Browsing by Author "Gil-Alaña, Luis A."

Now showing items 1-17 of 17

2005-09-29Buch

A Fractionally Integrated Exponential Model for U.K. Unemployment

Gil-Alaña, Luis A.

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 ...
2005-09-29Buch

A Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices

Gil-Alaña, Luis A.

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 ...
2005-09-30Buch

A Generalized Fractional Time Series Model

Gil-Alaña, Luis A.

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 and the cyclical components ...
2005-10-12Buch

A Joint Test of Fractional Cyclic Integration and a Linear Time Trend

Gil-Alaña, Luis A.

We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson’s ...
2005-09-30Buch

Deterministic Seasonality Versus Seasonal Fractional Integration

Gil-Alaña, Luis A.

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, ...
2005-10-12Buch

Forecasting the Real Output Using Fractionally Integrated Techniques

Gil-Alaña, Luis A.

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show ...
2000-06-01Buch

Fractional Cointegration and Real Exchange Rates

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

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour ...
1999-11-01Buch

Fractional Cointegration and Tests of Present Value Models

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

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte ...
2005-10-13Buch

Fractional Integration and Business Cycle Features

Candelon, Bertrand; Gil-Alaña, Luis A.

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by ...
2005-09-16Buch

Fractional Integration and the Dynamics of UK Unemployment

Gil-Alaña, Luis A.; Henry, Brian

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 ...
2005-09-16Buch

Modelling Seasonality with Fractionally Integrated Processes

Gil-Alaña, Luis A.

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us ...
2005-09-30Buch

Testing of Fractional Cointegration in Macroeconomic Time Series

Gil-Alaña, Luis A.

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and ...
2005-09-16Buch

Testing of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks

Gil-Alaña, Luis A.

Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser’s (1982) series. The tests can be expressed in a way allowing for structural ...
2005-09-29Buch

Testing Stochastic Cycles in Macroeconomic Time Series

Gil-Alaña, Luis A.

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 ...
2005-10-17Buch

The Power of the Tests of Robinson (1994) in the Context of Fractionally Integrated Moving Average Models

Gil-Alaña, Luis A.

We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we ...
2000-11-01Buch

Unemployment and Input Prices: A Fractional Cointegration Approach

Caporale, Guglielmo Maria; Gil-Alaña, 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) cointegrating relationships, we ...
2005-10-17Buch

Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inflation Rate

Gil-Alaña, Luis A.

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low ...