Performances of non-linear smooth transition autoregressive and linear autoregressive models in forecasting the Ringgit-Yen rate
This study compares the performance of Smooth Transition Autoregressive (STAR) non-linear model and the conventional linear Autoregressive (AR) time series model in forecasting the Ringgit-Yen rate. Based on standard linearity test procedure, we find empirical evidence that the adjustment of the Rin...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2002
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| Online Access: | http://psasir.upm.edu.my/id/eprint/3364/ http://psasir.upm.edu.my/id/eprint/3364/ http://psasir.upm.edu.my/id/eprint/3364/1/Performances_of_Non-linear_Smooth_Transition_Autoregressive_and_Linear.pdf |