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Fractional integration and structural breaks in the real GDP of Turkey

Kıran, Burcu - In: International journal of economic perspectives : IJEP 6 (2012) 1, pp. 39-49

Persistent link: https://www.econbiz.de/10011587066

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

Long memory and mean reversion in real exchange rates in Latin America

Gil-Alaña, Luis A.; Sauci, Laura - In: Applied economics 50 (2018) 29, pp. 3148-3155

Persistent link: https://www.econbiz.de/10012037549

Powerful nonparametric seasonal unit root tests

Eroğlu, Burak Alparslan; Göğebakan, Kemal Çağlar; … - In: Economics letters 167 (2018), pp. 75-80

Persistent link: https://www.econbiz.de/10012015793

Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012024535