Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity
This paper draws attention to the limitations of the standard unit root/cointegration approach to economic and financial modelling, and to some of the alternatives based on the idea of fractional integration, long memory models, and the random field regression approach to nonlinearity. Following brief explanations of fractional integration and random field regression, and the methods of applying them, selected techniques are applied to a demand for money dataset. Comparisons of the results from this illustrative case study are presented, and conclusions are drawn that should aid practitioners in applied time-series econometrics.
Year of publication: |
2007
|
---|---|
Authors: | Bond, Derek ; Harrison, Michael J. ; O'Brien, Edward J. |
Published in: |
The Economic and Social Review. - Economic and Social Studies. - Vol. 38.2007, p. 1-24
|
Publisher: |
Economic and Social Studies |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Modelling Ireland’s exchange rates: from EMS to EMU
Bond, Derek, (2007)
-
Exploring nonlinearity with random field regression
Bond, Derek, (2007)
-
Modelling Ireland's exchange rates: From EMS to EMU
Bond, Derek, (2007)
- More ...