Paper 42

Long memory analysis (November 2020)

1. Data set (Unemployment rate) US, Japan, Germany, UK, France

International Monetary Fund. 2020. International financial statistics. Accessed February 16 2020 at: https://data.imf.org/

1. Data set (from IMF) quarterly unemployment 1994Q1-2018Q4 (US, Japan, Germany, UK, France)

2a. OxGauss Codes 1 (the ADF test, the FADF test, the ADF-SB test, the FADF-SB test)

2b. OxGauss Codes 2 (the SUR-ADF test and the SUR-FADF test)

3a. OxGauss Codes for Geweke-Porter-Hudak (without imaginary number)

3b. OxGauss Codes for Hurst exponent

4a. OxGauss codes for analysis of the Lagrange Multiplier (LM) analysis in Robinson (1994): Gil-Alana (2004), periodogram are estimated without imaginary

5a. OxGauss codes for analysis of the Confidence Interval (CI) analysis in the Alana-Yaya (AY) test (Gil-Alana and Yaya, 2004)

Reference:

Gil-Alana, L.A., and O.S. Yaya. 2020. “Testing Fractional Unit Root with Non-linear Smooth Break Approximations Using Fourier Functions.” Journal of Applied Statistics. doi: 10.1080/02664763.2020.1757047.