A fractionally integrated exponential model for UK unemployment
نویسندگان
چکیده
منابع مشابه
A fractionally integrated model with a mean shift for the US and the UK real oil prices
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the series without a mean shift, they are both nonstationary I(1). However, allowing for a mean shift dur...
متن کاملA fractionally integrated ECOGARCH process
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) process. It is defined in such a way that it is a continuous time extension of the discrete time FIEGARCH(p, d, q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volatility propagates to the volatility pr...
متن کاملFractionally integrated process for transition economics
We analyze the European transition economics and show that many time series of major indices exhibit (i) power-law correlations in their values, (ii) power-law correlations in their magnitudes and (iii) an asymmetric probability distribution. Applying the phase randomization procedure to these time series, we show that magnitude correlations completely vanish. We propose a stochastic model that...
متن کاملInvariance principles for fractionally integrated nonlinear processes
Invariance principles (or functional central limit theorems) play an important role in econometrics and statistics. For example, to obtain asymptotic distributions of unit-root test statistics, researchers have applied invariance principles of various forms; see [24, 30, 40] among others. The primary goal of this paper is to establish invariance principles for a class of fractionally integrated...
متن کاملUnemployment Dynamics in the UK
We are grateful to Luis Gil-Alana, Stephen Hall, Dennis Snower and an anonymous referee for their comments. Particular thanks are also due to Stephen Nickell for his advice when preparing this paper. Financial support from ESRC grant No. L16251003, 'Macro modelling and Policy Analysis in a Changing World' is gratefully acknowledged. The usual disclaimer applies. This paper examines the determin...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2001
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.790