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 …

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. …