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Please use this identifier to cite or link to this item: http://hdl.handle.net/2262/60165

Title: Demand for money: a study in testing time series for long memory and nonlinearity
Author: Bond, Derek
Harrison, Michael J.
O'Brien, Edward J.
Keywords: Financial modelling
Money
Time series econometrics
Demand
Issue Date: 2007
Publisher: Economic & Social Research Institute
Citation: 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
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.
Description: Paper delivered at the Twentieth Annual Conference of the Irish Economic Association, Bunclody, Co. Wexford, 2006
URI: http://hdl.handle.net/2262/60165
ISSN: 00129984
Appears in Collections:Economic and Social Review Archive: Complete Collection 1969-
The Economic and Social Review, Vol. 38, No. 1, Spring, 2007

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