A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent...

The well-known lack of power of unit root tests has often been attributed to the short length of macroeconomic variables and also to DGP’s that depart from the I(1)-I(0) alternatives. This paper shows that by using long spans of annual real GNP and GNP per capita (133 years) high power can be...

This paper proposes a new time-domain test of a process being I(d), 0 d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between...

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in...

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications...

Although economic inequality has long been viewed as a cause of civil conflict, existing research has not found robust empirical support for this relationship. This study explores the connections between inequality and civil conflict by focusing on the mediating role of ethnic identity. Using...

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent,...

The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate and no consensus has been achieved yet. The goal of this paper is to analyze this controversy using a general approach, with the aim of providing a...

This paper proposes a new time-domain test of a process being I(d), 0 d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between...

This paper analyses the power properties, under fixed alternatives, of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d), d1, relative to LM tests. Further, it extends the implementation of the EFDF test to the presence of deterministic trending...