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Working Paper
Some problems with identification in parametric models
Discussion Paper
The rational expectations approach to economic modelling
Working Paper
The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change
This study examines the out-of-sample forecasting performance of models of exchange rate determination without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged dependent variable. While our results on fixed coefficient models support most of the Meese and Rogoff conclusions, we find that when coefficients are allowed to change, an important subset of conventional models of the dollar-pound, the dollar-deutsche mark, and the dollar-yen exchange rates can ...
Discussion Paper
Convergence of the moments of the modified K-class estimators
Discussion Paper
The impossibility of causality testing