| Summary: | 碩士 === 淡江大學 === 統計學系碩士班 === 104 === This paper uses the smoothing coefficients partially linear model to forecast Taiwan''s exchange rate by marco-economic fundamentals with the level of GDP growth rate. Based on the exchange rate data ranging from September of 2003 to November of 2014, we separate exchange rate data into training and test data, which the training data is used to build our model and estimate the coefficients, and the test data is used to check the performance of our model. Here, we build the model by controlling lagged periods of exchange rate data to forecast the exchange rate of next period with the fixed window, the moving window and the cumulative moving window method. In the procedure of build our model, we need to classify the coefficients of variables is varying or fix first, then use the generalized likelihood ratio test to check the significant of the relationship between Taiwan’s exchange rate and marco-economic fundamentals with the level of GDP growing rate. Our model can omit parametric model could lead to misspecification and incorrect policy prescription would be made.
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