Random field regression models provide an extremely flexible way to investigate nonlinearity in economic data. This paper introduces a new approach to interpreting such models, which may allow for improved inference abour the possible parametric specification of nonlinearity.

Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing...

Random field regression models provide an extremely flexible way to investigate nonlinearity in economic data. This paper introduces a new approach to interpreting such models, which may allow for improved inference about the possible parametric specification of nonlinearity