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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 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/10009611542
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Unit root tests for time series with a structural break : when the break point is known
Lütkepohl, Helmut; Müller-Kademann, Christian; … - 1999
asymptotic distribution under the null hypothesis of a unit root and nearly optimal asymptotic power under local alternatives. An …
Persistent link: https://www.econbiz.de/10009580481
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Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
Gil-Alaña, Luis A. - 2000
article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under … observe that fractionally integrated hypotheses may be plausible alternatives in this context of structural breaks at a known … period of time. -- unit roots ; long memory ; structural breaks …
Persistent link: https://www.econbiz.de/10009582385
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Test procedures for unit roots in time series with level shifts at unknown time
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001
size distortion and total loss of power. Example series from the Nelson-Plosser data set are used to illustrate the …
Persistent link: https://www.econbiz.de/10009613596
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
are conducted to evaluate the power and size properties of this test, which is shown to outperform existing ones, and to …
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
Carlo experiment is conducted, studying the size and the power of the tests against different alternatives, and the results …
Persistent link: https://www.econbiz.de/10009611541
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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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Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate
Gil-Alaña, Luis A. - 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/10009615430