This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

This paper analyses technical efficiency of European banks over the period 1996-2003 with unbalanced panel data techniques. A latent class frontier model is used which allows the identification of different segments in the production frontier. We find that there are three statistically...

The estimates of the U.S. term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term...

This paper deals with the relationship between the balance of trade and the exchange rate in the US/UK case. Many authors have studied this issue for many countries, but despite the intensive research, there is still no agreement about the effectiveness of currency devaluation to increase a...

This paper deals with the sustainability of the US current account using fractional integration. We examine nominal and real exports and imports and their corresponding values deflated by GNP. The results show that only the variables deflated by GNP may contain unit roots, while nominal and real...

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 investigates the degree of persistence in the international monthly tourist time series in Spain using long memory (fractional integration) techniques. Our findings can be summarized as follows. The two standard hypotheses of integer degrees of differentiation, i.e., the I(0) and...

This paper re-examines the issue of long-run monetary neutrality by using fractional integration and allowing for a possible structural break in six countries: the United States, the United Kingdom, Mexico, Brazil, Australia and Argentina. We use an extension of Fisher and Seater’s (1993)...