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Details about Luis Alberiko Gil-Alana

E-mail:
Phone:00 34 948 425 426
Postal address:Universidad de Navarra Faculty of Economics and Business Administration Edificio Biblioteca, Entrada Este E-31080 Pamplona SPAIN
Workplace:Facultad de Ciencias Económicas y Empresariales (School of Economics and Business Administration), Universidad de Navarra, (more information at EDIRC)

Access statistics for papers by Luis Alberiko Gil-Alana.

Last updated 2009-10-06. Update your information in the RePEc Author Service.

Short-id: pgi173


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Working Papers

2009

  1. Fractional Integration and Structural Breaks in U.S. Macro Dynamics
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  2. Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes
    Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division Downloads
  3. Long Memory in US Real Output per Capita
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations
  4. Multi-Factor Gegenbauer Processes and European Inflation Rates
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations
  5. The Deaton paradox in a long memory context with structural breaks
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads

2008

  1. Fractional integration and data frequency
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  2. Modelling Long-Run Trends and Cycles in Financial Time Series Data
    CESifo Working Paper Series, CESifo Group Munich Downloads
  3. Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  4. Persistence in Airline Accidents
    Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon. Downloads
  5. The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads
    See also Journal Article in Applied Economics (2009)
  6. The Persistence of Earnings per Share
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Review of Quantitative Finance and Accounting (2008)
  7. Time trend estimation with breaks in temperature time series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  8. Tourism in Azores Islands: Persistence in the Monthly Arrivals
    Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon. Downloads
  9. Unemployment and entrepreneurship: a cyclical relationship?
    Working Papers, Nottingham Trent University, Nottingham Business School, Economics Division Downloads View citations

2007

  1. A Multivariate Long-Memory Model with Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads
  2. Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
    CESifo Working Paper Series, CESifo Group Munich Downloads
  3. Identification of Segments of European Banks with a Latent Class Frontier Model
    CESifo Working Paper Series, CESifo Group Munich Downloads
  4. International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications
    105th Seminar, March 8-10, 2007, Bologna, Italy, European Association of Agricultural Economists Downloads
  5. Long Run and Cyclical Dynamics in the US Stock Market
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Economics Series, Institute for Advanced Studies (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads
    Econometric Society 2004 Latin American Meetings, Econometric Society (2004) Downloads
  6. Real convergence in some emerging countries: a fractionally integrated approach
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads
    See also Journal Article in Recherches économiques de Louvain (2007)
  7. The Expenditure Composition Hypothesis: Empirical Evidence and Implications for Monetary Policy
    Working Papers, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon. Downloads

2006

  1. ETA TERRORISM:POLICE ACTION, POLITICAL MEASURES AND THE INFLUENCE OF VIOLENCE ON ECONOMIC ACTIVITY IN THE BASQUE COUNTRY
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
  2. FRACTIONAL INTEGRATION AND IMPULSE RESPONSES: A BIVARIATE APPLICATION TO REAL OUTPUT IN THE US AND THE SCANDINAVIAN COUNTRIES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
  3. MODELLING STRUCTURAL BREAKS IN THE US, UK AND JAPANESE UNEMPLOYMENT RATES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads
  4. TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    See also Journal Article in Empirica (2008)
  5. The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine
    2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists Downloads
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2005) Downloads
    98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece, European Association of Agricultural Economists (2006) Downloads

    See also Journal Article in Applied Economics (2009)

2005

  1. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads View citations
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2005) Downloads View citations

    See also Journal Article in Manchester School (2005)
  2. LONG MEMORY AT THE LONG-RUN AND THE SEASONAL MONTHLY FREQUENCIES IN THE US MONEY STOCK
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    See also Journal Article in Applied Economics Letters (2006)
  3. MODELLING STOCHASTIC VOLATILITY IN ASSET RETURNS USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    See also Journal Article in Applied Financial Economics Letters (2006)
  4. NON-LINEARITIES AND FRACTIONAL INTEGRATION IN THE US UNEMPLOYMENT RATE
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads View citations
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Discussion Paper Series, Hamburg Institute of International Economics (2004) Downloads

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
  5. TESTING FOR DETERMINISTIC AND STOCHASTIC CYCLES IN MACROECONOMIC TIME SERIES
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    See also Journal Article in Empirica (2007)

2004

  1. Deterministic Seasonality versus Seasonal Fractional Integration
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373
  2. Fractional Integration and Business Cycles Features
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

    See also Journal Article in Empirical Economics (2004)
  3. LONG MEMORY AT THE LONG RUN AND AT THE CYCLICAL FREQUENCIES: MODELLING REAL WAGES IN ENGLAND, 1260 -1994
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads

    See also Journal Article in Empirical Economics (2006)
  4. NELSON AND PLOSSER REVISITED: EVIDENCE FROM FRACTIONAL ARIMA MODELS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics Working Papers, European University Institute (1998)
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
  5. Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin American Countries
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Journal of Policy Modeling (2004)
  6. TESTING OF NONSTATIONARITIES IN THE UNIT CIRCLE,LONG MEMORY PROCESSES AND DAY OF THE WEEK EFFECTS IN FINANCIAL DATA
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
  7. THE STOCHASTIC UNIT ROOT MODEL AND FRACTIONAL INTEGRATION: AN EXTENSION TO THE SEASONAL CASE
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads

2003

  1. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2006)
  2. Fractional Integration and the Dynamics of UK Unemployment
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  3. Serial and cross-correlation in the Spanish Stock Market returns
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  4. Testing of Fractional Cointegration in Macroeconomic Time Series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  5. Testing of Nonstationary Cycles in Financial Time Series Data
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Review of Quantitative Finance and Accounting (2006)
  6. The explaining role of the Earning-Price Ratio in the Spanish Stock Market
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads

2002

  1. Do Spanish Stock Market Prices Follow a Random Walk?
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  2. Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  3. Multivariate Tests of Fractionally Integrated Hypotheses
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    Also in Economics Working Papers, European University Institute (1998) View citations

1998

  1. Fractional Integration in the Purchasing Power Parity
    Economics Working Papers, European University Institute
  2. Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Journal of Applied Econometrics (2001)

Undated

  1. A Fractionally Integrated Exponential Model for U.K. Unemployment
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Journal of Forecasting (2001)
  2. A Fractionally Integrated Model with a Mean Shift for the U.S. and the U.K. Real Oil Prices
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Economic Modelling (2001)
  3. A Generalized Fractional Time Series Model
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  4. A Joint Test of Fractional Cyclic Integration and a Linear Time Trend
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  5. Forecasting the Real Output Using Fractionally Integrated Techniques
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Applied Economics (2004)
  6. Fractional Cointegration and Real Exchange Rates
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Review of Financial Economics (2004)
  7. Fractional Cointegration and Tests of Present Value Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Review of Financial Economics (2004)
  8. Modelling Seasonality with Fractionally Integrated Processes
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  9. New Revelations about Unemployment Persistence in Spain
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  10. Structural Change and the Order of Integration in Univariate Time Series
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Computational Economics (2004)
  11. Technology Shocks and Hours Worked: A Fractional Integration Perspective
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  12. Testing Stochastic Cycles in Macroeconomic Time Series
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  13. Testing of Unit Roots and other Fractionally Integrated Hypotheses in the Presence of Structural Breaks
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Empirical Economics (2003)
  14. The Power of the Tests of Robinson (1994) in the Context of Fractionally Integrated Moving Average Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  15. Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
    See also Journal Article in Journal of Forecasting (2008)
  16. Unemployment and Input Prices: A Fractional Cointegration Approach
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Applied Economics Letters (2002)
  17. Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads
  18. Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inflation Rate
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Empirical Economics (2005)

Journal Articles

2009

  1. A Historical Perspective of Inflation in Latin America. A New Approach Based on Fractional Integration with a Structural Break
    International Economic Journal, 2009, 23, (2), 259-279 Downloads
  2. AK growth models: new evidence based on fractional integration and breaking trends
    Recherches économiques de Louvain, 2009, 75, (2), 131-149 Downloads
  3. Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling
    International Advances in Economic Research, 2009, 15, (2), 143-155 Downloads
  4. Introduction to the special issue on: Understanding, quantifying and modelling the terrorist threat
    Journal of Policy Modeling, 2009, 31, (5), 737-738 Downloads
  5. New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data
    Applied Economics, 2009, 41, (2), 219-236 Downloads
  6. Seasonal Monthly Fractional Integration in the UK Unemployment
    The IUP Journal of Applied Economics, 2009, VIII, (1), 81-96
  7. The nature of occupational unemployment rates in the United States: hysteresis or structural?
    Applied Economics, 2009, 41, (19), 2483-2493 Downloads
    See also Working Paper (2008)
  8. The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine
    Applied Economics, 2009, 41, (11), 1345-1359 Downloads
    See also Working Paper (2006)
  9. US stock market volatility persistence: evidence before and after the burst of the IT bubble
    Review of Quantitative Finance and Accounting, 2009, 33, (3), 233-252 Downloads

2008

  1. A simple non-linear model with fractional integration for financial time series data
    International Review of Financial Analysis, 2008, 17, (5), 838-848 Downloads
  2. Fractional integration and structural breaks at unknown periods of time
    Journal of Time Series Analysis, 2008, 29, (1), 163-185 Downloads View citations
  3. Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks
    Computational Statistics & Data Analysis, 2008, 52, (11), 4998-5013 Downloads
  4. Real GDP growth rates across countries: long memory and mean shifts
    Applied Economics Letters, 2008, 15, (6), 449-455 Downloads
  5. Stochastic volatility in the Spanish stock market: a long memory model with a structural break
    European Journal of Finance, 2008, 14, (1), 23-31 Downloads
  6. Terrorism against American citizens in Africa: Related to poverty
    Journal of Policy Modeling, 2008, 30, (1), 55-69 Downloads
  7. Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
    Empirica, 2008, 35, (3), 241-253 Downloads
    See also Working Paper (2006)
  8. Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand
    Economic Modelling, 2008, 25, (2), 326-339 Downloads
  9. The persistence of earnings per share
    Review of Quantitative Finance and Accounting, 2008, 31, (4), 425-439 Downloads
    See also Working Paper (2008)
  10. Tourism in the Canary Islands: forecasting using several seasonal time series models
    Journal of Forecasting, 2008, 27, (7), 621-636 Downloads View citations
    See also Working Paper
  11. Trade Balance and Exchange Rate: Unit Roots, Co-integration and Long Memory in the US and the UK
    Economic Notes, 2008, 37, (1), 59-74 Downloads

2007

  1. ARE USA CITIZENS AT RISK OF TERRORISM IN EUROPE?
    Defence and Peace Economics, 2007, 18, (6), 495-507 Downloads
  2. Investigating the seasonal structure in the German economy using fractional integration with structural breaks
    Studies in Economics and Finance, 2007, 24, (2), 96-114 Downloads
  3. Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited
    Empirica, 2007, 34, (2), 139-154 Downloads
  4. Nonlinearities and Fractional Integration in the US Unemployment Rate
    Oxford Bulletin of Economics and Statistics, 2007, 69, (4), 521-544 Downloads View citations
    See also Working Paper (2005)
  5. Real convergence in some emerging countries: a fractionally integrated approach
    Recherches économiques de Louvain, 2007, 73, (3), 293-310 Downloads
    See also Working Paper (2007)
  6. Seasonal fractional integration with structural break. An application to the German GNP data
    Economics Bulletin, 2007, 3, (32), 1-6 Downloads
  7. Serial correlation in the Spanish Stock Market
    Global Finance Journal, 2007, 18, (1), 84-103 Downloads
  8. Testing for deterministic and stochastic cycles in macroeconomic time series
    Empirica, 2007, 34, (2), 155-169 Downloads
    See also Working Paper (2005)
  9. Testing for stock market bubbles using nonlinear models and fractional integration
    Applied Financial Economics, 2007, 17, (16), 1313-1321 Downloads

2006

  1. Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach
    Review of World Economics (Weltwirtschaftliches Archiv), 2006, 142, (1), 67-91 Downloads View citations
    See also Working Paper (2003)
  2. ETA: A PERSISTENT PHENOMENON
    Defence and Peace Economics, 2006, 17, (2), 95-116 Downloads
  3. Fractional integration in daily stock market indexes
    Review of Financial Economics, 2006, 15, (1), 28-48 Downloads View citations
  4. Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994
    Empirical Economics, 2006, 31, (1), 83-93 Downloads
    See also Working Paper (2004)
  5. Long memory at the long-run and the seasonal monthly frequencies in the US money stock
    Applied Economics Letters, 2006, 13, (15), 965-968 Downloads
    See also Working Paper (2005)
  6. Mean Reversion of Short-run Interest Rates in Emerging Countries
    Review of International Economics, 2006, 14, (1), 119-135 Downloads
  7. Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
    Applied Financial Economics Letters, 2006, 2, (1), 9-12 Downloads
    See also Working Paper (2005)
  8. Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate
    Journal of the Japanese and International Economies, 2006, 20, (1), 87-98 Downloads
  9. Testing Seasonality in the Context of Fractionally Integrated Processes
    Annales d'Economie et de Statistique, 2006, (81), 03 Downloads View citations
  10. Testing of nonstationary cycles in financial time series data
    Review of Quantitative Finance and Accounting, 2006, 27, (1), 47-65 Downloads
    See also Working Paper (2003)
  11. The timing of ETA terrorist attacks
    Journal of Policy Modeling, 2006, 28, (3), 335-346 Downloads View citations
  12. UK Unemployment Dynamics: a Fractionally Cointegrated Approach
    Economia Internazionale / International Economics, 2006, 59, (1), 33-50

2005

  1. A re-examination of historical real daily wages in England: 1260-1994
    Journal of Policy Modeling, 2005, 27, (7), 829-838 Downloads
  2. A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
    Journal of Banking & Finance, 2005, 29, (10), 2633-2654 Downloads View citations
  3. An I(d) Statistical Model for the Canadian Real Output
    The IUP Journal of Journal of Monetary Economics, 2005, III, (1), 79 - 93
  4. FRACTIONAL COINTEGRATION AND AGGREGATE MONEY DEMAND FUNCTIONS
    Manchester School, 2005, 73, (6), 737-753 Downloads View citations
    See also Working Paper (2005)
  5. FRACTIONAL INTEGRATION AT ZERO AND THE CYCLICAL FREQUENCIES IN THE SPECIFICATION OF US PRICES
    The Singapore Economic Review (SER), 2005, 50, (02), 169-173 Downloads
  6. Fractional Integration and Cointegration in the Japanese Exchange Rate Market
    Japanese Economy, 2005, 32, (4), 12-35 Downloads
  7. Fractional integration in total factor productivity: evidence from US data
    Applied Economics, 2005, 37, (12), 1369-1383 Downloads
  8. MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (06), 675-691 Downloads
  9. TESTING OF REAL CONVERGENCE IN GERMANY IN THE PRESENCE OF STRUCTURAL BREAKS
    The Singapore Economic Review (SER), 2005, 50, (01), 93-101 Downloads
  10. Testing and forecasting the degree of integration in the US inflation rate
    Journal of Forecasting, 2005, 24, (3), 173-187 Downloads View citations
  11. Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series
    International Advances in Economic Research, 2005, 11, (3), 257-266 Downloads
  12. Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate
    Empirical Economics, 2005, 30, (1), 193-207 Downloads View citations
    See also Working Paper

2004

  1. A fractionally integrated model for the Spanish real GDP
    Economics Bulletin, 2004, 3, (8), 1-6 Downloads
  2. A joint test of fractional integration and structural breaks at a known period of time
    Journal of Time Series Analysis, 2004, 25, (5), 691-700 Downloads View citations
  3. Forecasting the real output using fractionally integrated techniques
    Applied Economics, 2004, 36, (14), 1583-1589 Downloads
    See also Working Paper
  4. Fractional cointegration and real exchange rates
    Review of Financial Economics, 2004, 13, (4), 327-340 Downloads View citations
    See also Working Paper
  5. Fractional cointegration and tests of present value models
    Review of Financial Economics, 2004, 13, (3), 245-258 Downloads View citations
    See also Working Paper
  6. Fractional cointegration in the consumption and income relationship using semiparametric techniques
    Economics Bulletin, 2004, 3, (47), 1-8 Downloads
  7. Fractional integration and business cycle features
    Empirical Economics, 2004, 29, (2), 343-359 Downloads View citations
    See also Working Paper (2004)
  8. Is the US fiscal deficit sustainable?: A fractionally integrated approach
    Journal of Economics and Business, 2004, 56, (6), 501-526 Downloads View citations
  9. Long memory in the U.S. interest rate
    International Review of Financial Analysis, 2004, 13, (3), 265-276 Downloads View citations
  10. Long range dependence in daily stock returns
    Applied Financial Economics, 2004, 14, (6), 375-383 Downloads
  11. Modelling the U.S. interest rate in terms of I(d) statistical models
    The Quarterly Review of Economics and Finance, 2004, 44, (4), 475-486 Downloads
  12. Modelling the US real GNP with fractionally integrated techniques
    Applied Economics, 2004, 36, (8), 873-879 Downloads
  13. Real convergence in Taiwan: a fractionally integrated approach
    Journal of Asian Economics, 2004, 15, (3), 529-547 Downloads
  14. Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries
    Journal of Policy Modeling, 2004, 26, (3), 301-313 Downloads
    See also Working Paper (2004)
  15. Seasonal fractional components in macroeconomic time series
    Applied Economics, 2004, 36, (12), 1265-1279 Downloads
  16. Semiparametric estimation of the fractional differencing parameter in the UK industrial production index
    Applied Economics, 2004, 36, (11), 1205-1217 Downloads
  17. Structural Change and the Order of Integration in Univariate Time Series
    Computational Economics, 2004, 23, (3), 239-254 Downloads
    See also Working Paper
  18. Testing for Seasonal Fractional Roots in German Real Output
    German Economic Review, 2004, 5, (3), 319-333 Downloads
  19. Testing of I(d) processes in the real output
    Economics Bulletin, 2004, 3, (32), 1-6 Downloads
  20. Testing of Unit Root Cycles in the Swedish Economy
    Empirica, 2004, 31, (4), 333-344 Downloads
  21. The Stochastic Permanent Break Model and the Fractional Integration Hypothesis
    Computational Economics, 2004, 23, (4), 315-324 Downloads
  22. The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration
    Applied Economics Letters, 2004, 11, (7), 429-432 Downloads
  23. Unit root cycles in the US unemployment rate
    Economics Bulletin, 2004, 3, (7), 1-10 Downloads

2003

  1. A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components
    Review on Economic Cycles, 2003, 7, (1) Downloads
  2. A fractional integration analysis of the population in some OECD countries
    Journal of Applied Statistics, 2003, 30, (10), 1147-1159 Downloads View citations
  3. A fractional multivariate long memory model for the US and the Canadian real output
    Economics Letters, 2003, 81, (3), 355-359 Downloads View citations
  4. Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate
    Applied Economics Letters, 2003, 10, (2), 103-105 Downloads
  5. Empirical evidence on real convergence in some OECD countries
    Applied Economics Letters, 2003, 10, (3), 173-176 Downloads View citations
  6. Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques
    Journal of Applied Statistics, 2003, 30, (9), 1021-1031 Downloads
  7. Fractional Integration and the Dynamics of UK Unemployment
    Oxford Bulletin of Economics and Statistics, 2003, 65, (2), 221-239 Downloads View citations
    See also Working Paper (2003)
  8. Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK
    Applied Econometrics and International Development, 2003, 3, (1) Downloads
  9. Long memory and structural breaks in hyperinflation countries
    Journal of Economics and Finance, 2003, 27, (2), 136-152 Downloads
  10. Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances
    Applied Economics Letters, 2003, 10, (1), 33-37 Downloads
  11. Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series
    Computational Economics, 2003, 22, (1), 65-74 Downloads View citations
  12. Stochastic behavior of nominal exchange rates
    Atlantic Economic Journal, 2003, 31, (2), 159-173 Downloads
  13. Strong dependence in the real interest rates
    Applied Economics, 2003, 35, (2), 119-124 Downloads
  14. Testing of Fractional Cointegration in Macroeconomic Time Series
    Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 517-529 Downloads View citations
    See also Working Paper (2003)
  15. Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks
    Empirical Economics, 2003, 28, (1), 101-113 Downloads
    See also Working Paper
  16. Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses
    Computational Economics, 2003, 22, (1), 23-38 Downloads
  17. The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics
    Economia Internazionale / International Economics, 2003, 56, (3), 323-335
  18. Unemployment and real oil prices in Australia: a fractionally cointegrated approach
    Applied Economics Letters, 2003, 10, (4), 201-204 Downloads

2002

  1. A mean shift break in the US interest rate
    Economics Letters, 2002, 77, (3), 357-363 Downloads
  2. Confidence Intervals for Fractionally Integrated Hypotheses in the Real Output across Europe
    Applied Economics Letters, 2002, 9, (6), 407-09 Downloads View citations
  3. Empirical evidence of the spot and the forward exchange rates in Canada
    Economics Letters, 2002, 77, (3), 405-409 Downloads View citations
  4. Estimation and Testing of ARFIMA Models in the Real Exchange Rate
    International Journal of Finance & Economics, 2002, 7, (4), 279-92 Downloads View citations
  5. Fractional integration and mean reversion in stock prices
    The Quarterly Review of Economics and Finance, 2002, 42, (3), 599-609 Downloads View citations
  6. Modelling the Persistence of Unemployment in Canada
    International Review of Applied Economics, 2002, 16, (4), 465-477 Downloads View citations
  7. Real Exchange Rates: Evidence from Black Markets Using Fractionally Integrated Semiparametric Techniques
    Applied Economics Letters, 2002, 9, (12), 787-90 Downloads
  8. Seasonal long memory in the aggregate output
    Economics Letters, 2002, 74, (3), 333-337 Downloads View citations
  9. Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment
    Computational Economics, 2002, 19, (3), 323-39 Downloads
  10. Structural breaks and fractional integration in the US output and unemployment rate
    Economics Letters, 2002, 77, (1), 79-84 Downloads View citations
  11. Testing the order of integration of the UK Unemployment
    Applied Econometrics and International Development, 2002, 2, (1) Downloads View citations
  12. Unemployment and Input Prices: A Fractional Cointegration Approach
    Applied Economics Letters, 2002, 9, (6), 347-51 Downloads View citations
    See also Working Paper

2001

  1. A Fractionally Integrated Exponential Model for UK Unemployment
    Journal of Forecasting, 2001, 20, (5), 329-40 View citations
    See also Working Paper
  2. A fractionally integrated model with a mean shift for the US and the UK real oil prices
    Economic Modelling, 2001, 18, (4), 643-658 Downloads View citations
    See also Working Paper
  3. Estimation of Fractionally ARIMA Models for the UK Unemployment
    Annales d'Economie et de Statistique, 2001, (62), 07 Downloads
  4. Measuring Unemployment Persistence in Terms of I(d) Statistical Models
    Applied Economics Letters, 2001, 8, (12), 761-63 Downloads
  5. Seasonal Long Memory in the US Monthly Monetary Aggregate
    Applied Economics Letters, 2001, 8, (9), 573-75 Downloads
  6. Testing of seasonal fractional integration in UK and Japanese consumption and income
    Journal of Applied Econometrics, 2001, 16, (2), 95-114 Downloads View citations
    See also Working Paper (1998)
  7. The Persistence of Unemployment in the USA and Europe in Terms of Fractionally ARIMA Models
    Applied Economics, 2001, 33, (10), 1263-69 Downloads View citations

2000

  1. Mean reversion in the real exchange rates
    Economics Letters, 2000, 69, (3), 285-288 Downloads View citations

1999

  1. Testing fractional integration with monthly data
    Economic Modelling, 1999, 16, (4), 613-629 Downloads View citations

1997

  1. Testing of unit root and other nonstationary hypotheses in macroeconomic time series
    Journal of Econometrics, 1997, 80, (2), 241-268 Downloads View citations
 
 
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