Similar Search Results

Narrow search

Impulse responses of antipersistent processes

Hassler, Uwe - In: Economics Letters 116 (2012) 3, pp. 454-456

The behavior of impulse response coefficients as persistence measures is discussed under fractional integration …

Persistent link: https://www.econbiz.de/10010594207

Volatility and persistence of simulated DSGE real exchange rates

Ahmad, Yamin; Lo, Ming Chien; Mykhaylova, Olena - In: Economics Letters 119 (2013) 1, pp. 38-41

several specifications approach the empirically observed volatility, although none of the models generates enough persistence …. Conversely, several models produce unfiltered series that possess the same degree of persistence as the data, but none can match …

Persistent link: https://www.econbiz.de/10010662381

On the structure of US unemployment disaggregated by race, ethnicity, and gender

Queneau, Hervé; Sen, Amit - In: Economics Letters 117 (2012) 1, pp. 91-95

We present empirical evidence regarding the structure of unemployment in the US disaggregated by race, ethnicity, and gender. Popp’s (2008) unit-root test reveals that the dynamics of unemployment for all groups is characterized by the hysteresis hypothesis except for Hispanic Males.

Persistent link: https://www.econbiz.de/10010580466

A note on estimating a structural change in persistence

Kejriwal, Mohitosh; Perron, Pierre - In: Economics Letters 117 (2012) 3, pp. 932-935

This paper studies issues related to the estimation of a structural change in the persistence of a univariate time …

Persistent link: https://www.econbiz.de/10011041702

Spurious persistence in stochastic volatility

Messow, Philip; Krämer, Walter - In: Economics Letters 121 (2013) 2, pp. 221-223

We show that structural changes in stochastic volatility models induce spurious persistence. Other than in GARCH …-type models, implied persistence does not tend to unity with given size of the structural change and increasing sample size. …

Persistent link: https://www.econbiz.de/10011041729

Is income inequality persistent? Evidence using panel stationarity tests, 1870–2011

Islam, Md. Rabiul; Madsen, Jakob B. - In: Economics Letters 127 (2015) C, pp. 17-19

Using data on inequality for 21 OECD countries over the period 1870–2011 this paper tests the Piketty hypothesis that income inequality is likely to grow in the 21st century. It is shown that the null hypothesis of trend stationarity of inequality cannot be rejected at conventional...

Persistent link: https://www.econbiz.de/10011189531