Back to Search
Start Over
Testing forward exchange rate unbiasedness efficiently : a semiparametric approach
- Source :
- IndraStra Global.
- Publication Year :
- 2004
-
Abstract
- We apply semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric to study the efficiency of the foreign exchange market. We consider both cointegrating regressions and standard stationary regressions. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. We test the unbiasedness hypothesis on both weekly and daily exchange rate data and strongly reject unbiasedness at the weekly horizon, but fail to reject the unbiasedness hypothesis on the daily data. Estimates of the semiparametric procedure in some cases differ substantially from traditional OLS estimates.
- Subjects :
- HB Economic Theory
Multivariate statistics
Statistics::Theory
05 social sciences
Nonparametric statistics
Seemingly unrelated regressions
jel:C22
Semiparametric model
Statistics::Computation
Exchange rate
forward exchange market, time series econometrics, nonparametric statistics
0502 economics and business
Statistics
Econometrics
Economics
Forward exchange rate
Statistics::Methodology
Semiparametric regression
050207 economics
Forward exchange market
General Economics, Econometrics and Finance
050205 econometrics
Subjects
Details
- Language :
- English
- ISSN :
- 23813652
- Database :
- OpenAIRE
- Journal :
- IndraStra Global
- Accession number :
- edsair.doi.dedup.....8aa2caaecf80b4b2402af94cbd9dfad4