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A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017

We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...

Persistent link: https://www.econbiz.de/10011655296

Testing the Fisher hypothesis in the G-7 countries using I(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …

Persistent link: https://www.econbiz.de/10011654595

Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …

Persistent link: https://www.econbiz.de/10011654734

Testing the Fisher hypothesis in the G7 countries using i(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

Persistent link: https://www.econbiz.de/10011656667

Testing the Fisher hypothesis in the G-7 countries using I(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International economics : a journal published by CEPII … 159 (2019), pp. 140-150

Persistent link: https://www.econbiz.de/10012318834

Fractional cointegration in US term spreads

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

Persistent link: https://www.econbiz.de/10010271352

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

Persistent link: https://www.econbiz.de/10010271381

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/10010295392

Persistence in tax revenues : evidence from some OECD countries

Caporale, Guglielmo Maria; Tapia, Silvia García; … - 2023

, Finland, Spain, Sweden and USA). The analysis is also carried out for inflation in the same set of countries. Again the I(1 …, stronger evidence of mean reversion is found for the differences between the three original tax series and inflation compared … to the tax series themselves, which points to the existence of a linkage between taxation and inflation, especially in …

Persistent link: https://www.econbiz.de/10014382942

Do Spanish regions converge? : A time-series approach using fractional cointegration

Kamal, Mariam; Arteche, Josu - In: Applied economics 56 (2024) 59, pp. 8666-8679

This article investigates economic convergence in terms of real income per capita between the autonomous regions of Spain over the period 1955–2020. In order to converge, the series should be cointegrated. This necessary condition is checked using two testing strategies recently proposed for...

Persistent link: https://www.econbiz.de/10015141895