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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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Understanding forecast failure of ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 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/10011113585
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The Model of Commodity Prices after Sir Arthur Lewis Revisited
Ghoshray, A.; Perera, A. - Department of Economics, University of Bath - 2011
This paper builds on the work of Deaton and Laroque (2003) by formulating a nonlinear model of commodity prices. The paper makes three distinct contributions. First, a nonlinear model is constructed that explains long-run dynamics of commodity price behavior; secondly, more recent data is...
Persistent link: https://www.econbiz.de/10010900684
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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
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Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era
Baum, Christopher; Caglayan, Mustafa; Barkoulas, John - Department of Economics, Boston College - 1998
smooth transition autoregressive (ESTAR) models of deviations from PPP using both CPI- and WPI-based measures for a broad set …
Persistent link: https://www.econbiz.de/10005102709
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Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
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 …
Persistent link: https://www.econbiz.de/10005103385
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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 - Volkswirtschaftliche Fakultät, … - 2008
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 …
Persistent link: https://www.econbiz.de/10005621893
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Nonlinear Price Transmission in Wheat Export Prices
Ghoshray, Atanu - Department of Economics, University of Bath - 2009
This paper attempts to model the price relationship between the major exporters of wheat. The motivation of such research is to reveal whether prices are integrated and whether potential nonlinearities in price adjustment exist. Given the perception that transactions costs may be highly variable...
Persistent link: https://www.econbiz.de/10008477208
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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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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