Ulster University Logo

Ulster Institutional Repository

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

Biomedical Sciences Research Institute Computer Science Research Institute Environmental Sciences Research Institute Nanotechnology & Advanced Materials Research Institute

Bond, Derek, Harrison, Michael J. and O'Brien, Edward J. (2011) Nonlinearity and structural breaks in Irish PPP relationships: an application of random field regression. Applied Economics, 43 (15). pp. 1899-1911. [Journal article]

Full text not available from this repository.

URL: http://dx.doi.org/10.1080/00036840902780144

DOI: 10.1080/00036840902780144

Abstract

Using nominal and real exchange rates for Ireland relative to Germany and the UK from 1975 to 2003, this article explores likely sources of nonlinearity in Purchasing Power Parity (PPP) relationships and difficulties in employing an I(1)/I(0) econometric framework. Tests for fractionalintegration 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.

Item Type:Journal article
Faculties and Schools:Ulster Business School
Ulster Business School > Department of Business and Enterprise
Research Institutes and Groups:Business and Management Research Institute
ID Code:18712
Deposited By:Mr Derek Bond
Deposited On:09 Jun 2011 11:46
Last Modified:09 Jun 2011 11:46

Repository Staff Only: item control page