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Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of …/cointegration techniques which allow for the possibility that unemployment is highly persistent. In line with other studies, we find that all … equilibrium model with highly persistent shocks might be adequate to account for the observed behaviour of unemployment …

Persistent link: https://www.econbiz.de/10009614880

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - 2000

proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low … fractional integration, may be a feasible way of modelling unemployment, also showing that its order of integration is much … erroneous results. -- long memory ; unemployment ; fractional integration …

Persistent link: https://www.econbiz.de/10009611544

On model based seasonal adjustment procedures

Breitung, Jörg - 1998

orthogonal decompositions which may be avoided by using the Beveridge-Nelson approach. The German unemployment series is studied …

Persistent link: https://www.econbiz.de/10009574877

Nonparametric factor analysis of time series

Rodríguez Poo, Juan Manuel; Linton, Oliver - 1998

We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel. -- Factor Analysis ; Time Series ; Kernel...

Persistent link: https://www.econbiz.de/10009578000

A nonparametric test for the stationary density

Neumann, Michael H.; Paparoditis, Efstathios - 1998

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that...

Persistent link: https://www.econbiz.de/10009578009

Nonparametric estimation in null recurrent times series

Karlsen, Hans Arnfinn; Tjostheim, Dag - 1998

We develop a nonparametric estimation theory in a non-stationary environment, more precisely in the framework of null …

Persistent link: https://www.econbiz.de/10009578015

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These …

Persistent link: https://www.econbiz.de/10009578029

Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...

Persistent link: https://www.econbiz.de/10009578559

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...

Persistent link: https://www.econbiz.de/10009579181