Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate
This study compares the performance of Smooth Transition Autoregressive (STAR) non-linear model and the conventional linear Autoregressive (AR) time series model in forecasting the Ringgit-Yen rate. Based on standard linearity test procedure, we find empirical evidence that the adjustment of the Ri...
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| Main Authors: | , |
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| Format: | E-Article |
| Language: | English |
| Published: |
UPM
2002
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18590/7/Performances%20of%20Non-linear%20Smooth%20Transition%20Autoregressive%20%28abstract%29.pdf http://ir.unimas.my/id/eprint/18590/ http://www.pertanika.upm.edu.my/JSSH.php |
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