This article deals with the analysis of house price indexes from a long-range dependence viewpoint. In particular, it estimates the fractional differencing parameter in the London and Paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the...

This article investigates inflation in Mozambique using long-range dependence (LRD) techniques in monthly data from December 1995 to October 2012. Two important features of the data are analysed: persistence and seasonality, looking at aggregated and disaggregated data. The stability of the...

This article investigates the real convergence of 17 Latin American countries to the US economy for the period 1950 to 2011. Time series methods are used to test stochastic and β-convergence. These methods include the possibility of one or two structural changes. The results show that when...

This article provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our...

The US real GNP is analysed by means of fractionally integrated techniques. LM tests proposed by Robinson for testing unit roots and other fractionally integrated hypotheses are applied to the quarterly GNP series and to its log-transformation. The maximum likelihood estimation procedure of...

The order of integration of the industrial production index in the UK is investigated by means of semiparametric techniques in the time and in the frequency domain. Several methods like the R\S statistic, along with others proposed by Robinson in a number of articles are applied to various...

This study examines the stochastic properties of different measures of Total Factor Productivity (TFP) in the USA and their components using fractional integration. The results show that its structure is more complicated than expected, formed by the interaction of various seasonal and...

The annual structure of the real GDP in the UK, France, Germany and Italy is examined by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (Journal of the American Statistical Association, 84, 1420-37, 1994), it is shown that the series can be...

The stochastic behaviour of the real interest rates in ten European countries, Canada and the US is examined in this article by means of fractionally integrated techniques. Using a procedure, specifically designed for testing I (d) statistical models, the results show that the real interest...

This article deals with the relationship between international trade and tourism. We focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different stochastic properties of the series under analysis, which display different orders of integration, a...