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On the limitations of comṕaring mean square forecast errors: Comment

✍ Scribed by Robert F. Engle

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
184 KB
Volume
12
Category
Article
ISSN
0277-6693

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Meese, R. A. and Rogoff, K., 'Empirical exchange rate models of the seventies: do they fit out of sample?' Journal of International Economics, 14 (1983a). 1, 3-24. Meese, R. A. and Rogoff, K. 'The out-of-sample failure of empirical exchange rate models: sampling error or misspecification?', Chapter

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See Chinn and Meese (1992) for evidence and justification of constrained parameter values. They use x(r) = [ s ( t )log(rn(r)/rn\*(r)) + 0.75 log(y(f)/y\*(t)) -4.5(i(f) -i\*(r))l, where rn, y , and i are domestic money supply, real income, and interest rate proxies, respectively. Foreign values of t