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Long Memory in US Real Output per Capita

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2009

This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 – 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

Persistent link: https://www.econbiz.de/10004979424

Aggregation in Large Dynamic Panels

Pesaran, Hashem M.; Chudik, Alexander - CESifo - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … which ‘observed’ inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …

Persistent link: https://www.econbiz.de/10008853858

Long Memory with Markov-Switching GARCH

Kraemer, Walter - CESifo - 2008

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...

Persistent link: https://www.econbiz.de/10005406028

Multi-Factor Gegenbauer Processes and European Inflation Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2009

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10004979398

Long Run and Cyclical Dynamics in the US Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2007

This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...

Persistent link: https://www.econbiz.de/10005094381

Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2013

temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series …

Persistent link: https://www.econbiz.de/10010643340

Structural Reforms and the Enlargement of Monetary Union

Hefeker, Carsten - CESifo - 2003

The paper addresses the question what effects the enlargement of a monetary union will have on necessary structural reforms in the (low distortion) member countries and the (high distortion) candidate countries. While monetary union lowers reforms in the candidate countries, members of the...

Persistent link: https://www.econbiz.de/10005405838

Terms of Trade, Catch-up, and Home Market Effect: The Example of Japan

Urban, Dieter M. - CESifo - 2007

This paper explores theoretically and empirically the long run relation of the terms of trade (ratio of domestic and foreign prices of traded manufacturing goods) and economic growth of a pair of industrialized countries, one of which experiences a major catch-up process towards the other. It is...

Persistent link: https://www.econbiz.de/10005405944

Market Structure, Technology Spillovers, and Persistence in Productivity Differentials

Cheung, Yin-Wong; Pascual, Antonio I. Garcia - CESifo - 2001

convergence rates. Consistent with theories, the persistence of productivity differentials is found to be positively correlated …, productivity convergence appears to be enhanced by human capital but deterred by government spending. …

Persistent link: https://www.econbiz.de/10005406322

Real Wage Chronologies

Christofides, Louis; Peng, Amy Chen - CESifo - 2007

We process information in a large number of wage contracts, signed over a period of several decades, to generate the long-run history of the real wage for each bargaining pair. We term these hitherto unexamined histories ‘chronologies’. We are able to generate 1574 continuous real wage...

Persistent link: https://www.econbiz.de/10005406353