The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa
In this article the out-of-sample forecasting performance of exchange rate determination is examined without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged depend...
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| Format: | Article |
| Language: | English |
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AOSIS
1995-06-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/825 |
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Article |
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doaj-e31b3bcfc0b146098de8c68d632bab732021-02-02T01:43:29ZengAOSISSouth African Journal of Business Management2078-55852078-59761995-06-01262647110.4102/sajbm.v26i2.825544The out-of-sample forecasting performance of variable parameter exchange rate models in South AfricaGilbert Wesso0Department of Statistics, University of the Western CapeIn this article the out-of-sample forecasting performance of exchange rate determination is examined without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged dependent variable. A Variable Parameter Regression (VPR) technique based on recursive application of the Kalman filter is used to improve the predictive performance of a class oi monetary exchange rate models.https://sajbm.org/index.php/sajbm/article/view/825 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Gilbert Wesso |
| spellingShingle |
Gilbert Wesso The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa South African Journal of Business Management |
| author_facet |
Gilbert Wesso |
| author_sort |
Gilbert Wesso |
| title |
The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa |
| title_short |
The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa |
| title_full |
The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa |
| title_fullStr |
The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa |
| title_full_unstemmed |
The out-of-sample forecasting performance of variable parameter exchange rate models in South Africa |
| title_sort |
out-of-sample forecasting performance of variable parameter exchange rate models in south africa |
| publisher |
AOSIS |
| series |
South African Journal of Business Management |
| issn |
2078-5585 2078-5976 |
| publishDate |
1995-06-01 |
| description |
In this article the out-of-sample forecasting performance of exchange rate determination is examined without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged dependent variable. A Variable Parameter Regression (VPR) technique based on recursive application of the Kalman filter is used to improve the predictive performance of a class oi monetary exchange rate models. |
| url |
https://sajbm.org/index.php/sajbm/article/view/825 |
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