{"title":"预测欧元/兹罗提汇率:购买力平价假说在ESTVEC模型中的作用","authors":"A. Burda, Błażej Mazur, Mateusz Pipień","doi":"10.12775/DEM.2017.006","DOIUrl":null,"url":null,"abstract":"The purpose of this paper is to verify empirical consequences of imposing various forms of purchasing power parity (PPP) within a class of smooth transition vector error correction models (ESTVECM) for analysis of EUR/PLN exchange rage. Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the like-lihood ratio test, information criteria, and out of sample forecast accuracy measures.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"17 1","pages":"97-114"},"PeriodicalIF":0.0000,"publicationDate":"2017-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models\",\"authors\":\"A. Burda, Błażej Mazur, Mateusz Pipień\",\"doi\":\"10.12775/DEM.2017.006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The purpose of this paper is to verify empirical consequences of imposing various forms of purchasing power parity (PPP) within a class of smooth transition vector error correction models (ESTVECM) for analysis of EUR/PLN exchange rage. Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the like-lihood ratio test, information criteria, and out of sample forecast accuracy measures.\",\"PeriodicalId\":31914,\"journal\":{\"name\":\"Dynamic Econometric Models\",\"volume\":\"17 1\",\"pages\":\"97-114\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-12-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Dynamic Econometric Models\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12775/DEM.2017.006\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dynamic Econometric Models","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12775/DEM.2017.006","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
The purpose of this paper is to verify empirical consequences of imposing various forms of purchasing power parity (PPP) within a class of smooth transition vector error correction models (ESTVECM) for analysis of EUR/PLN exchange rage. Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the like-lihood ratio test, information criteria, and out of sample forecast accuracy measures.