Search Results - subject:"Multivariate Long Memory" - EconBiz

A multivariate test against spurious long memory

Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - 2015 - This version: March 3,2015

This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...

Persistent link: https://www.econbiz.de/10010493583

Testing Unemployment Theories: A Multivariate Long Memory Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - 2014

long memory methods are used. The results vary depending on whether the former or the latter approach is followed … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …

Persistent link: https://www.econbiz.de/10010328827

Testing Unemployment Theories: A Multivariate Long Memory Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - CESifo - 2014

long memory methods are used. The results vary depending on whether the former or the latter approach is followed … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …

Persistent link: https://www.econbiz.de/10011067197

Testing unemployment theories : a multivariate long memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2014

long memory methods are used. The results vary depending on whether the former or the latter approach is followed … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …

Persistent link: https://www.econbiz.de/10010229867

Testing unemployment theories: A multivariate long memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

long memory methods are used. The results vary depending on whether the former or the latter approach is followed … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …

Persistent link: https://www.econbiz.de/10010327857

Testing Unemployment Theories: A Multivariate Long Memory Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

long memory methods are used. The results vary depending on whether the former or the latter approach is followed … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …

Persistent link: https://www.econbiz.de/10011015404

Testing unemployment theories : a multivariate long memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

Persistent link: https://www.econbiz.de/10010241522

Testing unemployment theories : a multivariate long memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

long memory methods are used. The results vary depending on whether the former or the latter approach is followed … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …

Persistent link: https://www.econbiz.de/10010221756

A multivariate test against spurious long memory

Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49

Persistent link: https://www.econbiz.de/10011974604

Testing unemployment theories : a multivariate long memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - In: Journal of applied economics 19 (2016) 1, pp. 95-112

Persistent link: https://www.econbiz.de/10011555191

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