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Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional … suggest that the UK unemployment may be explained in terms of lagged values of the real oil prices and the real interest rate …, with the order of integration of unemployment ranging between 0.50 and 1. Thus, unemployment shows the characteristics of …

Persistent link: https://www.econbiz.de/10009582384

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

Unit root tests in the presence of innovational outliers

Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001

Unit root tests are considered for time series with innovational outliers. The function representing the outliers can have a very general nonlinear form and additional deterministic mean and trend terms are allowed for. Prior to the tests the deterministic parts and other nuisance parameters of...

Persistent link: https://www.econbiz.de/10009616785

A stochastic representation theorem with applications to optimization and obstacle problems

Bank, Peter; El Karoui, Nicole - 2001

We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's obstacle problem in the context of backward stochastic differential...

Persistent link: https://www.econbiz.de/10009620781

Adaptive wavelet Galerkin methods for linear inverse problems

Cohen, Albert; Hoffmann, Marc; Reiß, Markus - 2002

We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...

Persistent link: https://www.econbiz.de/10009624840

Some nonparametric tests for unit roots and cointegration

Breitung, Jörg - 1999

Following Bierens (1997a,b) and Vogelsang (1998a,b), unit root tests can be constructed which are asymptotically invariant to parameters involved by the short run dynamics of the process. Such an approach is called nonparametric by Bierens (1997b) and can be used to test a wide range of...

Persistent link: https://www.econbiz.de/10009580478

Unit root tests for time series with a structural break : when the break point is known

Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated...

Persistent link: https://www.econbiz.de/10009580481

Testing for a unit root in a time series with a level shift at unknown time

Saikkonen, Pentti; Lütkepohl, Helmut - 1999

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the...

Persistent link: https://www.econbiz.de/10009581100

The local power of some unit root tests for panel data

Breitung, Jörg - 1999

To test the hypothesis of a difference stationary time series against a trend stationary alternative, Levin and Lin (1993) and Im, Pesaran and Shin (1997) suggest bias adjusted t-statistics. Such corrections are necessary to account for the nonzero mean of the t-statistic in the case of an OLS...

Persistent link: https://www.econbiz.de/10009581103

Modelling seasonality with fractionally integrated processes

Gil-Alaña, Luis A. - 2000

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes...

Persistent link: https://www.econbiz.de/10009582382