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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

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

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

Persistent link: https://www.econbiz.de/10011523710

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

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

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

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

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

New unit root tests in the nonlinear ESTAR framework : the movement and volatility characteristics of crude oil and copper prices

Li, Yanglin - In: Computational economics 63 (2024) 5, pp. 1757-1776

Persistent link: https://www.econbiz.de/10014549246

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