caa a22 4500 467895929 CHVBK 20180406152804.0 cr unu---uuuuu 170328e20060301xx s 000 0 eng 10.1007/s00181-005-0017-6 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0017-6 Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260-1994 [Elektronische Daten] [Guglielmo Caporale, Luis Gil-Alana] 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) Efficient tests of nonstationary hypotheses. J Am Stat Assoc 89:1420-1437) 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). Springer-Verlag, 2006 Gegenbauer processes nationallicence Fractional cycles nationallicence Long memory nationallicence Caporale Guglielmo Brunel Business School, Brunel University, Uxbridge, UB8 3PH, Middlesex, UK aut Gil-Alana Luis Facultad de Ciencias Economicas, Universidad de Navarra, Edificio Biblioteca, Entrada Este, E-31080, Pamplona, Spain aut Empirical Economics Springer-Verlag 31/1(2006-03-01), 83-93 0377-7332 31:1<83 2006 31 181 https://doi.org/10.1007/s00181-005-0017-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0017-6 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Caporale Guglielmo Brunel Business School, Brunel University, Uxbridge, UB8 3PH, Middlesex, UK aut NATIONALLICENCE 700 1- Gil-Alana Luis Facultad de Ciencias Economicas, Universidad de Navarra, Edificio Biblioteca, Entrada Este, E-31080, Pamplona, Spain aut NATIONALLICENCE 773 0- Empirical Economics Springer-Verlag 31/1(2006-03-01), 83-93 0377-7332 31:1<83 2006 31 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer