In a recent paper, Yoon (2003) shows that the Stochastic Unit Root (STUR) model is closely related to long memory processes, and, in particular, that it is a special case of an I(d) process, with d = 1.5. In this paper we further examine this issue by using parametric and semiparametric...

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit roots with possibly fractional orders of integration both at the zero...

In this paper fractionally integrated ARIMA (ARFIMA) models are estimated using an extended version of Nelson and Plosser’s (1982) dataset. The analysis employs Sowell’s (1992) maximum likelihood procedure. Such a parametric approach requires the model to be correctly specified in order for...

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

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 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...

There is widespread agreement that the logarithmic spot and forward exchange rates are both integrated of order one (I(1)) variables, so that their corresponding returns are I(0) stationary. In this article, we examine this hypothesis for the Japanese market by means of fractional integration...

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...

The sustainability of fiscal deficits has received in recent years increasing attention from economists. Empirical work has concentrated on both the univariate properties of debt and the cointegration properties of public revenues and expenditures. In this paper, we examine if sustainability of...

We propose in this article the use of a testing procedure due to Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new statistic, based on the score principle, is developed to simultaneously test both the order of integration of the seasonal...