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Non-Linearities and Fractional Integration in the US Unemployment Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...
Persistent link: https://www.econbiz.de/10009442364
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Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data
Caporale, GM; Gil-Alana, LA; Nazarski, M - 2004
This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...
Persistent link: https://www.econbiz.de/10009481456
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Non-Linearities And Fractional Integration In The Us Unemployment Rate
Caporale, GM; Gil-Alana, LA - 2004
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange...
Persistent link: https://www.econbiz.de/10009481459
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Non-Linearities And Fractional Integration In The Us Unemployment Rate
Caporale, GM; Gil-Alana, LA - 2005
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...
Persistent link: https://www.econbiz.de/10009481461
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Forecasting Corn Futures Volatility in the Presence of Long Memory, Seasonality and Structural Change
Wang, Xiaoyang; Garcia, Philip - 2011
Price volatility in the corn market has changed considerably globalization and stronger linkages to the energy complex. Using data from January 1989 through December 2009, we estimate and forecast the volatility in the corn market using futures daily prices. Estimates in a Fractional Integrated...
Persistent link: https://www.econbiz.de/10009444337
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A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, James - 2002
The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to...
Persistent link: https://www.econbiz.de/10009440950
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Persistence of Inflationary shocks: Implications for West African Monetary Union Membership
Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - 2010
placed on how the dynamics of inflation in individual countries are (dis)similar. This paper aims to stimulate debate on the … long term sustainability of the union by examining the dynamics of inflation within these countries. Using Fractional … Integration (FI) methods, we establish that some significant differences exist among the countries. Shocks to inflation in Sierra …
Persistent link: https://www.econbiz.de/10009465860
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Finansų rinkų statistinis tyrimas
Marcinkevičius, Matas - 2008
Keliami uždaviniai: GARCH modelių klasės taikymas ilgo periodo finansiniams duomenims: modelių parametrų paieška, jų vertinimas, testavimas ir taikymas. Ilga atmintis sąlyginiame variantiškume yra viena iš empirinių savybių, kurią turi daugelis finansinių laiko eilučių. Viena...
Persistent link: https://www.econbiz.de/10009479019
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Real exchange rates in latin america: The ppp hypothesis and fractional integration
Caporale, GM - 2008
This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration techniques to real exchange rate series. Compared to earlier studies on these economies, this approach has the advantage of allowing for non-integer values for the degree of...
Persistent link: https://www.econbiz.de/10009481424
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A multivariate long-memory model with structural breaks
Caporale, GM; Gil-Alana, LA - 2007
This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...
Persistent link: https://www.econbiz.de/10009481430