SETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities
نویسندگان
چکیده
منابع مشابه
patterns and variations in native and non-native interlanguage pragmatic rating: effects of rater training, intercultural proficiency, and self-assessment
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چکیده ندارد.
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متن کاملSmall sample properties of the conditional least squares estimator in SETAR models
This note considers the small sample performance of the conditional least squares estimator of the threshold parameters in nonlinear threshold and particularly self exciting threshold autoregressive (SETAR) models. It is shown that despite the superconsistency of the threshold parameter estimates the estimator performs poorly in samples of sizes usually encountered in macroeconomics. 2000 Els...
متن کاملOn SETAR Non-linearity and Forecasting
We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR model. A range of newly-developed forecast evaluation techniques are employed. Our simulation results show that time-series data need to exhibit a substantial degree of non-linearity before the SETAR model is favoured on some of these criteria. We find only weak evidence that ...
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ژورنال
عنوان ژورنال: Mathematics and Statistics
سال: 2017
ISSN: 2332-2071,2332-2144
DOI: 10.13189/ms.2017.050105