This article deals with econometric developments for the estimation of gravity model, which allow to get convergent parameter estimates even when a correlation exists between the explanatory variables and the specific unobservable characteristics of each individual. We implement panel data...

Inflation convergence between the Euro Zone and its CEE partners is investigated using panel data methods that incorporate structural shifts. Strong rejections of the unit root hypothesis are found, and therefore evidence of PPP, in the East-European countries for the 1995:1 to 2000:4 period.

Using Monte Carlo simulations, it is shown that fitting a mis-specified GARCH model to a true MS-GARCH process tends to produce IGARCH parameter estimates. In other words, the presence of structural breaks can result in spuriously high estimates of the degree of persistence of shocks to the...

We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...

In this article, we carry out unit root tests on real exchange rates recursively as in Caporale et al. (2003), but, following Arghyrou and Gregoriou (2007), we adjust the residuals for non-normality and heteroscedasticity using a wild bootstrap method. The results are striking: this correction...

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,...

In this note the empirical evidence presented by Karfakis and Moschos (1990) and Katsimbris and Miller (1993) on interest rate linkages in the EMS is reinterpreted and their finding of non-stationarity of interest rate differentials in the EMS is rationalized. It is argued that their results are...