In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...

In this paper nonlinear structures in German bank stock returns are investigated in a stochastic modelling framework. In the first step we show the existence of a nonlinear return structure by means of the McLeod-Li and the BDS test. In the second step we focus our analysis on the kinds of...

This paper considers the use of smooth transition autoregressive models for forecasting. First, the modelling of time series with these nonlinear models is discussed. Techniques for obtaining multiperiod forecasts are presented. The usefulness of forecast densities in the case of nonlinear...

The paper tests whether or not the effects on sectoral wages of internal and external factors depend upon the sector’s relative wage position. The key hypothesis is that workers in low—wage sectors are more concerned with relative wages than workers in high wage sectors. To test the...