search query: @author Smith, J. / total: 31
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| Author: | Clements, M. P. Smith, J. |
| Title: | Evaluating forecasts from SETAR models of exchange rates |
| Journal: | Journal of International Money and Finance
2001 : FEB, VOL. 20:1, p. 133-148 |
| Index terms: | ECONOMETRIC MODELS ECONOMIC FORECASTING EXCHANGE RATES |
| Language: | eng |
| Abstract: | The authors consider the forecasting performance of two SETAR exchange rate models proposed by Kräger and Kugler (J. Int. Money Fin. 12, 1993, 195). Assuming that the models are good approximations to the data generating process, the authors show that whether the non-linearities inherent in the data can be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the "state of nature". |
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