Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
Journal Title: Dynamic Econometric Models - Year 2017, Vol 17, Issue
Abstract
The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the likelihood ratio test, information criteria, and out of sample forecast accuracy measures.
Authors and Affiliations
Adrian Marek Burda, Błażej Mazur, Mateusz Paweł Pipień
Keywords
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- EP ID EP326073
- DOI 10.12775/DEM.2017.006
- Views 64
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