IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-1-137-45248-1_6.html
   My bibliography  Save this book chapter

Model Misspecification

In: Demystifying the Meese-Rogoff Puzzle

Author

Listed:
  • Imad A. Moosa

    (Monash University)

  • Kelly Burns

    (Curtin University)

Abstract

Model misspecification is put forward as a possible explanation for the Meese-Rogoff puzzle, in the sense that models fail to outperform the random walk because they are misspecified. However, three variations of exchange rate determination models (the post-Keynesian flow model, a version of the F-B model that distinguishes between traded and non-traded goods, and the F-B, D-F and H-M models without the proportionality and symmetry restrictions) cannot outperform the random walk in terms of the magnitude of the forecasting error. In contrast, when the forecasts of the three models are assessed by alternative measures of forecasting accuracy, a different conclusion is reached. The random walk can be outperformed by alternative model specifications only if forecasting accuracy is assessed by measures that do not rely exclusively on the magnitude of error.

Suggested Citation

  • Imad A. Moosa & Kelly Burns, 2015. "Model Misspecification," Palgrave Macmillan Books, in: Demystifying the Meese-Rogoff Puzzle, chapter 6, pages 73-88, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-45248-1_6
    DOI: 10.1057/9781137452481_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-1-137-45248-1_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.