How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models
This study compares the forecasting performance between Smooth Transition Autoregressive (STAR) non-linear model and the conventional linear Autoregressive (AR) time series model using the simple random walk (SRW) model as the standard reference model. To accomplish this objective, quarterly freque...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UPM
2002
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| Online Access: | http://ir.unimas.my/id/eprint/18597/ http://ir.unimas.my/id/eprint/18597/7/How%20Well%20the%20Ringgit-Yen%20Rate%20Fits%20%28abstract%29.pdf |
| _version_ | 1848838546451857408 |
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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 forecasting performance between Smooth Transition Autoregressive (STAR) non-linear model and the conventional linear Autoregressive (AR) time series model
using the simple random walk (SRW) model as the standard reference model. To accomplish this objective, quarterly frequency exchange rate data, which is well known for its non-linear adjustment towards purchasing power parity equilibrium path is employed. The empirical results 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 outperform the AR model, its linear competitor. This 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 | 2025-11-15T06:57:16Z |
| format | Article |
| id | unimas-18597 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:57:16Z |
| publishDate | 2002 |
| publisher | UPM |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-185972017-11-27T06:21:59Z http://ir.unimas.my/id/eprint/18597/ How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models Liew, Venus Khim-Sen Ahmad Zubaidi, Baharumshah HB Economic Theory This study compares the forecasting performance between Smooth Transition Autoregressive (STAR) non-linear model and the conventional linear Autoregressive (AR) time series model using the simple random walk (SRW) model as the standard reference model. To accomplish this objective, quarterly frequency exchange rate data, which is well known for its non-linear adjustment towards purchasing power parity equilibrium path is employed. The empirical results 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 outperform the AR model, its linear competitor. This 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 2002-01 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18597/7/How%20Well%20the%20Ringgit-Yen%20Rate%20Fits%20%28abstract%29.pdf Liew, Venus Khim-Sen and Ahmad Zubaidi, Baharumshah (2002) How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models. Pertanika Journal of Social Science and Humanities, 10 (2). pp. 1-15. ISSN 0128-7702 |
| spellingShingle | HB Economic Theory Liew, Venus Khim-Sen Ahmad Zubaidi, Baharumshah How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models |
| title | How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models |
| title_full | How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models |
| title_fullStr | How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models |
| title_full_unstemmed | How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models |
| title_short | How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models |
| title_sort | how well the ringgit-yen rate fits the non-linear smooth transition autoregressive and linear autoregressive models |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/18597/ http://ir.unimas.my/id/eprint/18597/7/How%20Well%20the%20Ringgit-Yen%20Rate%20Fits%20%28abstract%29.pdf |