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Persistence and Cycles in the US Federal Funds Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2012
rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 …
Persistent link: https://www.econbiz.de/10010877825
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Non-linearities and fractional integration in the US unemployment rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - HWWA Institut für Wirtschaftsforschung - 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/10010957400
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Non-Linearities and Fractional Integration in the US Unemployment Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - HWWA Institut für Wirtschaftsforschung - 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/10005320467
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Indirect Estimation of Long Memory Volatility Models
Wilkins, Nigel - Econometric Society - 2004
An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are...
Persistent link: https://www.econbiz.de/10005086438
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Modelling International Monthly Tourist in Spain/Modelización de llegadas mensuales de turistas a España
CUÑADO, JUNCAL; ALBERIKO GIL-ALANA, LUIS; PEREZ DE … - In: Estudios de Economía Aplicada 29 (2011) Diciembre, pp. 723-736
This article investigates the degree of persistence in the international monthly tourist time series in Spain using …
Persistent link: https://www.econbiz.de/10009421555
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Long Memory in German Energy Price Indices
Barros, Carlos P.; Caporale, Guglielmo Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...
Persistent link: https://www.econbiz.de/10009646237
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BRICS countries: real interest rates and long memory
Silva, Cleomar Gomes da; Vieira, Flávio Vilela - In: Economics Bulletin 34 (2014) 1, pp. 409-419
This paper analyzes the degree of persistence of the ex-post real interest rates of the BRICS (Brazil, Russia, India … ranging from July 2000 to December 2012, the results show very high persistence, and non-stationarity but mean reversion for … breaks were accounted for, the results indicate that part of the persistence found previously in the real interest rates of …
Persistent link: https://www.econbiz.de/10010835961
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Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995
Franses, Philip Hans; Ooms, Marius; Eisinga, Eisinga, R. - Faculteit der Economische Wetenschappen, Erasmus … - 1997
-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming …
Persistent link: https://www.econbiz.de/10010731848
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Illusive Persistence in German Unemployment
Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992
persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the …
Persistent link: https://www.econbiz.de/10005666959
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Testing for Persistence with Breaks and Outliers in South African House Prices
Gil-Alana, Luis A.; Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012
, there is persistence in South African house prices with breaks identified. Our results show that in the cases of affordable …
Persistent link: https://www.econbiz.de/10010632923