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

Author

Listed:
  • Derek Bond

    (University of Ulster)

  • Michael J. Harrison

    (Department of Economics, Trinity College)

  • Edward J. O'Brien

    (Department of Economics, Trinity College and 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.

Suggested Citation

  • Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
    • Handle: RePEc:tcd:tcduee:tep20021
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    File URL: http://www.tcd.ie/Economics/TEP/2005_papers/TEP21.pdf
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    References listed on IDEAS

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    Cited by:

    1. Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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