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Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384

On the Persistence of Cointegration in Pairs Trading

Clegg, Matthew - 2014

An exploratory study is conducted to assess the persistence of cointegration among U.S. equities. In other words, if a … 2002-2012, comprising over 860,000 pairs in total. The evidence does not support the hypothesis that cointegration is a …

Persistent link: https://www.econbiz.de/10013048017

Monitoring Stationarity and Cointegration

Wagner, Martin - 2015

cointegrating relationship to a spurious relationship. The cointegration monitoring procedure is based on residuals from modified …

Persistent link: https://www.econbiz.de/10013020157

Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU.

Giannellis, Nikolaos; Papadopoulos, Athanasios - Department of Economics, University of Crete - 2006

Area; US and the rest of the world. By applying univariate unit root tests as well as a multivariate cointegration test, we …

Persistent link: https://www.econbiz.de/10005040057

Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU.

Giannellis, Nikolaos; Papadopoulos, Athanasios P. - Money Macro and Finance Research Group - 2007

Area; US and the rest of the world. By applying both univariate unit root and a multivariate cointegration test, we find …

Persistent link: https://www.econbiz.de/10004975703

Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia

Brittle, Shane - School of Accounting, Economics, and Finance, … - 2009

This paper examines the growing gap between the theoretical and empirical growth literature and policy needs of the developing economies. Growth literature has focused mainly on long term growth outcomes, but policy makers of the developing economies need rapid improvements in the short to...

Persistent link: https://www.econbiz.de/10008558635

Modelling loans to non-financial corporations within the Eurozone : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2020

This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans …

Persistent link: https://www.econbiz.de/10012310523

PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate

Akram, Qaisar Farooq - Department of Economics, Oxford University - 2000

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...

Persistent link: https://www.econbiz.de/10010605226

An Efficient, Three-Step Algorithm for Estimating Error-Correction Models with an Application to the U.S. Macroeconomy

Boldin, Michael D. - 1998

when iterated gives maximum likelihood estimates of cointegration effects. Most important, the algorithm can handle … different levels of cointegration, over-identified systems, breaks in trend, and complicated specifications for the short …

Persistent link: https://www.econbiz.de/10014071416

Seasonal Cointegration Analysis of German Consumption Function

Reimers, Hans-Eggert - 1998

seasonal and non-seasonal cointegration relations among the variables. The response functions of consumption and income show a …The main purpose of this paper is to investigate the West-German consumption process depending on wealth and income … with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern …

Persistent link: https://www.econbiz.de/10014221600