Exchange Rate Expectations and Functional Misspecification

Exchange Rate Expectations and Functional Misspecification

We employ the Cooley-Prescott adaptive model to examine for functional misspecification in three commonly used exchange rate expectation models. We also test for heterogeneity among forecasts. We find no serious misspecification problem but some heterogeneity in expectations. These test results are...

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Veröffentlicht in:The review of economics and statistics 1994-05, Vol.76 (2), p.393-398
Hauptverfasser: Boyd, Roy, Doroodian, Khosrow
Format: Artikel
Sprache:eng
Schlagworte:
Coefficients
Currency
Economic expectations
Economic forecasts
Economic models
Economic statistics
Economic theory
Exchange rates
Foreign exchange
Foreign exchange rates
Interest rates
Investors
Manycountries
Null hypothesis
Rational expectations
Regression analysis
Statistical analysis
Studies
Survey data
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Zusammenfassung:We employ the Cooley-Prescott adaptive model to examine for functional misspecification in three commonly used exchange rate expectation models. We also test for heterogeneity among forecasts. We find no serious misspecification problem but some heterogeneity in expectations. These test results are confirmed by various other regression specification tests.
ISSN:0034-6535
1530-9142
DOI:10.2307/2109899