Since 2014
Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
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| Creator |
Burda, Adrian Marek; Cracow University of Economics
Mazur, Błażej; Cracow University of Economics Pipień, Mateusz Paweł; Cracow University of Economics |
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| Subject |
PPP; ESTVECM; cointegration; exchange rate forecasting
C32; F31; F37 |
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| Description |
The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). 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 likelihood ratio test, information criteria, and out of sample forecast accuracy measures.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
National Science Center based on decision number UMO-2014/13/N/HS4/03593, funds granted to the Faculty of Management, Cracow University of Economics within the framework of the subsidy for the maintenance of research potential
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| Date |
2017-12-29
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2017.006
10.12775/DEM.2017.006 |
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| Source |
Dynamic Econometric Models; Vol 17 (2017); 97-114
Dynamic Econometric Models; Vol 17 (2017); 97-114 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2017.006/13875
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| Rights |
Copyright (c) 2018 Dynamic Econometric Models
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