We investigate in this article the implications that seasonal misspecificationproduces in the context of fractionally integrated models. We use a versionof the tests of Robinson (1994) that permits us to test both deterministic andstochastic seasonality. Several Monte Carlo experiments are...

Luego de examinar el marco teórico y conceptual de la teoría del crecimiento y del comercio internacional, se mide la eficacia de la apertura comercial impulsada por el TLCAN para fomentar el intercambio comercial. Asimismo, se evalúan los efectos de éste en el crecimiento económico de los...

This study examines the existence of a liquidity effect in the UK economy over different time-scales. This analysis draws from the liquidity preference framework, an approach to interest rate determination, and uses wavelet multiscale analysis in the context of a standardised regression model....

This paper presents an invariant discrete wavelet transform that enables point-to-point (aligned) comparison among all scales, contains no phase shifts, relaxes the strict assumption of a dyadic-length time series, deals effectively with boundary effects and is asymptotically efficient. It also...

The traditional causality relationship proposed by Granger (Econometrica 37(3):424–438, <CitationRef CitationID="CR10">1969</CitationRef>) assumes the relationships between variables are short range dependence with the same integrated order.Chen (J Forecast 25(3):193–200, <CitationRef CitationID="CR2">2006</CitationRef>, J Forecast 27:607–620, <CitationRef CitationID="CR3">2008</CitationRef>) proposed a bivariate model...</citationref></citationref></citationref>

In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet approach to analyze the behavior of nonstationary time series is that it can...