Exploring long memory and nonlinearity in Irish real exchange Rates using tests based on semiparametric estimation
Download full text from publisher
References listed on IDEAS
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
- Taylor, Alan M, 2001.
"Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price,"
Econometric Society, vol. 69(2), pages 473-498, March.
- Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc.
- Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
- Smith, Aaron, 2005.
"Level Shifts and the Illusion of Long Memory in Economic Time Series,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 23, pages 321-335, July.
- Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
- Hamilton, James D, 2001.
"A Parametric Approach to Flexible Nonlinear Inference,"
Econometric Society, vol. 69(3), pages 537-573, May.
- Hamilton, James D., 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series qt68s8157x, Department of Economics, UC San Diego.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2002. "A Fractional Dickey-Fuller Test for Unit Roots," Econometrica, Econometric Society, vol. 70(5), pages 1963-2006, September.
- Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
- Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
- D. (Derek) Bond & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2007.
"Modelling Ireland’s exchange rates : from EMS to EMU,"
200718, School of Economics, University College Dublin.
- Bond, Derek & Harrison, Michael J. & O'Brien, Edward J., 2007. "Modelling Ireland’s exchange rates: from EMS to EMU," Working Paper Series 823, European Central Bank.
- Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
- Mark Taylor, 2006. "Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 1-17.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Burcu Kıran, 2012. "Nonlinearity and Fractional Integration in the US Dollar/Euro Exchange Rate," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(3), pages 325-334, June.
More about this item
KeywordsFractional integration; Long memory; Nonlinearity; Real exchange rates; Structural change; Time-series analysis; Foreign exchange rates--Econometric models; Nonlinear theories;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-24 (All new papers)
- NEP-ETS-2009-01-24 (Econometric Time Series)
- NEP-IFN-2009-01-24 (International Finance)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucn:wpaper:200901. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nicolas Clifton). General contact details of provider: http://edirc.repec.org/data/educdie.html .