This paper explores the use of the R/S statistic as a means of checking for parameter instability. The nature and properties of the statistic are described, and its behaviour and power in the context of three situations of structural change are examined. The results suggest that the R/S...

In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The...

In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The...

This paper gives an account of the R/S statistic and its known properties. It assesses the adequacy of the asymptotic distribution of R/S in the case of samples of small and moderate size, and suggests an improved approximation based on the beta distribution. The results indicate that the...

This paper focuses on replication in the sense of Herrnson (1995). It re- examines the only study of an Irish popularity function (Borooah and Borooah, 1990) in the light of recent developments in econometric methodology and in Irish politics. Using error correction models the analysis provides...

Using nominal and real exchange rates for Ireland relative to Germany and the UK from 1975 to 2003, this article explores likely sources of nonlinearity in Purchasing Power Parity (PPP) relationships and difficulties in employing an I(1)/I(0) econometric framework. Tests for fractional...

As of January 1, 1995, Israel's National Health Insurance (NHI) Law laid the foundations for regulating competition among the country's four private, not-for-profit sick funds. Prior to NHI the sick funds (SFs) had competed without governmental control. Extensive research on NHI implementation...

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,...