Palgrave Handbook of Econometrics: Applied Econometrics

1052 The Econometrics of Exchange Rates e.g., Blanchard and Watson, 1982; Evans, 1991). The bubble proposed by Evans takes the f ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1053 sup r∈[r 0 ,1] ADFr⇒ sup r∈[r 0 ,1] ∫r 0 WdW ∫r 0 W^2 , (22.77) whereWde ...

1054 The Econometrics of Exchange Rates A general “prediction” equation that nests all models under examination is: st+k=a0,k+a1 ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1055 by a no-change model: st+k−st=εt+k, k=1, 4, 8, 12, 16 quarters, (22.79) ...

1056 The Econometrics of Exchange Rates Repeat steps 2 and 3 2,000 times so as to obtain bootstrap distributions and the corres ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1057 contain predictive power at long horizons without the presence of short- ...

1058 The Econometrics of Exchange Rates Kilian extends the sample period from 1991:4 to 1997:4 and applies both Mark’s bootstrap ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1059 errors of the RW and the difference of the forecasts errors of the two m ...

1060 The Econometrics of Exchange Rates more short horizon predictability for Germany and more long-horizon predictabil- ity for ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1061 The MS model employed can be written as (see Hamilton, 1994): rt=α(St)+β ...

1062 The Econometrics of Exchange Rates TheilU-statistics than forecasts based on the revised data, indicating the superiority o ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1063 wherexjo,tdenotes order flow from end-user segmentj. Six end-user segmen ...

1064 The Econometrics of Exchange Rates but, as the horizon increases, the value ofR^2 becomes larger and reaches a maxi- mum at ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1065 bootstrapp-values indicate that the null hypothesis of no cointegration ...

1066 The Econometrics of Exchange Rates anticipation of a change in policy regime has been an important focus of the analysis of ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1067 poor estimates, on average, of the cointegrating vector, with a range of ...

1068 The Econometrics of Exchange Rates The order of autoregression is chosen through inspection of the PACF function ofy∗t. In ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1069 exercise he shows that standard information criteria (AIC, SC, HQ) have ...

1070 The Econometrics of Exchange Rates Whenstandftare integrated variables, a regression ofst+nonftwill give the same coeffici ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1071 whereiandi∗are the domestic and foreign nominal interest rates,pandp∗are ...