This article deals with the analysis of house price indexes from a long-range dependence viewpoint. In particular, it estimates the fractional differencing parameter in the London and Paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the...

This article investigates inflation in Mozambique using long-range dependence (LRD) techniques in monthly data from December 1995 to October 2012. Two important features of the data are analysed: persistence and seasonality, looking at aggregated and disaggregated data. The stability of the...

This article examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

This paper examines the relationship between unemployment, real oil prices and real interest rates in the UK by means of fractional cointegration techniques. In doing so, we allow for a much greater degree of flexibility in the dynamic behaviour of the series than the one achieved by the...

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...

In this article we want to examine the time series behaviour of the UK unemployment using new statistical tools based on long memory nonstationary processes. In particular, we use a procedure developed by Robinson (1994) that permit us to simultaneously consider unit and fractional roots at the...

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...

The annual structure of the Spanish real GDP is investigated in this article by means of fractional integration techniques. The results show that the series can be specified in terms of an I(d) process with d smaller than one and thus showing long memory and mean-reverting behaviour.