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http://hdl.handle.net/10553/49195
| Title: | Testing nonlinear forecastability in time series: Theory and evidence from the EMS | Authors: | Fernández-Rodríguez, Fernando Sosvilla Rivero,Simón Javier |
UNESCO Clasification: | 5302 Econometría | Issue Date: | 1998 | Journal: | Economics Letters | Abstract: | This paper proposes a procedure, based on nearest-neighbour predictors, for testing the existence of nonlinear forecastable dependencies in time series. An empirical application to EMS exchange rates illustrates the performance of the test. | URI: | http://hdl.handle.net/10553/49195 | ISSN: | 0165-1765 | Source: | Economics Letters[ISSN 0165-1765],v. 59, p. 49-63 |
| Appears in Collections: | Artículos |
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