We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

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...

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both...

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by applying a method using the difference of the classical log-periodogram regression estimator for the memory parameter and of the tapered periodogram based...

In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...

This paper suggests random and fixed effects spatial two-stage least squares estimators for the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi, Egger and Pfaffermayr (2013) by the inclusion of a spatial lag...

An alternative to using normally distributed random effects in modeling clustered binary and ordered responses is based on using a finite-mixture. This approach gives rise to a flexible class of generalized linear mixed models for item responses, multilevel data, and longitudinal data. A test of...

In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...