This article estimates a fractional integration model with nonlinear deterministic trends for the inflation rates of five African countries. The results indicate that nonlinearities are present in the case of Angola and Lesotho, but not in the case of Botswana, Namibia and South Africa....

This article examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

This study shows that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. It uses a procedure that enables one to test simultaneously for the roots at all these frequencies. The results...

This article analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow-Jones and the S&P stock market indices. The three series are modelled as long-memory processes with poles in the spectrum at multiple frequencies,...

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, fractional integration/cointegration techniques are used which allow for the...

We analyse the extent of the negative effects of violence in the Basque Country on the financial and economic activity of the region. We use daily data of the Basque stock market index and employ long memory regression models, with the Spanish stock market index and an index for violence...

In the paper the unemployment rate series of nineteen countries are examined by means of fractionally integrated techniques. The results show that unemployment series are more persistent in some countries, such as Finland, Belgium or Spain, than in others, like the USA, Japan, Austria, Italy or...

This article deals with the analysis of the long memory property in the growth rates of the real GDP series across various countries, allowing for a mean break at an unknown period of time. We use a procedure suggested by Hsu and Kuan (1998, 2000) and the results show that the mean break takes...

The annual structure of the real exchange rates in sixteen European countries is examined in this article by means of fractional integration techniques. The results show that the highest degree of dependence between the observations is obtained for countries Finland or Spain whereas Switzerland...

The persistence of output in the Spanish economy is examined by means of looking at its order of integration. The procedure used is due to Robinson (Journal of the American Statistical Association, 89 1420-1437, 1994) that permits us to test I(d) statistical models. However, instead of assuming...