This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that...

The asymmetric unit root tests of Enders and Granger (Journal of Business and Economic Statistics, 16, 304-11, 1998) are examined using consistent threshold estimation and the original two-step procedure. In contrast to earlier studies, the ability of the tests to jointly reject the unit root...

This note uses a cross-section of industry-level wage and unemployment rate information for early 1920s Britain to demonstrate that, in general, sliding scales had little impact on wage settlements. The evidence overwhelmingly suggests that industries which had an above-average unemployment rate...

This study investigates the sensitivity of the prices of London quoted oil company shares to spot oil prices over the period January 1986 to June 1988. The hypothesized positive relationship is strongest for those firms engaged in exploration and weakest for integrated oil companies. The...

The aim of this paper is to reexamine aggregate energy demand in the United Kingdom using the relatively recent procedure of cointegration. It shows energy consumption, the real price of energy, and real GDP cointegrate, which implies the existence of a long-run equilibrium. The associated...

The paper employs a simple threshold model of US bilateral real exchange rate dynamics. The econometric results appear consistent with the existence of a 'neutral band'. Real exchange rates seem to revert to purchasing power parity (PPP) levels only outside the neutral band.

This paper demonstrates the significance of age and duration effects in the relationship between earnings and unemployment using two-step GMM estimation and UK county level data for 1984-1993. Copyright 1996 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

This paper utilizes data collected at the county level over the period 1983-92 to reconsider the roles of short-run and long-run unemployment in earnings determination. The results of estimating a dynamic model of earnings determination using the generalized methods of moments approach of M....

This paper considers a simple relationship between male earnings and unemployment and analyzes British data collected at the county level over the period 1976-92. The estimates of a dynamic model on a balanced panel of county data suggest that the elasticity of earnings with respect to...