Exchange Rate Uncertainty and Trade Growth - A Comparison of Linear and Nonlinear (Forecasting) Models



Table VI: Average ranks of one step ahead forecast errors

Exports

Imports

Sec

AT

BE

CA

FI

FR

GE

GC

IR

IT

JP

NL

NO

SW

UK

US

agg

agg*

agg

agg*

0

LIN

2.56

2.66

2.65

2.81

2.63

2.52

2.77

^^275^

2.62

^215^^

2.88

3.08

2.92

2.26

2.56

2.70

2.75

2.78

2.80

THM

2.13

2.39

2.18

2.01

2.26

2.42

2.28

2.22

2.46

2.08

2.08

1.98

2.04

2.56

2.56

2.24

2.22

2.22

2.23

SPA

2.41

2.68

2.37

2.31

2.50

2.41

2.24

2.16

2.40

2.27

2.31

1.92

2.21

2.85

2.43

2.37

2.32

2.29

2.27

ZERO

2.91

2.27

2.80

2.88

2.60

2.64

2.71

2.88

2.52

2.80

2.73

3.03

2.83

2.33

2.45

2.69

2.71

2.70

2.69

I

^LIN

2.56

2.78

2.34

2.94

2.80

2.83

2.79

^^2^8^

2.98

^2J8^^

3.04

2.52

2.74

2.83

2.70

2.76

2.83

2.67

^^276^

THM

2.31

2.35

2.69

2.17

2.22

2.19

2.18

2.47

2.29

1.89

1.95

2.32

2.12

2.17

2.40

2.25

2.14

2.33

2.24

SPA

2.48

2.38

2.48

2.21

2.24

2.23

2.30

2.52

1.98

1.91

2.09

2.48

2.13

2.24

2.41

2.27

2.25

2.34

2.25

ZERO

2.66

2.48

2.48

2.68

2.74

2.76

2.74

2.43

2.74

3.22

2.92

2.68

3.02

2.76

2.49

2.72

2.79

2.66

2.75

2

LIN

2.58

2.42

2.78

2.94

2.64

2.39

3.00

2.76

2.98

2.92

2.85

2.71

2.48

2.49

2.65

2.70

2.76

2.73

2.74

THM

2.41

2.72

2.35

2.17

2.36

2.69

2.00

2.15

2.17

2.07

2.25

2.30

2.41

2.49

2.47

2.34

2.25

2.28

2.29

SPA

2.44

2.42

2.17

1.97

2.42

2.70

1.95

2.32

2.13

2.25

2.21

2.34

2.58

2.52

2.45

2.33

2.29

2.32

2.30

ZERO

2.57

2.44

2.70

2.92

2.58

2.22

3.05

2.77

2.71

2.77

2.69

2.65

2.53

2.49

2.43

2.63

2.69

2.66

2.67

3

LIN

2.83

2.57

2.32

2.96

2.82

2.38

3.16

2.14

2.73

2.46

2.67

2.45

2.74

2.62

2.74

2.63

2.74

2.83

2.80

THM

2.33

2.52

2.67

2.17

2.16

2.66

2.17

2.84

2.22

2.44

2.34

2.44

2.20

2.47

2.30

2.40

2.27

2.20

2.25

SPA

2.27

2.38

2.80

2.26

2.23

2.80

2.14

2.91

2.39

2.55

2.40

2.47

2.05

2.19

2.22

2.41

2.32

2.21

2.25

ZERO

2.57

2.52

2.22

2.61

2.79

2.16

2.54

2.11

2.67

2.55

2.59

2.64

3.01

2.73

2.74

2.56

2.67

2.77

2.69

4

LIN

2.73

2.76

2.39

2.67

2.70

2.50

2.63

2.77

2.86

^302^^

3.16

2.48

2.65

2.11

3.01

2.70

2.73

2.69

2.80

THM

2.07

2.27

2.48

2.57

2.43

2.31

2.38

2.17

2.26

1.96

1.73

2.68

2.43

3.04

1.99

2.32

2.26

2.34

2.24

SPA

2.32

2.36

2.81

2.34

2.23

2.22

2.58

2.38

1.99

2.18

2.02

2.64

2.13

2.77

2.16

2.34

2.30

2.32

2.25

ZERO

2.88

2.62

2.33

2.42

2.64

2.98

2.41

2.67

2.89

2.84

3.09

2.20

2.78

2.08

2.84

2.65

2.71

2.65

2.72

5

LIN

2.80

2.81

2.75

2.58

2.94

2.48

2.59

3.02

2.90

2.63

2.87

2.48

2.40

2.25

2.48

2.66

2.67

2.61

2.66

THM

2.19

2.23

2.29

2.43

2.05

2.45

2.53

1.98

2.08

2.28

2.10

2.42

2.46

2.81

2.58

2.32

2.36

2.44

2.41

SPA

2.48

2.33

2.32

2.39

2.07

2.43

2.41

2.18

2.22

2.33

2.49

2.38

2.58

2.70

2.42

2.38

2.38

2.36

2.30

ZERO

2.52

2.64

2.64

2.59

2.94

2.63

2.47

2.83

2.80

2.76

2.54

2.73

2.57

2.24

2.52

2.63

2.60

2.59

2.62

6

^^LIN

2.75

2.41

2.92

2.78

2.62

2.55

2.11

^^2752^

2.85

^2T4^

2.88

2.84

2.94

2.33

2.77

2.67

2.74

2.70

^^273^

THM

2.20

2.55

2.10

2.31

2.29

2.56

2.91

2.32

2.24

2.08

1.98

2.12

2.05

2.75

2.22

2.31

2.23

2.24

2.26

SPA

2.17

2.58

2.25

2.10

2.56

2.30

2.91

2.59

2.21

2.29

2.17

2.09

2.05

2.67

2.39

2.35

2.27

2.30

2.23

ZERO

2.88

2.47

2.73

2.81

2.52

2.59

2.07

2.57

2.70

2.89

2.97

2.95

2.96

2.25

2.62

2.67

2.76

2.76

2.77

7

^^LIN

2.52

2.38

2.79

2.49

2.62

2.97

2.44

"ɪss-

2.71

^2l68-

2.88

3.03

2.64

2.31

2.70

2.65

2.71

2.69

^^276^

THM

2.45

2.63

2.23

2.58

2.46

2.07

2.50

2.43

2.33

2.19

2.20

1.97

2.16

2.75

2.38

2.35

2.25

2.29

2.22

SPA

2.42

2.62

2.25

2.64

2.45

2.05

2.52

2.49

2.29

2.39

2.07

2.08

2.18

2.76

2.06

2.35

2.30

2.36

2.23

ZERO

2.61

2.38

2.73

2.28

2.47

2.92

2.55

2.54

2.67

2.73

2.86

2.92

3.02

2.18

2.87

2.65

2.74

2.66

2.79



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