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Illusive Persistence in German Unemployment

Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992

able to generate fragile equilibria. For instance, in this literature the natural unemployment rate is allowed to shift … over time depending on past unemployment. Actually, many European unemployment series seem to exhibit a unit root or … persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the …

Persistent link: https://www.econbiz.de/10005666959

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard T.; Kapetanios, George; Papailias, Fotis - In: Journal of Empirical Finance 29 (2014) C, pp. 129-143

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of...

Persistent link: https://www.econbiz.de/10011116278

Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries

Gil-Alana, Luis - In: Topics in Macroeconomics 3 (2003) 1, pp. 1139-1139

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 describing the short-run components of the series, we use an approach due to Bloomfield (1973)....

Persistent link: https://www.econbiz.de/10005579795

Hysteresis in Unemployment Rates? A Comparison between Germany and the US

Hassler, Uwe; Wolters, Jürgen - In: Journal of Economics and Statistics (Jahrbuecher fuer … 229 (2009) 2-3, pp. 119-129

In this paper we compare the unemployment dynamics of the US and Germany with monthly data up to 2008. With data from … permanent effects on German unemployment. This difference in hysteresis, however, depends on the sample. Using recursive and …

Persistent link: https://www.econbiz.de/10008559111

An assessment of the severity of unemployment in Nigeria : evidence from fractional integration

Tule, Moses Kpughur; Oduh, Moses Onyema; Chiemeke, … - In: Journal of African business 19 (2018) 1, pp. 39-61

Persistent link: https://www.econbiz.de/10011930341

Unemployment and COVID-19 : an analysis of change in persistence

Bermejo Muñoz, Lorenzo; Malmierca-Ordoqui, Maria; … - In: Applied economics 55 (2023) 39, pp. 4511-4521

Persistent link: https://www.econbiz.de/10014301998

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of Empirical Finance 29 (2014) C, pp. 187-206

We develop a new simultaneous time series model for volatility and dependence in daily financial return series that are subject to long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time...

Persistent link: https://www.econbiz.de/10011116263

Testing for a break in trend when the order of integration is unknown

Iacone, Fabrizio; Leybourne, Stephen J.; Robert Taylor, A.M. - In: Journal of Econometrics 176 (2013) 1, pp. 30-45

Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is...

Persistent link: https://www.econbiz.de/10011052199

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of Banking & Finance 41 (2014) C, pp. 109-118

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

Persistent link: https://www.econbiz.de/10010744377

Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S.

Apergis, Nicholas; Tsoumas, Chris - In: Energy Economics 34 (2012) 4, pp. 1082-1087

In this paper, the long memory properties of disaggregated fossils, coal and electricity retail consumption in the U.S. over the 1989–2009 period are examined. The presence of long memory is related to autocorrelation persistence of each series. Our results show that there is heterogeneity in...

Persistent link: https://www.econbiz.de/10010576106