More documents from Bond, Derek; Harrison, Michael J.; O'Brien, Edward J
More documents from Applied Economics

Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Nonlinearity and structural breaks in Irish PPP relationships: an application of random field regression

[journal article]

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J

fulltextDownloadDownload full text

(403 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:

Further Details
Abstract Using nominal and real exchange rates for Ireland relative to Germany and the UK from 1975 to 2003, this paper 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 integration and nonlinearity, including random field regression-based procedures, are applied. Results reveal shortcomings in the standard cointegration and smooth transition autoregression approaches to modelling, and point to multiple structural changes models. Such a model for the case of Ireland and Germany suggests that PPP holds not only in the long run but also in the medium to short term.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
Free Keywords purchasing power parity; fractional Dickey-Fuller test; smooth transition autoregression; random field regression; multiple structural changes model
Document language English
Publication Year 2009
Page/Pages 25 p.
Journal Applied Economics (2009)
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)