This study examines the time series behaviour of South African house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large,...

This paper examines the seasonal structure of German real GNP per capita by using a version of Robinson's (1994) tests which is suitable in the context of seasonality. This method has several advantages over alternative approaches when testing for seasonal unit roots. First, unlike standard...

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

In the last 15 years or so, ETA activity has substantially decreased, but also changed.Whilst the type of killings has become more specialised (politicians, reporters, etc.), a new phenomenon based on urban guerrilla tactics, and called in Basque “kale borroka” (street fighting), has...

In this paper we show that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. We use a procedure that enables us to test simultaneously for the roots at all these frequencies. The...

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...

In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo...

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 note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero...