This article analyses the long memory properties of quarterly real output per capita in the US (1948Q1–2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

This paper examines several US monthly financial time series using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$d...</equationsource></inlineequation>

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 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...