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Measuring inequality persistence in OECD 1963-2008 using fractional integration and cointegration

Gil-Alaña, Luis A.; Škare, Marinko; … - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 65-72

Persistent link: https://www.econbiz.de/10012176225

Testing for single bubble episode in the Nigerian stock market : an empirical investigation

Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49

This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...

Persistent link: https://www.econbiz.de/10012178349

Wavelet energy ratio unit root tests

Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10012180698

Time series analysis of economic growth rate series in Nigeria : structural breaks, non-linearities and reasons behind the recent recession

Awe, Olushina Olawale; Gil-Alaña, Luis A. - In: Applied economics 51 (2019) 50, pp. 5482-5489

Persistent link: https://www.econbiz.de/10012197247

Testing Okun's Law : theoretical and empirical considerations using fractional integration

Gil-Alaña, Luis A.; Škare, Marinko; Blazevic Buric, Sanja - In: Applied economics 52 (2020) 5, pp. 459-474

Persistent link: https://www.econbiz.de/10012197424

Modeling multivariate time series with fractional integration in macroeconomics and finance

Weigand, Roland - 2018

Persistent link: https://www.econbiz.de/10012197752

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020

This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...

Persistent link: https://www.econbiz.de/10012219127

Are central bankers inflation nutters? : an MCMC estimator of the long-memory üarameter in a state space model

Andersson, Fredrik N. G.; Li, Yushu - In: Computational economics 55 (2020) 2, pp. 529-549

Persistent link: https://www.econbiz.de/10012223649

Inflation persistence before and after inflation targeting : a fractional integration approach

Canarella, Giorgio; Miller, Stephen M. - In: Eastern economic journal 43 (2017) 1, pp. 78-103

Persistent link: https://www.econbiz.de/10012238865

Particulate matter 10 (PM10): persistence and trends in eight European capitals

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

This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on...

Persistent link: https://www.econbiz.de/10012240434