This article exanines the real convergence hypothesis in eleven emerging countries by means of fractionally integrated techniques. For this purpose, we examine the order of integration of the real GDP per capita series in Argentina. Brazil, Chile, Colombia, Mexico, Peru, Venezuela, India,...

C22, O40.

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 (or fractional) roots both at the zero (long-run) and at the cyclical...

The issue in this paper is to analyse the business cycle frequencies in the US real output. However, instead of using classical approaches based on linear and non-linear models, we use a specification of fractional cyclical integration, which is based on Gegenbauer processes. We apply a...