This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...

This article investigates economic convergence in terms of real income per capita between the autonomous regions of Spain over the period 1955–2020. In order to converge, the series should be cointegrated. This necessary condition is checked using two testing strategies recently proposed for...