This paper examines historical data on daily real wages in England for the time period 1260-1994 by means of new statistical techniques suitable for modelling long memory both at the long run and the cyclical frequencies. Specifically, it uses a procedure due to Robinson (1994) which is based,...

In this article we analyse the monthly structure of the Brazilian inflation rate by means of using fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which...

This paper deals with the relationship between international trade and tourism. In particular, 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...

This paper aims to re-examine the persistence of unemployment in Spain. For this purpose, we use time series and cross-section analysis. From a time series viewpoint we disaggregate unemployment by regions, and use unit root tests, AR coefficients and fractional differencing parameters as...

Previous research has found that the response of hours worked to a technology shock crucially depends on whether the variable hours is assumed to be an I(0) or an I(1) variable ex-ante. In this paper we employ a multivariate fractionally integrated model which allows us to determine...

Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses. The functional forms of the tests, based on the score principle are...

In this article I investigate whether the presence of structural breaks affects inference on the order of integration in univariate time series. For this purpose, we make use of a version of the tests of Robinson (1994) which allows us to test unit and fractional roots in the presence of...

A general procedure for fractional integration and structural breaks at unknown points in time is used, which allows for different orders of integration and deterministic components in each subsample. First, the procedure is extended to the non-linear case, and is showed by means of Monte Carlo...

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...