In this article we propose a new method for testing nonstationary cycles in financial time series data. In particular, we use a procedure due to Robinson (1994) that permits us to test unit root cycles in raw time series. These tests have several distinguishing features compared with other...

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

This paper deals with the presence of long range dependence at the long run and the cyclical frequencies in macroeconomic time series. We use a procedure that allows us to test unit roots with fractional orders of integration in raw time series. The tests are applied to an extended version of...

This paper deals with the analysis of structural breaks in the context of fractionally integrated models. We assume that the break dates are unknown and that the different sub-samples possess different intercepts, slope coefficients and fractional orders of integration. The procedure is based on...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...

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,...

In this paper, we test if stock index prices follow random walks in the Spanish Stock Market by means of variance ratios. We find strong evidence of positive autocorrelation for both IGBM and IBEX35 daily returns until 1977, but not after that date. Although weekly and monthly index positive...

A general procedure for fractional integration and structural breaks at unknown points in time is used, which allows for different orders of integration and deterministic components in each subsample. First, the procedure is extended to the non-linear case, and is showed by means of Monte Carlo...

In this article we propose a new approach that permits us to simultaneously test unit and fractional roots at the long run and the seasonal frequencies. We examine the industrial production indexes in four Latin American countries (Brazil, Argentina, Colombia and Mexico), using new statistical...

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...