Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate

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 Ri...

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Bibliographic Details
Main Authors: Liew, Venus Khim-Sen, Ahmad Zubaidi, Baharumshah
Format: Article
Language:English
Published: UPM 2002
Subjects:
HB Economic Theory
Online Access:http://ir.unimas.my/id/eprint/18590/
http://ir.unimas.my/id/eprint/18590/7/Performances%20of%20Non-linear%20Smooth%20Transition%20Autoregressive%20%28abstract%29.pdf

Internet

http://ir.unimas.my/id/eprint/18590/
http://ir.unimas.my/id/eprint/18590/7/Performances%20of%20Non-linear%20Smooth%20Transition%20Autoregressive%20%28abstract%29.pdf

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