We study the Danish unemployment experience 1905-92 using a common trends model with cointegration constraints. To justify the identifying assumptions about the cointegration vectors and the common trends we present a simple macroeconomic model of the labor market. The model determines the long run behavior of labor productivity, employment, unemployment, real product and real consumer wages. T...

Consanguineous marriages and their effects on human beings in light of biological effects of genetic sicknesses are discussed in many studies. Among many, the likelihood of sicknesses such as phenylketonuria, thalassemia, Landsteiner–Fanconi–Anderson’s syndrome, hemophilia and many neuro system anomalies increase drastically in countries with consanguineous marriage practices resulting in incre...

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. Recent semiparametric methods of inference on memory parameters are developed to explore the possibility of fractional cointegration by means of testing the memory of observables and also new tests for the presence of fractional cointegration. These, along with narrow band estimates...

Purpose of this paper is twofold. It is first to offer a rough overview on the field of threshold cointegration, from the seminal paper of Balke and Fomby (1997) to the recent developments. Simultaneously, it is to describe the implementation of the main functionalities for the modeling in the open-source package tsDyn. It provides hence a unique way to get an introduction on the threshold coin...

This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling jointly the cointegration restrictions at the different frequencies may induce some efficiency gain in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already exist...

This paper offers a detailed assessment of the Balassa-Samuelson (BS) effect in eight Central and Eastern European countries (CEEC8). Several features distinguish this study from others: First, we investigate a variety of specifications of extended models. Nonhomogeneity of wages, deviations from PPP in tradables and demand side variables are found to importantly contribute to explain inflation...

In this study, we assess the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured i...