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Transitory exogenous shocks in a non-linear framework: application to the cyclical behaviour of the German aggregate wage earnings

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  • Mohamed Chikhi
  • Claude Diebolt

Abstract

This paper analyses the cyclical behaviour of the German annual aggregate wage earnings over 179 years. Our results show that there are transitory exogenous shocks which contain predictive information for aggregate wages in a non-linear framework.

Suggested Citation

  • Mohamed Chikhi & Claude Diebolt, 2009. "Transitory exogenous shocks in a non-linear framework: application to the cyclical behaviour of the German aggregate wage earnings," Historical Social Research (Section 'Cliometrics'), Association Française de Cliométrie (AFC), vol. 34(1), pages 354-366.
  • Handle: RePEc:afc:histor:v:34:y:2009:i:1:p:354-366
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    Cited by:

    1. Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.
    2. Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

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