Most non-linear techniques give good in-sample ยฎts to exchange rate data but are usually outperformed by random walks or random walks with drift when used for out-of-sample forecasting. In the case of regime-switching models it is possible to understand why forecasts based on the true model can have
Alternative regime switching models for forecasting inflation
โ Scribed by Prasad V Bidarkota
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 196 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0277-6693
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