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Demand for money: a study in testing time series for long memory and nonlinearity
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J.
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.
Keyword(s): Financial modelling; Money; Time series econometrics; Demand
Publication Date:
2007
Type: Conference item
Peer-Reviewed: Unknown
Language(s): English
Institution: Trinity College Dublin
Citation(s): Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. 'Demand for money: a study in testing time series for long memory and nonlinearity'. - Economic & Social Review, Vol. 38, No. 1, Spring, 2007, pp. 1?24, Dublin: Economic & Social Research Institute
Publisher(s): Economic & Social Studies
First Indexed: 2014-05-13 05:29:49 Last Updated: 2018-08-12 06:15:53