We use post-war quarterly data from Belgium, Canada, France, Germany, Greece, Ireland, Japan, theNetherlands, the United Kingdom, and the United States to examine the Fisherian link between inflation and the short-term nominal interest rates.

In this paper, address the problem of testing persistent causality between integrated, possibly cointegrated, time series.

In order to obtain exact distributional results without imposing restrictive parametric assumptions, various rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

This article reviews the role of wavelets in statistical time series analysis. We survey work that emphasises scale such as estimation of variance and the scale exponent of a process with a specific scale behaviour such as 1/f processes. We present some of our own work on locally stationary...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.