This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

This paper analyses technical efficiency of European banks over the period 1996-2003 with unbalanced panel data techniques. A latent class frontier model is used which allows the identification of different segments in the production frontier. We find that there are three statistically...

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

This paper analyses monthly hours worked in the US over the sample period 1939m1 – 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary...

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 examines historical data on daily real wages in England for the time period 1260-1994 by means of new statistical techniques suitable for modelling long memory both at the long run and the cyclical frequencies. Specifically, it uses a procedure due to Robinson (1994) which is based,...

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 (unlike earlier studies employing a sequential procedure), using a Lagrange...

This paper analyses impulse response functions in the context of vector fractionally integrated time series. We derive analytically the restrictions required to identify the structural-form system. As an illustration of the recommended procedure, we also carry out an empirical application based...