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

This article shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using sterling-Canadian dollar data and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly,...

This article applies a recursive regression technique developed by Phillips and Yu (2011) to examine recent property market movements in both the Republic of Ireland and Northern Ireland in the context of an asset market bubble. This technique, which interprets explosiveness in the price series...

This article explores the link between the real business cycle and core bank earnings. Using bank-level data and an estimation technique which corrects for weak instruments, evidence confirms that pre-provision Net Interest Income (NII) is determined by the term structure of interest rates...