The real GDP series of sixteen European countries along with Japan, Canada and the US are examined in this paper by means of fractional integration techniques. The results crucially depend on how we specify the I(0) disturbances, as white noise or autoregressions. Thus, in the former case the...

This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are...

This paper seeks to shed light on possible changes in the government debt dynamics for the first 12 euro area countries. Structural breaks are present around the global financial crisis for most countries, but not for Germany and France, the two core countries in the euro area. The properties of...

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...

This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are...

The real GDP series of sixteen European countries along with Japan, Canada and the US are examined in this paper by means of fractional integration techniques. The results crucially depend on how we specify the I(0) disturbances, as white noise or autoregressions. Thus, in the former case the...

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...

The co-movement of US sovereign rates suggests a long-run equilibrium relationship.Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model...