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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| Format: | Article |
| Language: | English |
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UPM
2002
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| 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 |
| _version_ | 1848838544992239616 |
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| author | Liew, Venus Khim-Sen Ahmad Zubaidi, Baharumshah |
| author_facet | Liew, Venus Khim-Sen Ahmad Zubaidi, Baharumshah |
| author_sort | Liew, Venus Khim-Sen |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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 Ringgit-Yen rate towards its long-run Purchasing Power Parity equilibrium follows a non-linearity path. In terms of forecasting ability, results of this study suggest that both
the STAR and AR models exceed or match the performance of SRW model based mean absolute forecast error (MAFE) mean absolute percentage forecast error (MAPFE) and mean square forecast error (RMSFE). The results also show that the STAR model outperforms the AR model,
its linear competitor. Our finding is consistent with the emerging line of research that emphasised
the importance of allowing non-linearity in the adjustment of exchange rate toward its long run
equilibrium. |
| first_indexed | 2025-11-15T06:57:15Z |
| format | Article |
| id | unimas-18590 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:15Z |
| publishDate | 2002 |
| publisher | UPM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-185902017-11-27T07:13:13Z http://ir.unimas.my/id/eprint/18590/ Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate Liew, Venus Khim-Sen Ahmad Zubaidi, Baharumshah HB Economic Theory 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 Ringgit-Yen rate towards its long-run Purchasing Power Parity equilibrium follows a non-linearity path. In terms of forecasting ability, results of this study suggest that both the STAR and AR models exceed or match the performance of SRW model based mean absolute forecast error (MAFE) mean absolute percentage forecast error (MAPFE) and mean square forecast error (RMSFE). The results also show that the STAR model outperforms the AR model, its linear competitor. Our finding is consistent with the emerging line of research that emphasised the importance of allowing non-linearity in the adjustment of exchange rate toward its long run equilibrium. UPM 2002 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18590/7/Performances%20of%20Non-linear%20Smooth%20Transition%20Autoregressive%20%28abstract%29.pdf Liew, Venus Khim-Sen and Ahmad Zubaidi, Baharumshah (2002) Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate. Pertanika Journal of Social Sciences & Humanities, 10 (2). pp. 131-141. ISSN 0128-7702 http://www.pertanika.upm.edu.my/JSSH.php |
| spellingShingle | HB Economic Theory Liew, Venus Khim-Sen Ahmad Zubaidi, Baharumshah Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate |
| title | Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate |
| title_full | Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate |
| title_fullStr | Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate |
| title_full_unstemmed | Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate |
| title_short | Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate |
| title_sort | performances of non-linear smooth transition autoregressive and linear autoregressive models in forecasting the ringgit-yen rate |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18590/ 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 |