This paper presents an overview of some new results regarding an easily implementable Wald test-statistic (EFDF test) of the null hypotheses that a time-series process is I(1) or I(0) against fractional I(d) alternatives, with d?(0,1), allowing for unknown deterministic components and serial...

This paper analyses how to test I(1) against I(d), d1, in the presence of deterministic components in the DGP, by extending a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test, to this case. Tests of these hypotheses are important in many economic applications where it...

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...

This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration, d, between 0.6 and 0.8 fit the time-series behaviour of aggregate opinion polls for mainstream parties quite well,...

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...