This article provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our...

This article investigates the real convergence of 17 Latin American countries to the US economy for the period 1950 to 2011. Time series methods are used to test stochastic and β-convergence. These methods include the possibility of one or two structural changes. The results show that when...

This article deals with the analysis of house price indexes from a long-range dependence viewpoint. In particular, it estimates the fractional differencing parameter in the London and Paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the...

This article investigates inflation in Mozambique using long-range dependence (LRD) techniques in monthly data from December 1995 to October 2012. Two important features of the data are analysed: persistence and seasonality, looking at aggregated and disaggregated data. The stability of the...

This article examines the persistence of unemployment in the USA and four European countries by means of fractionally integrated ARMA (ARFIMA) models. In doing so, a type of flexibility in modelling low-frequency dynamics not achieved by non-fractionally ARIMA models can be provided. The results...

This article deals with the relationship between international travelling and trade. For this purpose we focus on a particular case study: the connection between the Spanish wine exports to Germany and the German travellers to Spain. Unlike previous studies we use a methodology based on...

The US real GNP is analysed by means of fractionally integrated techniques. LM tests proposed by Robinson for testing unit roots and other fractionally integrated hypotheses are applied to the quarterly GNP series and to its log-transformation. The maximum likelihood estimation procedure of...

The annual structure of the real GDP in the UK, France, Germany and Italy is examined by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (Journal of the American Statistical Association, 84, 1420-37, 1994), it is shown that the series can be...

The order of integration of the industrial production index in the UK is investigated by means of semiparametric techniques in the time and in the frequency domain. Several methods like the R\S statistic, along with others proposed by Robinson in a number of articles are applied to various...

Seasonal fractional models are shown in this article to be alternative credible ways of modelling the seasonal component in macroeconomic time series. A testing procedure that allows one to test different orders of integration at zero and at each of the seasonal frequencies is described. This...