Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994

Luis Gil-Alana and Guglielmo Maria Caporale

No 18/05, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

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).

JEL-codes: C15 C22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-11-01
New Economics Papers: this item is included in nep-his
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Citations: View citations in EconPapers (2)

Published, Empirical Economics, 2005, vol. 31(1): pp. 83-92.

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http://www.unav.edu/documents/10174/6546776/1136802319_wp1805.pdf (application/pdf)

Related works:
Journal Article: Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994 (2006)
Working Paper: LONG MEMORY AT THE LONG RUN AND AT THE CYCLICAL FREQUENCIES: MODELLING REAL WAGES IN ENGLAND, 1260 -1994 (2004)
Working Paper: LONG MEMORY AT THE LONG RUN AND AT THE CYCLICAL FREQUENCIES: MODELLING REAL WAGES IN ENGLAND, 1260 -1994 (2004)
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