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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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  • Guglielmo Caporale
  • Luis Gil-Alana
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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  • Guglielmo Caporale & Luis Gil-Alana, 2006. "Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994," Empirical Economics, Springer, vol. 31(1), pages 83-93, March.
    • Handle: RePEc:spr:empeco:v:31:y:2006:i:1:p:83-93
    DOI: 10.1007/s00181-005-0017-6
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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, May.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2023. "Nominal and real wages in the UK, 1750–2015: mean reversion, persistence and structural breaks," SN Business & Economics, Springer, vol. 3(8), pages 1-10, August.
    4. Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.

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    More about this item

    Keywords

    Gegenbauer processes; Fractional cycles; Long memory; C22;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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