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The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior

  • Rapach, David E.
  • Wohar, Mark E.

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File URL: http://www.sciencedirect.com/science/article/pii/S0169-2070(05)00116-0
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 22 (2006)
Issue (Month): 2 ()
Pages: 341-361

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Handle: RePEc:eee:intfor:v:22:y:2006:i:2:p:341-361
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  16. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
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  22. O'Connell, P. G. J., 1998. "Market frictions and real exchange rates1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 71-95, February.
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  30. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  31. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
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  36. Clements, Michael P & Smith, Jeremy, 1999. "A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 123-41, March-Apr.
  37. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
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