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The Polish crawling peg system : a cointegration analysis
Trenkler, Carsten - 2000
After a temporary period of a fixed exchange rate regime pegging the Polish zloty to the U.S. dollar, Poland … comprising the basket on the other hand are expected to exist. I test for such long-run relationships within the cointegration … has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I …
Persistent link: https://www.econbiz.de/10009612052
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Some nonparametric tests for unit roots and cointegration
Breitung, Jörg - 1999
the cointegration rank in the spirit of Johansen (1988). …
Persistent link: https://www.econbiz.de/10009580478
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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
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
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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 approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...
Persistent link: https://www.econbiz.de/10009582384
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Testing stochastic cycles in macroeconomic time series
Gil-Alaña, Luis A. - 2000
A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...
Persistent link: https://www.econbiz.de/10009611541
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Fractional cointegration and real exchange rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …
Persistent link: https://www.econbiz.de/10009611542
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A fractionally integrated model with a mean shift for the US and the UK real oil prices
Gil-Alaña, Luis A. - 2000
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...
Persistent link: https://www.econbiz.de/10009611543
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A fractionally integrated exponential model for UK unemployment
Gil-Alaña, Luis A. - 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/10009611544
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Inference on the cointegration rank in fractionally integrated processes
Breitung, Jörg; Hassler, Uwe - 2000
generalizes to multivariate cointegration tests just as the Dickey-Fuller test does. Thus it allows to determine the cointegration … depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples …
Persistent link: https://www.econbiz.de/10009611546