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Luis A. Gil-Alana

Bio: Luis A. Gil-Alana is an academic researcher from University of Navarra. The author has contributed to research in topics: Mean reversion & Cointegration. The author has an hindex of 45, co-authored 647 publications receiving 9074 citations. Previous affiliations of Luis A. Gil-Alana include London School of Economics and Political Science & Universidad Francisco de Vitoria.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the authors applied the tests for unit root and other nonstationarity of Robinson (1994a) to an extended version of the data set used by Nelson and Plosser (1982).

435 citations

Posted Content
TL;DR: In this article, the authors applied the tests for unit root and other nonstationarity of Robinson (1994a) to an extended version of the data set used by Nelson and Plosser (1982) and found that consumer price index and money stock seem the most nonstationary, while industrial production and unemployment rate seem the closest to stationarity.
Abstract: Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against appropriate parametric alternatives), the null can be any member of the I(d) class, and the null limit distribution is chi-squared. The conclusions vary substantially across fourteen series, and across different models of the disturbances (which, also unusually, include the Bloomfield spectral model). Overall, the consumer price index and money stock seem the most nonstationary, while industrial production and unemployment rate seem the closest to stationarity.

382 citations

Journal ArticleDOI
TL;DR: In this paper, the analysis of structural breaks in the context of fractionally integrated models is dealt with, assuming that the break dates are unknown and that the different sub-samples possess different intercepts, slope coefficients and fractional orders of integration.
Abstract: . This article deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub-samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on linear regression models using a grid of values for the fractional differencing parameters and least squares estimation. Several Monte Carlo experiments conducted across the study show that the procedure performs well if the sample size is large enough. Two empirical applications are described at the end of the article.

248 citations

Journal ArticleDOI
06 Jun 2020
TL;DR: In this paper, the effect of the COVID-19 crisis on crude oil prices was investigated by using long memory techniques, showing that the oil price series is highly persistent with an order of integration of 084, displaying mean reversion.
Abstract: The effect of the COVID-19 crisis on crude oil prices is investigated by using long memory techniques The oil price series is highly persistent with an order of integration of 084, displaying mean reversion When we examine data before the onset of COVID-19, the first order integration hypothesis cannot be rejected The results are consistent with evidence of market efficiency prior to the crisis, with the oil market becoming inefficient when incorporating the data covering the crisis The evidence that oil price series is mean reverting implies that the shock will be transitory albeit with very long-lasting effects

209 citations

Journal ArticleDOI
TL;DR: In this article, two different long-memory methods (R/S analysis and fractional integration) are used to analyse the persistence of the cryptocurrency market and its degree changes over time.

174 citations


Cited by
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Book
01 Jan 2009

8,216 citations

01 Jan 1964
TL;DR: In this paper, the notion of a collective unconscious was introduced as a theory of remembering in social psychology, and a study of remembering as a study in Social Psychology was carried out.
Abstract: Part I. Experimental Studies: 2. Experiment in psychology 3. Experiments on perceiving III Experiments on imaging 4-8. Experiments on remembering: (a) The method of description (b) The method of repeated reproduction (c) The method of picture writing (d) The method of serial reproduction (e) The method of serial reproduction picture material 9. Perceiving, recognizing, remembering 10. A theory of remembering 11. Images and their functions 12. Meaning Part II. Remembering as a Study in Social Psychology: 13. Social psychology 14. Social psychology and the matter of recall 15. Social psychology and the manner of recall 16. Conventionalism 17. The notion of a collective unconscious 18. The basis of social recall 19. A summary and some conclusions.

5,690 citations

Posted Content
TL;DR: A theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification.
Abstract: Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

4,284 citations

01 Jan 2002
TL;DR: This article investigated whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997) with negative results.
Abstract: We investigate whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997), with negative results. We then investigate the evolution of income inequality over the same period and its correlation with growth. The dominating feature is inequality convergence across countries. This convergence has been significantly faster amongst developed countries. Growth does not appear to influence the evolution of inequality over time. Outline

3,770 citations

Journal Article
TL;DR: A detailed review of the education sector in Australia as in the data provided by the 2006 edition of the OECD's annual publication, 'Education at a Glance' is presented in this paper.
Abstract: A detailed review of the education sector in Australia as in the data provided by the 2006 edition of the OECD's annual publication, 'Education at a Glance' is presented. While the data has shown that in almost all OECD countries educational attainment levels are on the rise, with countries showing impressive gains in university qualifications, it also reveals that a large of share of young people still do not complete secondary school, which remains a baseline for successful entry into the labour market.

2,141 citations