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Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study

Derek Bond (), Michael J Harrison and Edward J. O’Brien
Additional contact information
Michael J Harrison: Trinity College Dublin
Edward J. O’Brien: Central Bank and Financial Services Authority of Ireland

Authors registered in the RePEc Author Service: Edward J. O'Brien

No 2/RT/06, Research Technical Papers from Central Bank of Ireland

Abstract: 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.

JEL-codes: C22 C52 E41 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2006-04
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https://centralbank.ie/docs/default-source/publica ... 'brien).pdf?sfvrsn=4 (application/pdf)

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Working Paper: Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study (2005) Downloads
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