The Multitude of Econometric Tests: Forecasting the Dutsch Guilder

Augustine C. Arize, Ioannis N. Kallianiotis, Ebere Ume Kalu, John Malindretos, Moschos Scoullis


This paper studies a diversity of exchange rate models, applies both parametric and nonparametric techniques to them, and examines said models’ collective predictive performance. We shall choose the forecasting predictor with the smallest root mean square forecast error (RMSE); the empirical evidence for a better type of exchange rate model is in equation (34), although none of our evidence gives an optimal forecast. At the end, these models’ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model’s fundamental variables.

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Copyright (c) 2017 Augustine C. Arize, Ioannis N. Kallianiotis, Ebere Eme Kalu, John Malindretos, Moschos Scoullis

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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)  Email:

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