Long

Download or Read eBook Long PDF written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-01-01 with total page 22 pages. Available in PDF, EPUB and Kindle.
Long
Author :
Publisher : International Monetary Fund
Total Pages : 22
Release :
ISBN-10 : 9781451842265
ISBN-13 : 1451842260
Rating : 4/5 (65 Downloads)

Book Synopsis Long by : Mr.Lorenzo Giorgianni

Book excerpt: Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.


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