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A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)
We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically tha
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