A Monte Carlo study is undertaken to analyze the small sample properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). More specifically (1,0,0), (0,0,1), (0,d,0), various (2,0,0),...

In this paper, we argue that wage volatility is a good proxy for wage inequality because of the strong and lagged correlation between the two. For seven industry categories, inequality is modeled as a conditional variance process over the period 1964-1988. It is modified to allow for explanatory...

Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests...