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Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994

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  • Luis Alberiko Gil-Alana

    ()

  • Guglielmo M.Caporale

    ()

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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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 18/05.

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Length: 19 pages pages
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Publication status: Published, Empirical Economics, 2005, vol. 31(1): pp. 83-92.
Handle: RePEc:una:unccee:wp1805

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Web page: http://www.unav.es/facultad/econom

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Cited by:
  1. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
  2. Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013. "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, 05.
  3. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.

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