The Multitude of Econometric Tests: Forecasting the Dutsch Guilder

  •  Augustine Arize    
  •  Ioannis Kallianiotis    
  •  Ebere 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.

This work is licensed under a Creative Commons Attribution 4.0 License.