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Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...

Persistent link: https://www.econbiz.de/10012199998

Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Persistent link: https://www.econbiz.de/10013417630

Bias correction of KPSS test with structural break for reducing of size distortion

Skrobotov, Anton - In: Journal of time series econometrics 6 (2014) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10010225253

A comparison of dynamic panel data estimators : Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results … clearly favour the direct bias corrected estimators, especially the estimator proposed by Hansen (2001). The superiority of …

Persistent link: https://www.econbiz.de/10011431996