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Sampling Errors

In: Demystifying the Meese-Rogoff Puzzle

Author

Listed:
  • Imad A. Moosa

    (Monash University)

  • Kelly Burns

    (Curtin University)

Abstract

Some economists suggest that sampling errors may resolve the Meese-Rogoff puzzle and that the forecasting power of exchange rate models is sensitive to sample selection. It is also suggested that the length of the estimation window is important in that using additional historical observations enhances forecasting performance. Furthermore, it is suggested that the selection of the forecasting window impacts forecasting performance. We find that a narrower estimation or forecasting window cannot explain the Meese-Rogoff puzzle. In general we find that changing the sample period and using different forecasting and estimation windows does not make much difference.

Suggested Citation

  • Imad A. Moosa & Kelly Burns, 2015. "Sampling Errors," Palgrave Macmillan Books, in: Demystifying the Meese-Rogoff Puzzle, chapter 9, pages 105-115, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-45248-1_9
    DOI: 10.1057/9781137452481_9
    as

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