This article aims to re-examine the persistence of unemployment in Spain. For this purpose, we use time-series and cross-section analysis. From a time-series viewpoint we disaggregate unemployment by regions, and use unit root tests, AR coefficients and fractional differencing parameters as...

The real convergence hypothesis in Australia, Canada, Japan and the UK is examined. For this purpose, the order of integration of the real GDP per capita series in these countries is examined as well as their differences with respect to the US which is used as a benchmark country. Both...

In this article we test for bubbles in the S&P 500 stock market index using monthly data over the period 1871m1-2004m6. We use fractional integration techniques, allowing for structural breaks and a nonlinear adjustment process of prices to dividends. We find a significant structural break...

In this short article we examine the real convergence hypothesis in Germany with respect to the US by means of fractional integration. Using a parametric procedure due to Robinson (1994), the results show that real convergence is only achieved in this country if we take into account the presence...

In this paper we show that US prices can be specified in terms of a time series model that contains roots simultaneously at zero and the cyclical frequencies. Using a general procedure for testing this type of hypothesis, the results show that the secular component in the US prices is...

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle,...

Confidence intervals for the seasonal fractional differencing parameter are established in this article for several measures of the US monetary aggregate. They are based on a testing procedure following Robinson and the results indicate that these confidence intervals are in all cases below 1,...

In this article we examine the degree of persistence of the population series in 19 OECD countries during the period 1948-2000 by means of using fractionally integrated techniques. We use a parametric procedure due to Robinson (1994) that permits us to test I(d) statistical models. The results...