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Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests … powerful to detect changes in the conditional model parameters, whether or not the variance of the regression error is included …
Persistent link: https://www.econbiz.de/10010293734
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Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /
Caporale, Guglielmo Maria; Pittis, Nikitas - 2004
This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests … powerful to detect changes in the conditional model parameters, whether or not the variance of the regression error is included …
Persistent link: https://www.econbiz.de/10009728982
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Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence
Caporale, Guglielmo Maria; Pittis, Nikitas - Department of Economics and Finance Research and … - 2004
This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests … powerful to detect changes in the conditional model parameters, whether or not the variance of the regression error is included …
Persistent link: https://www.econbiz.de/10005764152
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Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10013470277
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Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10013417630
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Nominal and Real Wages in the UK, 1750 - 2015 : Mean Reversion, Persistence and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10014243100
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Are PPP Tests Erratically Behaved? Some Panel Evidence
Caporale, Guglielmo Maria; Hanck, Christoph - 2006
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than...
Persistent link: https://www.econbiz.de/10010296758
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Cointegration tests of PPP: do they also exhibit erratic behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - 2006
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10010263988
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Are PPP tests erratically behaved? : some panel evidence
Caporale, Guglielmo Maria (contributor);  … - 2006
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than...
Persistent link: https://www.econbiz.de/10003394591
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Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - 2021
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10013317393