Narrow search
Showing 1 - 10 of 15
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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