The authors examine monthly inflation rates of five industrial countries. The application of tests against stationarity as well as tests against a unit root yield contradictory results. Thus, fractional integration allowing for long memory is a plausible model. The authors discuss and apply the...

We estimate a linear and a piecewise linear Phillips curve model with regional labor market data for West German and Neue Länder. Employing regional observations allows us to country difference the data. This eliminates, under the assumption of homogeneous Länder, supply shocks and changes in...

Certain “spurious long memory” processes mimic the behavior of fractional integration in that the variance of their sample mean behaves like that of a fractionally integrated process of some order D. We show, however, experimentally that a fractional integration test may discriminate between...

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock...

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock...

This paper adds to the issue of inference regarding potentially nonstationary panels where units are correlated. Recently, it has been proposed to tackle this problem by computing individual p-values and combining them to an overall joint significance. We adopt and illustrate this fairly general...

We show that previous results on the asymptotic efficiency of OLS versus GLS in the context of trending data carry over to regressors of the fractionally integrated type.

For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is...