Performances of non-linear smooth transition autoregressive and linear autoregressive models in forecasting the Ringgit-Yen rate

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Liew, Khim Sen, Baharumshah, Ahmad Zubaidi
Format:	Article
Language:	English
Published:	Universiti Putra Malaysia Press 2002
Online Access:	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

Similar Items

Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2006)

Forecasting performance of exponential smooth transition autoregressive exchange rate models
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2006)

Assessing the forecastibility of ESTAR Models: Evidence from ringgit/yen Rate
by: Liew, Venus Khim-Sen, et al.
Published: (2007)

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
by: Liew, Venus Khim Sen, et al.
Published: (2003)

Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen
by: Liew, Venus Khim-Sen
Published: (2009)

Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
by: Livingston, G., et al.
Published: (2019)

Non-Linear Autoregressive with exogenous input (Narx) chiller plant prediction model
by: Azlee, Zabidi, et al.
Published: (2021)

Parameter estimation of smooth threshold autoregressive models.
by: Nur, Darfiana
Published: (1998)

Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2010)

Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models
by: Livingston, G., et al.
Published: (2018)

Bayesian inference for smooth transition autoregressive (STAR) model: A prior sensitivity analysis
by: Livingston, G., et al.
Published: (2017)

Application of bioelectrical impedance sensing techniques for dengue infection with non-linear autoregressive model
by: Abdul Rahim, H., et al.
Published: (2011)

The Real Interest Rate Differential : International Evidence Based On Non-Linear Unit Root Tests
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2009)

The real interest rate differential : international evidence based on non-linear unit root tests.
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2009)

Non-linearities in real interest rate parity : evidence from OECD and Asian developing economies.
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2010)

Non-Linearity In Monetary Models Of Exchange Rate In Five Asean Countries
by: Liew, Khim Sen
Published: (2008)

Autoregressive method in short term load forecast
by: N.S., Kamel, et al.
Published: (2008)

Estimation of the Autoregressive Order in the Presence of Measurement Errors
by: Terence, Tai-Leung Chong, et al.
Published: (2006)

Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
by: Liew, Venus Khim-Sen, et al.
Published: (2005)

Performance of Autoregressive Order Selection Criteria: A Simulation Study
by: Liew, Venus Khim-Sen, et al.
Published: (2008)

Performance of autoregressive order selection criteria: a simulation study
by: Liew, Venus Khim-Sen, et al.
Published: (2008)

Forecasting Performance of Logistic STAR Exchange Rate Model: The Original and Reparameterised Versions
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
by: Abdlaziz, Rizgar Abdlkarim, et al.
Published: (2016)

Short term load forecast using burg autoregressive technique
by: Z., Baharudin, et al.
Published: (2007)

Exchange rates forecasting model: an alternative estimation procedure
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2004)

Episodic Non-Linearity And Non-Stationarity In Asean Exchange Rates Returns Series
by: Lim, Kian-Ping, et al.
Published: (2003)

Autoregressive Integrated Moving Average Model(Arima)For Forecasting Wind Speed.
by: A, Shamshad, et al.
Published: (2003)

A robust vector autoregressive model for forecasting economic growth in Malaysia
by: Khamis, Azme, et al.
Published: (2018)

Non-linear cointegration and adjustment: exponential smooth-transition model for Malaysian export demand
by: Duasa, Jarita
Published: (2012)

Generalized Space-Time Autoregressive (GSTAR) for forecasting air pollutant index in Selangor
by: Nur Maisara Mohamed,, et al.
Published: (2023)

Generalized space-time autoregressive (GSTAR) for forecasting Air Pollutant Index in Selangor
by: Mohamed, Nur Maisara, et al.
Published: (2023)

Generalized autoregressive conditional correlation
by: McAleer, M., et al.
Published: (2008)

Modelling and Forecasting the Kuala Lumpur Composite Index Rate of Returns Using Generalised Autoregressive Conditional Heteroscedasticity Models
by: Abdul Muthalib, Maiyastri
Published: (2004)

The Validity of PPP Revisited: An Application of Non-linear Unit Root Test
by: Liew, Venus Khim-Sen
Published: (2003)

Estimation of the Autoregressive Order in the Presence of Measurement Errors
by: Terence, Tai-Leung Chong, et al.
Published: (2006)

The stock market and the ringgit exchange rate: A note
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2002)

Electricity consumption forecasting using Nonlinear Autoregressive with External (Exogeneous) input neural network
by: K. G., Tay, et al.
Published: (2019)