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Evaluation of Robinson's (1994) tests in finite sample

Gil-Alaña, Luis A. - 1999

Persistent link: https://www.econbiz.de/10001395809

A fractionally integrated exponential model for UK uneomployment

Gil-Alaña, Luis A. - In: Journal of forecasting 20 (2001) 5, pp. 329-340

Persistent link: https://www.econbiz.de/10001611315

A fractional multivariate long memory model for the US and the Canadian real output

Gil-Alaña, Luis A. - In: Economics letters 81 (2003) 3, pp. 355-359

Persistent link: https://www.econbiz.de/10001835515

Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate

Gil-Alaña, Luis A. - In: Applied economics letters 10 (2003) 2, pp. 103-105

Persistent link: https://www.econbiz.de/10001747248

Measuring the memory parameter on several transformations of asset returns

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 675-692

Persistent link: https://www.econbiz.de/10003133833

Long run and seasonal long memory effects in the S&P 500 monthly total stock market index

Gil-Alaña, Luis A. - In: European review of economics and finance 3 (2004) 2, pp. 49-63

Persistent link: https://www.econbiz.de/10002091206

Testing of real convergence in Germany in the presence of structural breaks

Gil-Alaña, Luis A. - In: The Singapore economic review : journal of the Economic … 50 (2005) 1, pp. 93-101

Persistent link: https://www.econbiz.de/10002806283

A joint test of fractional cyclic integration and a linear time trend

Gil-Alaña, Luis A. - 2001

We propose in this article a joint test for testing simultaneously a deterministic trend component and the degree of integration of the cyclical component in a given time series. The test is directly derived from Robinson's (1994) procedure, which is based on the Lagrange Multiplier (LM)...

Persistent link: https://www.econbiz.de/10009613609

Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate

Gil-Alaña, Luis A. - In: Journal of the Japanese and international economies : … 20 (2006) 1, pp. 87-98

Persistent link: https://www.econbiz.de/10003296955

Mean reversion or unit roots in the Japanese real exchange rate

Gil-Alaña, Luis A. - In: The Asia Pacific journal of economics and business : APJEB 10 (2006) 2, pp. 54-68

Persistent link: https://www.econbiz.de/10003491517