This paper looks at issues surrounding the testing of purchasing power parity using Irish data. Potential difficulties in placing the analysis in an I(1)/I(0) framework are highlighted. Recent tests for fractional integration and nonlinearity are discussed and used to investigate the behaviour...

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

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...

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...

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

This paper looks at issues surrounding the testing of fractional integration and nonlinearity in relation to the forward exchange rate anomaly of Fama (1984). Recent tests for fractional integration and nonlinearity are discussed and used to investigate the behaviour of three exchange rates and...

This paper takes a fresh look at the estimation of economic base multipliers. It uses recent developments in both nonstationary and nonlinear inference to consider issues surrounding the derivation of such multipliers for Northern Ireland. It highlights the problem of distinguishing between...

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 paper explores the power of two tests for nonlinearity against spurious nonlinear regression. Results show that while the BDS test is susceptible to spuriousness, an approach introduced by Peña and Rodriguez [Peña, D. and Rodriguez, J., 2005, Detecting nonlinearity in time series by model...

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...