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Flexible Seasonal Long Memory and Economic Time Series

Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Persistent link: https://www.econbiz.de/10004972223

Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Eisinga, R.; Franses, Ph.H.B.F.; Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Persistent link: https://www.econbiz.de/10004972274

Autoregression-Based Estimators for ARFIMA Models

Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2 d 1, and in the stationary case we provide a Normal approximation to the finite-sample...

Persistent link: https://www.econbiz.de/10005100960

A nonlinear long memory model for US unemployment

Dijk, D.J.C. van; Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2000

Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put...

Persistent link: https://www.econbiz.de/10005505011

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …

Persistent link: https://www.econbiz.de/10008570627

Unemployment and input prices: A fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - Sonderforschungsbereich 373, Quantifikation und … - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...

Persistent link: https://www.econbiz.de/10010983420

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - Sonderforschungsbereich 373, Quantifikation und … - 2000

Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any...

Persistent link: https://www.econbiz.de/10010983453

Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Gil-Alaña, Luis A. - Sonderforschungsbereich 373, Quantifikation und … - 2001

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to...

Persistent link: https://www.econbiz.de/10010983527

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - Sonderforschungsbereich 373, Quantifikation und … - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10010983529

The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models

Gil-Alaña, Luis A. - Sonderforschungsbereich 373, Quantifikation und … - 2001

We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise...

Persistent link: https://www.econbiz.de/10010983533