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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009
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. …
Persistent link: https://www.econbiz.de/10011496091
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Nonlinear dynamics of real exchange rates for sectoral data
Kim, Jaebeom; Moh, Young-kyu - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 146-151
Persistent link: https://www.econbiz.de/10009159753
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - 2009 - This Version : July 23, 2009
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. …
Persistent link: https://www.econbiz.de/10011523710
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Testing for nonlinear panel unit roots under cross-sectional dependency : with an application to the PPP hypothesis
Månsson, Kristofer; Sjölander, Pär - In: Economic modelling 38 (2014), pp. 121-132
Persistent link: https://www.econbiz.de/10010418139
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What can we learn about the real exchange rate behavior in the case of a peripheral country?
Ftiti, Zied; Chaouachi, Slim - In: Journal of quantitative economics 16 (2018) 3, pp. 681-707
Persistent link: https://www.econbiz.de/10012418583
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Investigation of the nonlinear behaviour in real exchange rates in developing regions
Karlsson, Hyunjoo Kim; Månsson, Kristofer; Sjölander, Pär - In: Applied economics letters 25 (2018) 5, pp. 335-339
Persistent link: https://www.econbiz.de/10011854514
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A new unit root test based on F-statistic in ESTAR framework
Wang, Shaoping; Yu, Jiyu - In: Applied economics letters 24 (2017) 19, pp. 1412-1416
Persistent link: https://www.econbiz.de/10011852649
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A new unit root test against asymmetric ESTAR nonlinearity with smooth breaks
Ranjbar, Omid; Chang, Tsangyao; Elmi, Zahra Mila; Lee, … - In: Iranian economic review : journal of University of Tehran 22 (2018) 1, pp. 51-62
Persistent link: https://www.econbiz.de/10011977114
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A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)
Buncic, Daniel - School of Economics, UNSW Business School - 2008
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 …
Persistent link: https://www.econbiz.de/10005135159
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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Economics and Econometrics Research Institute (EERI) - 2009
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. …
Persistent link: https://www.econbiz.de/10005092403