Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/218140 
Authors: 
Year of Publication: 
1995
Citation: 
[Journal:] South African Journal of Business Management [ISSN:] 2078-5976 [Volume:] 26 [Issue:] 2 [Publisher:] African Online Scientific Information Systems (AOSIS) [Place:] Cape Town [Year:] 1995 [Pages:] 64-71
Publisher: 
African Online Scientific Information Systems (AOSIS), Cape Town
Abstract: 
In this article the out-of-sample forecasting performance of exchange rate determination is examined without imposing the restriction that coefficients are fixed over time. Both fixed and variable coefficient versions of conventional structural models are considered, with and without a lagged dependent variable. A Variable Parameter Regression (VPR) technique based on recursive application of the Kalman filter is used to improve the predictive performance of a class oi monetary exchange rate models.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.