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Testing stochastic cycles in macroeconomic time series

Gil-Alaña, Luis A. - 2000

A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...

Persistent link: https://www.econbiz.de/10009611541

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - 2000

Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any...

Persistent link: https://www.econbiz.de/10009611544

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

Persistent link: https://www.econbiz.de/10003952817

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …

Persistent link: https://www.econbiz.de/10013044515

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test

Swanson, Norman R.; Corradi, Valentina - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …

Persistent link: https://www.econbiz.de/10014075928

Testing for cointegration with threshold adjustment in the presence of structural breaks

Schweikert, Karsten - 2018

In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of … breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test … Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a …

Persistent link: https://www.econbiz.de/10011842010

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Persistent link: https://www.econbiz.de/10013417630

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