Correspondence: Luis A. Gil-Alana, Faculty of Economics, Universidad de Navarra, Edificio Biblioteca, Entrada Este, Pamplona E-31080, Spain. E-mail: alana@unav.es

¹completed his PhD at the London School of Economics, England, in Econometrics in 1997. He was Jean Monet Research Fellow at the European University Institute, in Florence, Italy in 1998. From 1998 to 1999 he was Research Officer at the London Business School, England, and from 1999 to 2001 Visiting Professor at the Humboldt Universität zu Berlin, HU, Germany. In 2001, he was incorporated at the University of Navarra, in Pamplona, Spain. He remains there as Associate Professor and Director of the Department of Quantitative Methods.

Received 27 June 2008; Published online 24 November 2008.

Abstract

This paper deals with the analysis of American citizens travelling to Europe, examining the degree of persistence of the series and testing whether shocks are of a transitory or of a permanent nature. For this purpose, we use a methodology based on fractional integration, including seasonal autoregressions to describe the short-run (seasonal) dynamics underlying the series. We show that the series is highly persistent with an order of integration slightly below one. Moreover, the existence of a unit root cannot be rejected at standard significance levels. In the final part of the paper, we also examine the existence of a structural break, comparing the degree of persistence before and after the September 11th attacks. The results indicate that there has been a substantial reduction in the degree of persistence after the break in 2001.