Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifing the data generating process we employ local Whittle estimates which uses only...

In this paper, decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation. Under the assumptions of exogenous oil prices and world oil demand, we are able to describe the relationship between oil production levels and...

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...

New macro empirical evidence is provided to assess the relative importance of object and idea gaps in explaining the world income distribution dynamics over a benchmark period 1960-1985. Results are then extended through 1995. Formal statistical hypothesis tests allow us to discriminate between...