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Persistent Cycles (persistent + cycle)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	50%

Selected Abstracts

Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series

JOURNAL OF TIME SERIES ANALYSIS, Issue 4 2008
Mohamed Boutahar
Abstract., Asymptotic distribution is derived for the least squares estimates (LSE) in the unstable AR(p) process driven by a non-Gaussian long-memory disturbance. The characteristic polynomial of the autoregressive process is assumed to have pairs of complex roots on the unit circle. In order to describe the limiting distribution of the LSE, two limit theorems involving long-memory processes are established in this article. The first theorem gives the limiting distribution of the weighted sum, is a non-Gaussian long-memory moving-average process and (cn,k,1 , k , n) is a given sequence of weights; the second theorem is a functional central limit theorem for the sine and cosine Fourier transforms [source]

The Determinants of Bank Credit in Industrialized Countries: Do Property Prices Matter?

INTERNATIONAL FINANCE, Issue 2 2004
Boris Hofmann
In this study, we analyse the determinants of bank credit to the private non-financial sector in 16 industrialized countries based on a cointegrating VAR. Cointegration analysis suggests that property prices are an important determinant of the long-run borrowing capacity of the private sector, which needs to be taken into account to explain the long-run movements of bank lending. Impulse response analysis reveals that innovations to property prices also have a highly significant and persistent positive dynamic effect on bank lending. This result suggests that innovations to property prices may give rise to significant and persistent cycles in bank lending and are thus a potential explanation for the persistent financial cycles observed in the past. [source]

The Analysis of Seasonal Long Memory: The Case of Spanish Inflation,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 6 2007
Josu Arteche
Abstract This paper describes semiparametric techniques recently proposed for the analysis of seasonal or cyclical long memory and applies them to a monthly Spanish inflation series. One of the conclusions is that this series has long memory not only at the origin but also at some but not all seasonal frequencies, suggesting that the fractional difference operator (1,L12)d should be avoided. Moreover, different persistent cycles are observed before and after the first oil crisis. Whereas the cycles seem stationary in the former period, we find evidence of a unit root after 1973, which implies that a shock has a permanent effect. Finally, it is shown how to compute the exact impulse responses and the coefficients in the autoregressive expansion of parametric seasonal long memory models. These two quantities are important to assess the impact of aleatory shocks such as those produced by a change of economic policy and for forecasting purposes, respectively. [source]

Spanish colonial effects on Native American mating structure and genetic variability in northern and central Florida: Evidence from Apalachee and western Timucua

AMERICAN JOURNAL OF PHYSICAL ANTHROPOLOGY, Issue 2 2005
Christopher M. Stojanowski
Abstract Standard population genetic analyses are implemented for a series of precontact and contact period samples from central and northern Florida to investigate changes in genetic variability and population affinity coincident with the establishment of Spanish missions during the 17th century. Estimates of FST based on odontometric data indicate limited heterogeneity for the Apalachee samples, suggestive of some degree of within-group endogamy for this ethnic group prior to contact. This corresponds well with ethnohistoric reconstructions indicating that Apalachee were populous, partially linguistically isolated from its neighbors, and involved in persistent cycles of warfare with neighboring groups. Estimates of extralocal gene flow for the Apalachee samples indicate limited initial changes in the mating structure of these populations. After 1650, however, extralocal gene flow increases, consistent with evidence for dramatic population movements throughout northern Florida and increased Spanish presence in the province, particularly at the mission of San Luis. Inclusion of non-Apalachee outgroups does not increase estimates of genetic heterogeneity, as was expected based on ethnohistoric data. The pattern of genetic distances suggests a biological division between north and south Florida population groups, consistent with archaeological and ethnohistoric data, and similarly indicates some distinction between precontact and postcontact local groups. Differential extralocal gene flow experienced by pre-1650 Apalachee and Timucua populations suggests localized mission experience. The Apalachee, with large, dense populations, experienced limited initial changes in genetic diversity or mating structure. However, after 1650 they were apparently involved in a much more expansive mating network that may have included Spaniards and immigrant Native American groups to the region. These results are in contrast to the mission experience of the Guale Indians of the Georgia coast. Am J Phys Anthropol, 2005. © 2005 Wiley-Liss, Inc. [source]