Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994
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).
|Date of creation:||Oct 2004|
|Date of revision:|
|Contact details of provider:|| Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gregory D. Hess & Shigeru Iwata, 1997.
"Asymmetric persistence in GDP? A deeper look at depth,"
Research Working Paper
97-02, Federal Reserve Bank of Kansas City.
- Hess, Gregory D. & Iwata, Shigeru, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Journal of Monetary Economics, Elsevier, vol. 40(3), pages 535-554, December.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Ferrara, Laurent & Guegan, Dominique, 2001.
"Forecasting with k-Factor Gegenbauer Processes: Theory and Applications,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
- Laurent Ferrara & Dominique Guegan, 2001. "Forecasting with k-factor Gegenbauer Processes: Theory and Applications," Post-Print halshs-00193667, HAL.
- Lawrence F. Katz & Olivier Blanchard, 1999.
"Wage Dynamics: Reconciling Theory and Evidence,"
American Economic Review,
American Economic Association, vol. 89(2), pages 69-74, May.
- Bertrand Candelon & Luis A. Gil-Alana, 2004.
"Fractional integration and business cycle features,"
Springer, vol. 29(2), pages 343-359, 05.
- Candelon, Bertrand & Gil-Alaña, Luis A., 2001. "Fractional integration and business cycle features," SFB 373 Discussion Papers 2001,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana & Bertrand Candelon, 2004. "Fractional Integration and Business Cycles Features," Faculty Working Papers 09/04, School of Economics and Business Administration, University of Navarra.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Romer, Christina, 1986. "Spurious Volatility in Historical Unemployment Data," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 1-37, February.
- Christina D. Romer, 1992.
"Remeasuring Business Cycles,"
NBER Working Papers
4150, National Bureau of Economic Research, Inc.
- Phillips, P.C.B., 1986.
"Testing for a Unit Root in Time Series Regression,"
Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
- Francis X. Diebold & Glenn D. Rudebusch, 1990.
"Have postwar economic fluctuations been stabilized?,"
Discussion Paper / Institute for Empirical Macroeconomics
33, Federal Reserve Bank of Minneapolis.
- Diebold, Francis X & Rudebusch, Glenn D, 1992. "Have Postwar Economic Fluctuations Been Stabilized?," American Economic Review, American Economic Association, vol. 82(4), pages 993-1005, September.
- Francis X. Diebold & Glenn D. Rudebusch, 1991. "Have postwar economic fluctuations been stabilized?," Working Paper Series / Economic Activity Section 116, Board of Governors of the Federal Reserve System (U.S.).
- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262022834, December.
- Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Canova, Fabio, 1993.
"Detrending and Business Cycle Facts,"
CEPR Discussion Papers
782, C.E.P.R. Discussion Papers.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Paul G. Fisher & Gunnar BÅrdsen, 1999. "Economic theory and econometric dynamics in modelling wages and prices in the United Kingdom," Empirical Economics, Springer, vol. 24(3), pages 483-507.
When requesting a correction, please mention this item's handle: RePEc:bru:bruppp:04-21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John.Hunter)
If references are entirely missing, you can add them using this form.