Show simple item record

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

[journal article]

dc.contributor.authorBond, Derekde
dc.contributor.authorHarrison, Michael J.de
dc.contributor.authorO'Brien, Edward Jde
dc.date.accessioned2011-04-01T05:11:00Zde
dc.date.accessioned2012-08-29T23:08:04Z
dc.date.available2012-08-29T23:08:04Z
dc.date.issued2009de
dc.identifier.urihttp://www.ssoar.info/ssoar/handle/document/24304
dc.description.abstractUsing 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.en
dc.languageende
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.subject.otherpurchasing power parity; fractional Dickey-Fuller test; smooth transition autoregression; random field regression; multiple structural changes model
dc.titleNonlinearity and structural breaks in Irish PPP relationships: an application of random field regressionen
dc.description.reviewbegutachtet (peer reviewed)de
dc.description.reviewpeer revieweden
dc.source.journalApplied Economicsde
dc.publisher.countryUSA
dc.subject.classozEconomic Statistics, Econometrics, Business Informaticsen
dc.subject.classozWirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatikde
dc.subject.classozPolitical Economyen
dc.subject.classozVolkswirtschaftslehrede
dc.identifier.urnurn:nbn:de:0168-ssoar-243048de
dc.date.modified2011-04-26T10:39:00Zde
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)de
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)en
ssoar.gesis.collectionSOLIS;ADISde
ssoar.contributor.institutionhttp://www.peerproject.eu/de
internal.status3de
dc.type.stockarticlede
dc.type.documentjournal articleen
dc.type.documentZeitschriftenartikelde
dc.rights.copyrightfde
dc.source.pageinfo25
internal.identifier.classoz10905
internal.identifier.classoz1090300
internal.identifier.journal21de
internal.identifier.document32
internal.identifier.ddc330
dc.identifier.doihttps://doi.org/10.1080/00036840902780144de
dc.description.pubstatusPostprinten
dc.description.pubstatusPostprintde
internal.identifier.licence7
internal.identifier.pubstatus2
internal.identifier.review1
internal.check.abstractlanguageharmonizerCERTAIN
internal.check.languageharmonizerCERTAIN_RETAINED


Files in this item

Thumbnail
Name:
ssoar-appecon-2009-bond_et_al- ...
Size:
402.9Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record