A vector time series model of the form A(L)y(t)+B(L)x(t)=e(t), is known as a vector autoregressive model with exogenous variables (VARX model) and involves a regressand vector y(t) and a regressor vector x(t). This chapter provides a method for the recursive fitting of subset VARX models. It...

A vector autoregressive model with exogenous variables (VARX model) involves a regressand vector y(t) and a regressor vector x(t). This chapter provides a method for the recursive fitting of subset VARX models. It suggests the use of ascending recursions in conjunction with an order selection...

We investigate and construct forecasting models for the exchange rate of the Indonesian rupiah against the US dollar. Monthly data for three variables; exchange rate, interest rate and foreign reserves were employed in the Economic Forecasting Program (EFP) to obtain the forecasting results. The...

In this chapter, we analysing and forecasting the New Taiwanese Dollar against the US dollar. Forecasting models were tested using the three variables; exchange rate, money supply and Balance Remittance. Both VAR and VARMA models accurately predicted turning points and no false fluctuations were...

In this chapter, economic forecasting techniques were used to forecast the exchange rate of the New Taiwan (N.T.) dollar, given that there is a tolerable amount of favourable trade balance between Taiwan and the US. To test this monthly data for the economic variables; Taiwanese exchange rate...