相关论文: Long memory, fractional integration and cointegrat…

Data for many nations show a long-run increase, over many decades, of income, indexed by GDP per capita, and population health, indexed by mortality or life expectancy at birth (LEB). However, the short-run and long-run relationships…

This paper studies convergence properties of multivariate distributions constructed by endowing empirical margins with a copula. This setting includes Latin Hypercube Sampling with dependence, also known as the Iman--Conover method. The…

We study the stability of two coexisting languages (Catalan and Spanish) in Catalonia (North-Eastern Spain), a key European region in political and economic terms. Our analysis relies on recent, abundant empirical data that is studied…

This paper shows that utilizing information on the extensive margin of financially constrained households can narrow down the set of admissible preferences in a large class of macroeconomic models. Estimates based on Spanish aggregate data…

We consider a common-components model for multivariate fractional cointegration, in which the $s\geq1$ components have different memory parameters. The cointegrating rank may exceed 1. We decompose the true cointegrating vectors into…

In this paper, we show that geometric functionals (e.g., excursion area, boundary length) evaluated on excursion sets of sphere-cross-time long memory random fields can exhibit fractional cointegration, meaning that some of their linear…

Spatiotemporal modeling of economic aggregates is increasingly relevant in regional science due to the presence of both spatial spillovers and temporal dynamics. Traditional temporal disaggregation methods, such as Chow-Lin, often ignore…

A linear and lagged relationship between inflation and labor force change rate, p(t)= A1dLF(t-t1)/LF(t-t1)+A2 was found for developed economies. For the USA, A1=4.0, A2=-0.03075, and t1=2 years. It provides a RMS forecasting error (RMFSE)…

We propose a setup for fractionally cointegrated time series which is formulated in terms of latent integrated and short-memory components. It accommodates nonstationary processes with different fractional orders and cointegration of…

Certain theoretical aspects of vector autoregression (VAR) as tools to model economic time series are revised, in particular their capacity to include both short term and long term information. The VAR model, in its error correction form,…

The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We show that, in the presence of multifractality, conventional…

This study analyses, through cross-section estimation methods, the influence of spatial effects in the conditional product convergence in the parishes' economies of mainland Portugal between 1991 and 2001 (the last year with data available…

In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…

We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local…

This article develops nonparametric cointegrating regression models with endogeneity and semi-long memory. We assume that semi-long memory is produced in the regressor process by tempering of random shock coefficients. The fundamental…

A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component of the GDP growth rate represents an economic trend and is inversely proportional to the attained level of real GDP per…

Purpose: The article aims to visualise in a single graph fish and meat processing company groups in Spain with respect to long-term solvency, energy, waste and water intensity and gender employment gap. Design/methodology/approach: The…

The problem of estimating missing fragments of curves from a functional sample has been widely considered in the literature. However, a majority of the reconstruction methods rely on estimating the covariance matrix or the components of its…

A linear and lagged relationship between inflation, unemployment and labor force change rate, p(t)=A0UE(t-t0)+A1dLF(t-t1)/LF(t-t1)+ A2, where A0, A1, and A2 are empirical country-specific coefficients, was found for developed economies. The…

This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a…