Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994

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Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994

Author Info

Guglielmo Maria Caporale ()
Luis A. Gil-Alana

Additional information is available for the following registered author(s):

Luis Alberiko Gil-Alana

Abstract

This paper examines historical data on daily real wages in England for the time period 1260-1994 by means of new statistical techniques suitable for modelling long memory both at the long run and the cyclical frequencies. Specifically, it uses a procedure due to Robinson (1994) which is based, for the cyclical component, on Gegenbauer processes. We test for the presence of unit (and fractional) roots at both the zero and the cyclical frequencies, and find that the root at the zero frequency plays a much more important role than the cyclical one, though the latter frequency also has a component of long memory behaviour. It also appears that the trending (zero frequency) component is nonstationary while the cyclical one is stationary, with shocks having permanent effects on the former, but transitory effects on the latter. Similar conclusions are reached when allowing for a break in 1875 (the beginning of the Second Industrial Revolution).

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Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 04-21.

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Length: 17 pages
Date of creation: Oct 2004
Date of revision:
Handle: RePEc:bru:bruedp:04-21

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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Article
- Guglielmo Caporale & Luis Gil-Alana, 2006. "Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994," Empirical Economics, Springer, vol. 31(1), pages 83-93, March. [Downloadable!] (restricted)
Paper
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Public Policy Discussion Papers 04-21, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
- Luis Alberiko Gil-Alana & Guglielmo M.Caporale, . "Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994," Faculty Working Papers 18/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2004-10-21 (All new papers)
NEP-ETS-2004-10-21 (Econometric Time Series)
NEP-FIN-2004-10-21 (Finance)
NEP-HIS-2004-10-21 (Business, Economic & Financial History)

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