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Non-Linearities and Fractional Integration in the US Unemployment Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004
with path dependency rather than a NAIRU model with an underlying unemployment equilibrium rate, hence giving support to …This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our … standard limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a …
Persistent link: https://www.econbiz.de/10009442364
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Non-Linearities And Fractional Integration In The Us Unemployment Rate
Caporale, GM; Gil-Alana, LA - 2004
NAIRU model with an underlying unemployment equilibrium rate, thereby giving support to more activist stabilisation policies …This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our … results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts …
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
consistent with a hysteresis model with path dependency rather than a NAIRU model with an underlying unemployment equilibrium …This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our … Multiplier procedure with a standard null limit distribution. The empirical results suggest that the US unemployment rate can be …
Persistent link: https://www.econbiz.de/10009481461
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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
Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on how the dynamics of inflation in...
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
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Interest rate dynamics in Kenya: Commercial banks? rates and the 91-Day Treasury bill rate
Caporale, GM; Gil-Alana, LA - 2010
This paper analyses the implicit dynamics underlying the interest rate structure inKenya. For this purpose we use data on four commercial banks? interest rates (Deposits,Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for thetime period July 1991 ? August 2010, and...
Persistent link: https://www.econbiz.de/10009481443
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The weekly structure of US stock prices
Caporale, GM; Gil-Alana, LA - 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10009481444