Combined forecasts from a linear and a nonlinear model areinvestigated for timeseries with possibly nonlinear characteristics. The forecasts arecombined by aconstant coefficient regression method as well as a time varyingmethod. Thetime varying method allows for a locally (non)linear model....

Pure time series-based tests fail to find empirical support formonetary exchange rate models. In this paper we apply pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance with the underlyingtheory. Based on a panel version of...