Pretesting for multi-step-ahead exchange rate forecasts with STAR models

Author:

Enders Walter,Pascalau Razvan

Publisher

Elsevier BV

Subject

Business and International Management

Reference32 articles.

1. Bec, F., Salem, M. B., & Carrasco, M. (2004). Detecting mean reversion in real exchange rates from a multiple regime STAR model. Mimeo, 509, University of Rochester—Center for Economic Research.

2. Why do regime-switching models forecast so badly?;Dacco;Journal of Forecasting,1999

3. Hypothesis testing when a nuisance parameter is present under the alternative;Davies;Biometrika,1987

4. Applied econometric time series;Enders,2010

5. Threshold-autoregressive, median-unbiased, and cointegration tests of purchasing power parity;Enders;International Journal of Forecasting,1998

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