Americans Travelling to Europe: A New Perspective Based on Persistence

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.