The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for...
The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for...
The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for...
The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for...
We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal...
Terrorism against American citizens in Africa: Related to poverty
Barros, Carlos Pestana, Faria, Joao Ricardo, Gil-Alana, Luis A.
A Fractionally Integrated Exponential Model for UK Unemployment.
Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling UK unemployment. This gives us a better...
The order of integration of different measures of the U.K. unemployment is investigated in this paper by means of semiparametric techniques. Several methods, such as the R/S statistic, along with...
Long-run and Cyclical Dynamics in the US Stock Market
Caporale, Guglielmo Maria, Gil-Alana, Luis A.
This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which...
Testing the order of integration of the UK Unemployment
Tests proposed by Robinson (1994a) for testing unit roots and other fractionally integrated hypotheses are applied in this article to several measures of the U.K. unemployment. The results clearly...
The behaviour of the real exchange rates (relative to the US dollar) is examined in this article using monthly data obtained from the black markets for foreign exchange of eight Asian developing...
Unemployment and Input Prices: A Fractional Cointegration Approach.
Caporale, Guglielmo Maria, Gil-Alana, Luis A
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1)...
Confidence Intervals for Fractionally Integrated Hypotheses in the Real Output across Europe.
Confidence intervals for the fractional differencing parameter are established in this article for the real output in several European countries. They are based on a testing procedure due to Robinson...
Seasonal Long Memory in the US Monthly Monetary Aggregate.
The seasonal structure of the US monthly M1 monetary aggregate is investigated in this article by means of seasonal long memory processes. Using a version of the tests proposed by Robinson in 1994,...
Measuring Unemployment Persistence in Terms of I(d) Statistical Models.
In the paper the unemployment rate series of nineteen countries are examined by means of fractionally integrated techniques. The results show that unemployment series are more persistent in some...
The Persistence of Unemployment in the USA and Europe in Terms of Fractionally ARIMA Models.
This article examines the persistence of unemployment in the USA and four European countries by means of fractionally integrated ARMA (ARFIMA) models. In doing so, a type of flexibility in modelling...
Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
Caporale, Guglielmo Maria, Gil-Alana, Luis A.
A general procedure for fractional integration and structural breaks at unknown points in time is used, which allows for different orders of integration and deterministic components in each...
The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
Candelon, Bertrand, Dupuy, Arnaud, Gil-Alana, Luis A.
This paper provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a...
Fischer, Christian, Gil-Alana, Luis A.
This paper deals with the relationship between international trade and tourism. We focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different...
Gil-Alana, Luis A., Fischer, Christian
This paper deals with the relationship between international travelling and trade. For this purpose we focus on a particular case study: the connection between the Spanish wine exports to Germany and...
Non-Linearities and Fractional Integration in the US Unemployment Rate
Caporale, Guglielmo Maria, Gil-Alana, Luis A.
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...
Fischer, Christian, Gil-Alana, Luis A.
This paper deals with the relationship between international trade and tourism. We focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different...
A simple non-linear model with fractional integration for financial time series data
This paper provides several examples of simple non-linear time series models with fractionally integrated disturbances. Both types of models (non-linear and fractional integration) have been widely...
UK Unemployment Dynamics: a Fractionally Cointegrated Approach
This paper examines the relationship between unemployment, real oil prices and real interest rates in the UK by means of fractional cointegration techniques. In doing so, we allow for a much greater...
The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics
In this article we want to examine the time series behaviour of the UK unemployment using new statistical tools based on long memory nonstationary processes. In particular, we use a procedure...