Options
Exploring long memory and nonlinearity in Irish real exchange Rates using tests based on semiparametric estimation
Date Issued
2009-01-15
Date Available
2009-07-28T15:51:01Z
Abstract
Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing approaches based on the properties of semiparametric estimators of the fractional differencing parameter, d, are described and applied to the (log) Ireland-United Kingdom and Ireland-Germany real exchange rates. The two exchange rates behave quite differently over time and the new tests give different results for each; but overall the results provide fairly
strong support for the possibility of nonlinearity rather than long memory.
Type of Material
Working Paper
Publisher
University College Dublin. School of Economics
Series
UCD Centre for Economic Research Working Paper Series
WP09/01
Classification
C22
F31
C51
Subject – LCSH
Time-series analysis
Foreign exchange rates--Econometric models
Nonlinear theories
Web versions
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
Owning collection
Views
1614
Last Week
1
1
Last Month
1
1
Acquisition Date
Mar 28, 2024
Mar 28, 2024
Downloads
152
Last Month
1
1
Acquisition Date
Mar 28, 2024
Mar 28, 2024