Band spectral regression with trending data

Econometrica7031067-1109ECMT

The Determinants of Australian Trade Union Membership.

This paper investigates the determinants of trade union membership in Australia using the Engle and Granger (1987) theory of co-integrated economic variables. Applying the theory of co-integration yields a model of union membership which can be interpreted as distinguishing between long-run and "business cycle" determinants of union membership. The principal long-run determinant of union membership is found to be the level of employment disaggregated by industry classification. Business cycle variables--the real wage and the change in unemployment--are also shown to influence movements in union density. These findings are consistent with recent studies which have attributed the decline in union membership in Australia since the early 1980s to the changing composition of employment and movements in the rate of unemployment. Copyright 1994 by John Wiley & Sons, Ltd.

Joint variance-ratio tests of the martingale hypothesis for exchange rates

Journal of Business and Economic Statistics15151-5

Estimating the long-term effects of advertising on sales: A co-integration perspective

Journal of Marketing Communications22111-12

Asymptotic Properties of Residual Based Tests for Cointegration.

This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript "alpha") and Z(subscript "t") unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically similar, and simple representations of their limiting distributions are given and asymptotic critical values are tabulated. The ADF and Z(subscript "t") tests are asymptotically equivalent. Power properties of the test are also studied. The tests are consistent if suitably constructed, but the ADF and Z(subscript "t") tests have slower rates of divergence under cointegration than the other tests. Copyright 1990 by The Econometric Society.