In this paper we analyze the asymptotic properties of the popular distribution tail index estimator by B. Hill (1975) for possibly heavy- tailed, heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for processes with extremes that form mixingale sequences, and...

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

The universal method for testing linearity against smooth transition autoregressive (STAR) alternatives is the linearization of the STAR model around the null nuisance parameter value, and performing F-tests on polynomial regressions in the spirit of the RESET test. Polynomial regressors,...

There exists no consensus regarding the definition and the measure of persistence. We aim to spark research interests to address the lack of a standard definition. This paper reviews this issue and proposes an informal definition to unemployment persistence.

A vital implication of unemployment persistence applies to the Bank of Canada's disinflation policies since it adversely influences unemployment and considerably lengthens recessions. This paper tests for persistence in Canadian sectoral unemployment, using the modified rescaled-range test. Our...

This paper extends the standard Real Business Cycle model to incorporate sectoral shifts in unemployment. Using relative sectoral technology and sectoral tastes shocks, combined with labor adjustment costs across sectors, we assess the possibility of generating persistent aggregate unemployment....

In this paper, we focus on and examine the empirical evidence of non- linearity in aggregate Canadian unemployment. Contrary to the conclusion reached in Murray et al. (1993), and using a corrected for bias simple non-parametric test (SNT), we reject the null hypothesis of a linear structure for...