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. …

of the empirical literature applies ESTAR models and neglects the existence of other competing nonlinear models. Among … literature is fivefold: First, ESTAR and MSAR models from a unit root perspective are compared. To this end, a new unit root test … with real world parameter constellations is studied. The ESTAR unit root test is not indicative, while the MSAR unit test …

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. …