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This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation and its growth rate. The results indicate that...
Persistent link: https://www.econbiz.de/10013550205
This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former exhibits an upward trend and is persistent but...
Persistent link: https://www.econbiz.de/10013550208
This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...
Persistent link: https://www.econbiz.de/10013285647
This paper uses R/S analysis and fractional integration techniques to investigate persistence in the passion investment market. Specifically, it analyses 3 fine wine price indices, 10 diamond price indices, 15 art price indices, and 1 stamp price index at the daily, monthly and quarterly...
Persistent link: https://www.econbiz.de/10012821953
Short memory models contaminated by level shifts have similar long-memory features as fractionally integrated processes. This makes it hard to verify whether the true data generating process is a pure fractionally integrated process when employing standard estimation methods based on the...
Persistent link: https://www.econbiz.de/10011287069
Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...
Persistent link: https://www.econbiz.de/10011477601
This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...
Persistent link: https://www.econbiz.de/10011619594
This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...
Persistent link: https://www.econbiz.de/10011619676
We propose a simple test on structural change in long-range dependent time series. It is based on the idea that the test statistic of the standard CUSUM test retains its asymptotic distribution if it is applied to fractionally differenced data. We prove that our approach is asymptotically valid...
Persistent link: https://www.econbiz.de/10011655296
We propose a family of self-normalized CUSUM tests for structural change under long memory. The test statistics apply non-parametric kernel-based fixed-b and fixed-m long-run variance estimators and have well-defined limiting distributions that only depend on the long-memory parameter. A Monte...
Persistent link: https://www.econbiz.de/10011957769