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Luis A Gilalana - One of the best experts on this subject based on the ideXlab platform.
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persistence of precious metal prices a Fractional Integration approach with structural breaks
Resources Policy, 2015Co-Authors: Luis A Gilalana, Shinhye Chang, Mehmet Balcilar, Rangan GuptaAbstract:This paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based on a Fractional Integration modelling framework while identifying structural breaks. We use monthly data from 1972:1 to 2013:12. Our results indicate orders of Integration that are equal to or greater than 1 (long memory) in all cases except for silver and palladium where we find strong evidence of mean reversion with a parametric and semiparametric method, respectively. Given some inconsistencies between the parametric and semiparametric results, we suspect the possibility of structural breaks and our results show evidence of structural breaks in almost all cases except palladium. However, after accounting for structural breaks, we find evidence of an increase in the degree of persistence across time in the majority of cases. This implies that in general, shocks to these precious metals will be permanent requiring strong policy measures to return the series to their equilibrium levels in the event of negative shocks.
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Fractional Integration and coIntegration an overview and an empirical application
2009Co-Authors: Luis A Gilalana, Javier HualdeAbstract:In this chapter we first review the theoretical and empirical work on Fractional Integration and coIntegration, placing special emphasis on the estimation procedures for Fractionally cointegrated systems. An empirical application is then carried out using some of the more recently developed techniques in this area. In particular, we investigate the purchasing power parity hypothesis for four bivariate price series, the US (“domestic”) versus the “foreign” countries Australia, Canada, Italy and the UK. Fractional coIntegration is found in the US-UK relationship.
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modelling the us uk and japanese unemployment rates Fractional Integration and structural breaks
Computational Statistics & Data Analysis, 2008Co-Authors: Guglielmo Maria Caporale, Luis A GilalanaAbstract:A general procedure for Fractional Integration and structural breaks at unknown points in time is used, which allows for different orders of Integration and deterministic components in each subsample. First, the procedure is extended to the non-linear case, and it is shown by means of Monte Carlo experiments to perform well in a non-linear environment. Second, it is applied to test for a single break in the unemployment rate in the US, the UK and Japan. The results shed some light on the empirical relevance of alternative unemployment theories for these countries. Specifically, a structuralist interpretation appears more appropriate for the US and Japan, whilst a hysteresis model accounts better for the UK experience (and also for the Japanese one in the second subsample). These findings are interpreted in terms of structural instability in labour markets with different features.
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nonlinearities and Fractional Integration in the us unemployment rate
Oxford Bulletin of Economics and Statistics, 2007Co-Authors: Guglielmo Maria Caporale, Luis A GilalanaAbstract:This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces Fractional Integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a standard limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a Fractionally integrated process, which interacts with some non-linear functions of the labour demand variables (real oil prices and real interest rates). We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather than a NAIRU model with an underlying unemployment equilibrium rate, hence giving support to more activist stabilisation policies. However, any suitable model should also include business cycle asymmetries, with implications for both forecasting and policymaking.
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testing of seasonal Fractional Integration in uk and japanese consumption and income
LSE Research Online Documents on Economics, 2000Co-Authors: Luis A Gilalana, Peter M RobinsonAbstract:The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of Fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle, Granger and Lee (HEGL, 1993). We find that seasonal Fractional Integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these series.
Luis A. Gil-alana - One of the best experts on this subject based on the ideXlab platform.
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Seasonal Monthly Fractional Integration in the UK Unemployment
The IUP Journal of Applied Economics, 2020Co-Authors: Luis A. Gil-alanaAbstract:The paper examines the monthly structure of the UK unemployment(Claimant Count, (CC)) by means of Fractional Integration. The study uses a version of Robinson s (1994) tests that permit the test of the unit roots with integer or Fractional orders of Integration. The results show that the CC series can be well described in terms of a Fractional process with the roots occurring at both the zero and the seasonal (monthly) frequencies. Moreover, the root at zero seems to be more important than the seasonal one, the order of Integration of the former being equal to or higher than 1, while it is strictly smaller than 1 for the seasonal component. Thus, shocks affecting the long run behavior will be permanent, while those affecting the seasonal part will be mean-reverting.
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Inflation in Argentina: Analysis of Persistence Using Fractional Integration
Eastern Economic Journal, 2019Co-Authors: Mateo Isoardi, Luis A. Gil-alanaAbstract:Abstract This paper deals with the analysis of the persistence in the inflation rate in Argentina. For this purpose, we use Fractionally integrated techniques based on monthly and annual data. The results show evidence of Fractional Integration and long memory behavior in both cases, being especially noticeable in the case of monthly data with shocks having long-lived effects.
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Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
Physica A-statistical Mechanics and Its Applications, 2018Co-Authors: Luis A. Gil-alana, Rangan Gupta, Olanrewaju I. Shittu, Olaoluwa S. YayaAbstract:We investigate financial market efficiency in the time series of four daily Baltic stock market indices namely Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and all share index of Vilnius (OMXV), based on historical data from 1 January, 2000 to 22 January 2016. We use Fractional Integration methods to test the hypothesis of efficiency. Realizing that long-memory estimation could be spurious in the presence of structural breaks, we identify bull and bear market phases from each of the time series. Applying the Fractional Integration approach, we find that the random walk hypothesis of market efficiency is generally not rejected in the overall and at two bull and one bear sub-samples of the four Baltic stock indices. The volatility at the bear markets of these stocks persists more than the volatility at the bull markets. Our results therefore provide evidence of weak form of efficiency in the Baltic stock markets, with some exceptions.
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The relationship between healthcare expenditure and disposable personal income in the US states: a Fractional Integration and coIntegration analysis
Empirical Economics, 2018Co-Authors: Guglielmo Maria Caporale, Luis A. Gil-alana, Juncal Cunado, Rangan GuptaAbstract:This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966–2009 using Fractional Integration and coIntegration techniques. The degree of Integration and nonlinearity of both series are found to vary considerably across states, while the Fractional coIntegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
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Fractional Integration and coIntegration in merger and acquisitions in the US petroleum industry
Applied Economics Letters, 2015Co-Authors: Manuel Monge, Luis A. Gil-alanaAbstract:ABSTRACTThis article employs methodologies based on Fractional Integration and coIntegration to analyse the time-series properties of merger and acquisitions (M&A) activity and crude oil prices in the US from 1980 to 2012. Our results indicate that an increase in the crude oil price produces a significant increase in the M&A data between 2 and 3 months after the initial shock.
Rangan Gupta - One of the best experts on this subject based on the ideXlab platform.
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Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
Physica A-statistical Mechanics and Its Applications, 2018Co-Authors: Luis A. Gil-alana, Rangan Gupta, Olanrewaju I. Shittu, Olaoluwa S. YayaAbstract:We investigate financial market efficiency in the time series of four daily Baltic stock market indices namely Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and all share index of Vilnius (OMXV), based on historical data from 1 January, 2000 to 22 January 2016. We use Fractional Integration methods to test the hypothesis of efficiency. Realizing that long-memory estimation could be spurious in the presence of structural breaks, we identify bull and bear market phases from each of the time series. Applying the Fractional Integration approach, we find that the random walk hypothesis of market efficiency is generally not rejected in the overall and at two bull and one bear sub-samples of the four Baltic stock indices. The volatility at the bear markets of these stocks persists more than the volatility at the bull markets. Our results therefore provide evidence of weak form of efficiency in the Baltic stock markets, with some exceptions.
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The relationship between healthcare expenditure and disposable personal income in the US states: a Fractional Integration and coIntegration analysis
Empirical Economics, 2018Co-Authors: Guglielmo Maria Caporale, Luis A. Gil-alana, Juncal Cunado, Rangan GuptaAbstract:This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966–2009 using Fractional Integration and coIntegration techniques. The degree of Integration and nonlinearity of both series are found to vary considerably across states, while the Fractional coIntegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
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persistence of precious metal prices a Fractional Integration approach with structural breaks
Resources Policy, 2015Co-Authors: Luis A Gilalana, Shinhye Chang, Mehmet Balcilar, Rangan GuptaAbstract:This paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based on a Fractional Integration modelling framework while identifying structural breaks. We use monthly data from 1972:1 to 2013:12. Our results indicate orders of Integration that are equal to or greater than 1 (long memory) in all cases except for silver and palladium where we find strong evidence of mean reversion with a parametric and semiparametric method, respectively. Given some inconsistencies between the parametric and semiparametric results, we suspect the possibility of structural breaks and our results show evidence of structural breaks in almost all cases except palladium. However, after accounting for structural breaks, we find evidence of an increase in the degree of persistence across time in the majority of cases. This implies that in general, shocks to these precious metals will be permanent requiring strong policy measures to return the series to their equilibrium levels in the event of negative shocks.
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TESTING FOR Fractional Integration IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
South African Journal of Economics, 2009Co-Authors: Thabo Mishack Mokoena, Rangan Gupta, Renee Van EydenAbstract:This paper utilises "a class test for Fractional Integration" associated with the seminal contribution of Hinich and Chong to appraise the possibility that Southern African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering Fractional Integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that, except for South Africa, none of the SADC real exchange rates are Fractionally integrated. However, the results are found to be sensitive to the size of the sample. Copyright (c) 2009 The Authors. Journal compilation (c) 2009 Economic Society of South Africa.
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Testing for Fractional Integration in SADC Real Exchange Rates
2008Co-Authors: Thabo Mishack Mokoena, Rangan Gupta, Renee Van EydenAbstract:This paper utilises “a class test for Fractional Integration” associated with the seminal contribution of Hinich and Chong (2007) to appraise the possibility that South African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering Fractional Integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that, except for South Africa, none of the SADC real exchange rates are Fractionally integrated. However, the results are found to be sensitive to the size of the sample.
Guglielmo Maria Caporale - One of the best experts on this subject based on the ideXlab platform.
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The relationship between healthcare expenditure and disposable personal income in the US states: a Fractional Integration and coIntegration analysis
Empirical Economics, 2018Co-Authors: Guglielmo Maria Caporale, Luis A. Gil-alana, Juncal Cunado, Rangan GuptaAbstract:This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966–2009 using Fractional Integration and coIntegration techniques. The degree of Integration and nonlinearity of both series are found to vary considerably across states, while the Fractional coIntegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
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The Weekend Effect: A Trading Robot and Fractional Integration Analysis
SSRN Electronic Journal, 2014Co-Authors: Guglielmo Maria Caporale, Luis A. Gil-alana, Alex Plastun, Inna MakarenkoAbstract:This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a Fractional Integration technique for the estimation of the (Fractional) Integration parameter d. The results suggest that trading strategies aimed at exploiting the weekend effect can generate extra profits but only in a minority of cases in the gold and stock markets, whist they appear to be profitable in most cases in the FOREX. Further, the lowest orders of Integration are generally found on Mondays, which can be seen as additional evidence for a weekend effect.
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Fractional Integration and CoIntegration in US Financial Time Series Data
Empirical Economics, 2013Co-Authors: Guglielmo Maria Caporale, Luis A. Gil-alanaAbstract:This paper examines several US monthly financial time series data using Fractional Integration and coIntegration techniques. The univariate analysis based on Fractional Integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d
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Fractional Integration and data frequency
Journal of Statistical Computation and Simulation, 2010Co-Authors: Luis A. Gil-alana, Guglielmo Maria CaporaleAbstract:This paper examines the robustness of Fractional Integration estimates to different data frequencies. We show by means of Monte Carlo experiments that if the number of differences is an integer value (e.g., 0 or 1) there is no distortion when data are collected at wider intervals; however, if it is a Fractional value, the distortion increases as the number of periods between the observations increases, which results in lower orders of Integration than those of the true DGP. An empirical application using the S&P500 index is also carried out.
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modelling the us uk and japanese unemployment rates Fractional Integration and structural breaks
Computational Statistics & Data Analysis, 2008Co-Authors: Guglielmo Maria Caporale, Luis A GilalanaAbstract:A general procedure for Fractional Integration and structural breaks at unknown points in time is used, which allows for different orders of Integration and deterministic components in each subsample. First, the procedure is extended to the non-linear case, and it is shown by means of Monte Carlo experiments to perform well in a non-linear environment. Second, it is applied to test for a single break in the unemployment rate in the US, the UK and Japan. The results shed some light on the empirical relevance of alternative unemployment theories for these countries. Specifically, a structuralist interpretation appears more appropriate for the US and Japan, whilst a hysteresis model accounts better for the UK experience (and also for the Japanese one in the second subsample). These findings are interpreted in terms of structural instability in labour markets with different features.
Renee Van Eyden - One of the best experts on this subject based on the ideXlab platform.
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TESTING FOR Fractional Integration IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
South African Journal of Economics, 2009Co-Authors: Thabo Mishack Mokoena, Rangan Gupta, Renee Van EydenAbstract:This paper utilises "a class test for Fractional Integration" associated with the seminal contribution of Hinich and Chong to appraise the possibility that Southern African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering Fractional Integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that, except for South Africa, none of the SADC real exchange rates are Fractionally integrated. However, the results are found to be sensitive to the size of the sample. Copyright (c) 2009 The Authors. Journal compilation (c) 2009 Economic Society of South Africa.
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Testing for Fractional Integration in SADC Real Exchange Rates
2008Co-Authors: Thabo Mishack Mokoena, Rangan Gupta, Renee Van EydenAbstract:This paper utilises “a class test for Fractional Integration” associated with the seminal contribution of Hinich and Chong (2007) to appraise the possibility that South African Development Community (SADC) real exchange rates can be treated as long memory processes. The justification for considering Fractional Integration is that the general failure to reject the unit-root hypothesis in real exchange rates is caused by the restrictiveness of standard unit-root tests regarding admissible low-frequency dynamic behaviour. The paper presents evidence that, except for South Africa, none of the SADC real exchange rates are Fractionally integrated. However, the results are found to be sensitive to the size of the sample.
