation and inference in general AR(1) models. As in Phillips and Han (2008), a Gaussian limit theory with a convergence rate of $\sqrt{T}$ is available, whether or not a unit root is present in the process. Yet, the novelties of...

This paper considers forecast combination in a predictive regression. We construct the point forecast by combining predictions from all possible linear regression models given a set of potentially relevant predictors. We propose a frequentist model averaging criterion, an asymptotically unbiased...

In this paper we study the determination of housing prices. We are particularly interested in how monetary policy affects housing prices. First we derived the explanatory variables for housing prices from the utility maximisation framework. In this setting housing prices are determined by...