A Multitude of Econometric Tests: Forecasting the Dutsch Guilder

Augustine C. Arize, Ioannis N. Kallianiotis, Ebere Ume Kalu, John Malindretos and Moschos Scoullis

International Journal of Economics and Finance, 2017, vol. 9, issue 9, 94-101

Abstract: This paper studies a diversity of exchange rate models, applies both parametric and nonparametric techniques to them, and examines said models¡¯ collective predictive performance. We shall choose the forecasting predictor with the smallest root mean square forecast error (RMSE); the empirical evidence for a better type of exchange rate model is in equation (34), although none of our evidence gives an optimal forecast. At the end, these models¡¯ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model¡¯s fundamental variables.

Keywords: efficiency; exchange rate determination; exchange rate policy; forecasting; foreign exchange (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijefaa:v:9:y:2017:i:9:p:94-101

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