Forecasting major Asian exchange rates using a new semiparametric STAR model

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• 作者：Nan Cai (1)
  Zongwu Cai (2) (3)
  Ying Fang (3)
  Qiuhua Xu (4)
  
  1. School of Public Finance and Taxation ; Northeastern University of Finance and Economics ; Dalian ; 116025 ; China
  2. Department of Economics ; University of Kansas ; Lawrence ; KS ; 66045 ; USA
  3. The Wang Yanan Institute for Studies in Economics ; MOE Key Laboratory of Econometrics (Xiamen University) ; Fujian Provincial Key Laboratory of Statistical Science ; Xiamen University ; Xiamen ; 361005 ; Fujian ; China
  4. The Wang Yanan Institute for Studies in Economics ; Xiamen University ; Xiamen ; 361005 ; Fujian ; China
  
• 关键词：Nonlinearity ; Out ; of ; sample forecasting ; Semiparametric estimation ; STAR model ; Time ; varying ; C53 ; C14 ; C21
• 刊名：Empirical Economics
• 出版年：2015
• 出版时间：February 2015
• 年：2015
• 卷：48
• 期：1
• 页码：407-426
• 全文大小：1,319 KB
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• 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-8921

文摘

To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance.