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When Are Pooled Panel‐Data Regression Forecasts of Exchange Rates More Accurate than the Time‐Series Regression Forecasts?
16 references·0 citing·48 second hopsampled
When Are Pooled Panel‐Data Regression Forecasts of Exchange Rates More Accurate than the Time‐Series Regression Forecasts? (2012)When Are Pooled Panel‐Data Regression For…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…Exchange rate forecasting: the errors we’ve really made (2003)Exchange rate forecasting: th…Testing the monetary model of exchange rate determination: new evidence from a century of data (2002)Testing the monetary model of…Nominal exchange rates and monetary fundamentals (2001)Nominal exchange rates and mo…The monetary exchange rate model as a long-run phenomenon (2000)The monetary exchange rate mo…Predictive regressions (1999)Predictive regressionsReal Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …A panel project on purchasing power parity: Mean reversion within and between countries (1996)A panel project on purchasing…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Banking on currency forecasts: How predictable is change in money? (1995)Banking on currency forecasts…Testing the Predictive Power of Dividend Yields (1993)Testing the Predictive Power …Drawing inferences from statistics based on multiyear asset returns (1989)Drawing inferences from stati…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Purchasing Power Parity in the Long Run (1990)Perspectives on PPP and Long-Run Real Exchange Rates (1994)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Panel unit root tests under cross‐sectional dependence (2005)Permanent and Temporary Components of Stock Prices (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Multifractality in Asset Returns: Theory and Evidence (2002)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)How do business and financial cycles interact? (2012)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Expected Stock Returns and Variance Risk Premia (2009)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The short of it: Investor sentiment and anomalies (2011)International Financial Adjustment (2007)Exchange Rate Predictability (2013)
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1999Predictive regressions1,614 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1996A panel project on purchasing power parity: Mean reversion within and between countries681 cited
  • 1989Drawing inferences from statistics based on multiyear asset returns410 cited
  • 2001Nominal exchange rates and monetary fundamentals402 cited
  • 1993Testing the Predictive Power of Dividend Yields376 cited
  • 1995Banking on currency forecasts: How predictable is change in money?373 cited
  • 2002Testing the monetary model of exchange rate determination: new evidence from a century of data287 cited
  • 2003Exchange rate forecasting: the errors we’ve really made244 cited

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  • 2000The monetary exchange rate model as a long-run phenomenon177 cited
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