Long memory analysis in EU business creation: evidence based on fractional integration

This paper examines the degree of persistence in new firm formation across six major European economies (Belgium, Denmark, France, Germany, Poland, and Spain) during the 2015–2023 period. Specifically, it evaluates whether the effects of shocks on entrepreneurship exert a permanent impact or, conversely, tend to be reversed over time. To this end, the study applies fractional integration techniques, combining parametric and semiparametric estimators to ensure robust persistence parameters. Furthermore, the study incorporates an analysis of structural breaks identifying how disruptive macroeconomic events have altered the long-term trend of new firm formation. Finally, it explores the implications of European integration for entrepreneurial dynamics among the selected countries. The empirical results show heterogeneous degrees of persistence, suggesting mean reversion in all cases but with different speeds of adjustment. The findings highlight substantial cross-country heterogeneity and imply that entrepreneurship policies in the EU should be tailored to country-specific persistence patterns.