This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

This paper proposes a consistent test for the goodness-of-fit of parametric regression models which overcomes two important problems of the existing tests, namely, the poor empirical power and size performance of the tests due to the curse of dimensionality and the choice of subjective...

Economic theories in dynamic contexts usually impose certain restrictions on the conditional mean of the underlying economic variables. Omnibus specification tests are the primary tools to test such restrictions when there is no information on the possible alternative. In this paper we study in...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...

This paper contributes to the permanent income hypothesis (PIH) and excess consumption smoothness debate in the context of fractional integration. We show that the excess consumption smoothness result is a consequence of the quarterly data frequency commonly employed in empirical work. In fact,...

The sustainability of fiscal deficits has received in recent years increasing attention from economists. Empirical work has concentrated on both the univariate properties of debt and the cointegration properties of public revenues and expenditures. In this paper, we examine if sustainability of...

This article examines the real convergence hypothesis in 15 OECD countries. For this purpose, we examine the order of integration of the real GDP per capita series in these countries as well as their differences with respect to the US which is used as a benchmark country. We use both parametric...

This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data...