Gil-Alana, Luis A.; Yaya, OlaOluwa S. Testing fractional unit roots with non-linear smooth break approximations using Fourier functions. (English) Zbl 1521.62331 J. Appl. Stat. 48, No. 13-15, 2542-2559 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{L. A. Gil-Alana} and \textit{O. S. Yaya}, J. Appl. Stat. 48, No. 13--15, 2542--2559 (2021; Zbl 1521.62331) Full Text: DOI Link
Dissanayake, G. S.; Peiris, M. S.; Proietti, T. Fractionally differenced Gegenbauer processes with long memory: a review. (English) Zbl 1403.62160 Stat. Sci. 33, No. 3, 413-426 (2018). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{G. S. Dissanayake} et al., Stat. Sci. 33, No. 3, 413--426 (2018; Zbl 1403.62160) Full Text: DOI Euclid
Ito, Ryoko Long memory and fractional differencing: revisiting Clive W. J. Granger’s contributions and further developments. (English) Zbl 1380.62013 Eur. J. Pure Appl. Math. 10, No. 1, 82-103 (2017). MSC: 62-03 62M10 62M15 62M20 62P20 91B84 01A70 PDFBibTeX XMLCite \textit{R. Ito}, Eur. J. Pure Appl. Math. 10, No. 1, 82--103 (2017; Zbl 1380.62013)
Reisen, Valdério Anselmo; Lévy-Leduc, C.; Bourguignon, M.; Boistard, H. Robust Dickey-Fuller tests based on ranks for time series with additive outliers. (English) Zbl 1356.62154 Metrika 80, No. 1, 115-131 (2017). MSC: 62M10 62G35 62G10 62P20 PDFBibTeX XMLCite \textit{V. A. Reisen} et al., Metrika 80, No. 1, 115--131 (2017; Zbl 1356.62154) Full Text: DOI
Caporale, Guglielmo Maria; Gil-Alana, Luis A. Infant mortality rates: time trends and fractional integration. (English) Zbl 1514.62458 J. Appl. Stat. 42, No. 3, 589-602 (2015). MSC: 62-XX PDFBibTeX XMLCite \textit{G. M. Caporale} and \textit{L. A. Gil-Alana}, J. Appl. Stat. 42, No. 3, 589--602 (2015; Zbl 1514.62458) Full Text: DOI
Cho, Cheol-Keun; Amsler, Christine; Schmidt, Peter A test of the null of integer integration against the alternative of fractional integration. (English) Zbl 1337.62251 J. Econom. 187, No. 1, 217-237 (2015). MSC: 62M10 62M07 62G10 62P20 PDFBibTeX XMLCite \textit{C.-K. Cho} et al., J. Econom. 187, No. 1, 217--237 (2015; Zbl 1337.62251) Full Text: DOI
Franco, G. C.; Reisen, V. A.; Alves, F. A. Bootstrap tests for fractional integration and cointegration: a comparison study. (English) Zbl 1490.62244 Math. Comput. Simul. 87, 19-29 (2013). MSC: 62M10 62F40 62P20 PDFBibTeX XMLCite \textit{G. C. Franco} et al., Math. Comput. Simul. 87, 19--29 (2013; Zbl 1490.62244) Full Text: DOI
Hassler, Uwe; Demetrescu, Matei; Tarcolea, Adina I. Asymptotic normal tests for integration in panels with cross-dependent units. (English) Zbl 1477.62244 AStA, Adv. Stat. Anal. 95, No. 2, 187-204 (2011). MSC: 62M10 62F03 62E20 62P20 PDFBibTeX XMLCite \textit{U. Hassler} et al., AStA, Adv. Stat. Anal. 95, No. 2, 187--204 (2011; Zbl 1477.62244) Full Text: DOI
Egrioglu, Erol; Aladag, Cagdas Hakan; Kadilar, Cem The CSS and the two-staged methods for parameter estimation in SARFIMA models. (English) Zbl 1229.62121 J. Probab. Stat. 2011, Article ID 691058, 11 p. (2011). MSC: 62M10 65C60 62F10 PDFBibTeX XMLCite \textit{E. Egrioglu} et al., J. Probab. Stat. 2011, Article ID 691058, 11 p. (2011; Zbl 1229.62121) Full Text: DOI
Gil-Alana, Luis Alberiko; Moreno, Antonio Technology shocks and hours worked: a fractional integration perspective. (English) Zbl 1180.91188 Macroecon. Dyn. 13, No. 5, 580-604 (2009). MSC: 91B55 91B84 PDFBibTeX XMLCite \textit{L. A. Gil-Alana} and \textit{A. Moreno}, Macroecon. Dyn. 13, No. 5, 580--604 (2009; Zbl 1180.91188) Full Text: DOI
Caporale, Guglielmo Maria; Gil-Alana, Luis A. Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks. (English) Zbl 1452.62889 Comput. Stat. Data Anal. 52, No. 11, 4998-5013 (2008). MSC: 62P20 62M10 62-08 PDFBibTeX XMLCite \textit{G. M. Caporale} and \textit{L. A. Gil-Alana}, Comput. Stat. Data Anal. 52, No. 11, 4998--5013 (2008; Zbl 1452.62889) Full Text: DOI
Demetrescu, Matei; Kuzin, Vladimir; Hassler, Uwe Long memory testing in the time domain. (English) Zbl 1280.62024 Econom. Theory 24, No. 1, 176-215 (2008). MSC: 62F03 62J20 62M10 62P20 PDFBibTeX XMLCite \textit{M. Demetrescu} et al., Econom. Theory 24, No. 1, 176--215 (2008; Zbl 1280.62024) Full Text: DOI
Halkos, George E.; Kevork, Ilias S. A sequential procedure for testing the existence of a random walk model in finite samples. (English) Zbl 1169.62070 J. Appl. Stat. 35, No. 8, 909-925 (2008). MSC: 62L10 65C05 60G50 PDFBibTeX XMLCite \textit{G. E. Halkos} and \textit{I. S. Kevork}, J. Appl. Stat. 35, No. 8, 909--925 (2008; Zbl 1169.62070) Full Text: DOI
Gil-Alana, L. A.; Nazarski, M. Strong dependence in the nominal exchange rates of the Polish zloty. (English) Zbl 1148.91331 Appl. Stoch. Models Bus. Ind. 23, No. 2, 97-116 (2007). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B84 PDFBibTeX XMLCite \textit{L. A. Gil-Alana} and \textit{M. Nazarski}, Appl. Stoch. Models Bus. Ind. 23, No. 2, 97--116 (2007; Zbl 1148.91331) Full Text: DOI
Hassler, U.; Marmol, F.; Velasco, C. Residual log-periodogram inference for long-run relationships. (English) Zbl 1337.62232 J. Econom. 130, No. 1, 165-207 (2006). MSC: 62M09 62M10 91B84 PDFBibTeX XMLCite \textit{U. Hassler} et al., J. Econom. 130, No. 1, 165--207 (2006; Zbl 1337.62232) Full Text: DOI Link
Wolters, Jürgen; Hassler, Uwe Unit root testing. (English) Zbl 1103.62086 Allg. Stat. Arch. 90, No. 1, 43-58 (2006). MSC: 62M10 62M07 62F03 91B84 PDFBibTeX XMLCite \textit{J. Wolters} and \textit{U. Hassler}, Allg. Stat. Arch. 90, No. 1, 43--58 (2006; Zbl 1103.62086) Full Text: DOI
Franco, Glaura C.; Reisen, Valdério A.; Barros, Paula A. Unit root tests using semi-parametric estimators of the long-memory parameter. (English) Zbl 1112.62091 J. Stat. Comput. Simulation 76, No. 8, 727-735 (2006). MSC: 62M10 62P20 PDFBibTeX XMLCite \textit{G. C. Franco} et al., J. Stat. Comput. Simulation 76, No. 8, 727--735 (2006; Zbl 1112.62091) Full Text: DOI
Banerjee, Anindya (ed.); Urga, Giovanni (ed.) Modelling structural breaks, long memory and stock market volatility: an overview. (English) Zbl 1335.00139 J. Econom. 129, No. 1-2, 1-34 (2005). MSC: 00B25 62-06 62P05 91B84 91G70 PDFBibTeX XMLCite \textit{A. Banerjee} (ed.) and \textit{G. Urga} (ed.), J. Econom. 129, No. 1--2, 1--34 (2005; Zbl 1335.00139) Full Text: DOI
Halkos, George E.; Kevork, Ilias S. A comparison of alternative unit root tests. (English) Zbl 1121.62388 J. Appl. Stat. 32, No. 1, 45-60 (2005). MSC: 62-XX PDFBibTeX XMLCite \textit{G. E. Halkos} and \textit{I. S. Kevork}, J. Appl. Stat. 32, No. 1, 45--60 (2005; Zbl 1121.62388) Full Text: DOI
Krämer, Walter; Marmol, Francesc The power of residual-based tests for cointegration when residuals are fractionally integrated. (English) Zbl 1254.91671 Econ. Lett. 82, No. 1, 63-69 (2004). MSC: 91B84 62M10 PDFBibTeX XMLCite \textit{W. Krämer} and \textit{F. Marmol}, Econ. Lett. 82, No. 1, 63--69 (2004; Zbl 1254.91671) Full Text: DOI Link
Bisaglia, Luisa; Procidano, Isabella On the power of the Augmented Dickey–Fuller test against fractional alternatives using bootstrap. (English) Zbl 1158.91459 Econ. Lett. 77, No. 3, 343-347 (2002). MSC: 91B84 62M10 91B82 62P05 PDFBibTeX XMLCite \textit{L. Bisaglia} and \textit{I. Procidano}, Econ. Lett. 77, No. 3, 343--347 (2002; Zbl 1158.91459) Full Text: DOI
Vinod, H. D. A looser cointegration concept using fractional integration parameters and quantification of market responsiveness. (English) Zbl 0988.62070 J. Stat. Plann. Inference 100, No. 2, 399-410 (2002). MSC: 62P20 62M10 PDFBibTeX XMLCite \textit{H. D. Vinod}, J. Stat. Plann. Inference 100, No. 2, 399--410 (2002; Zbl 0988.62070) Full Text: DOI
Martin, Gael M. Bayesian analysis of a fractional cointegration model. (English) Zbl 1026.62025 Econom. Rev. 20, No. 2, 217-234 (2001). MSC: 62F15 62M10 PDFBibTeX XMLCite \textit{G. M. Martin}, Econom. Rev. 20, No. 2, 217--234 (2001; Zbl 1026.62025) Full Text: DOI
Tsay, Wen-Jen On the power of Durbin-Watson statistic against fractionally integrated processes. (English) Zbl 0913.62087 Econom. Rev. 17, No. 4, 361-386 (1998). MSC: 62M10 62P20 62M07 PDFBibTeX XMLCite \textit{W.-J. Tsay}, Econom. Rev. 17, No. 4, 361--386 (1998; Zbl 0913.62087) Full Text: DOI
Krämer, Walter Fractional integration and the augmented Dickey–Fuller test. (English) Zbl 0913.90072 Econ. Lett. 61, No. 3, 269-272 (1998). MSC: 91B84 PDFBibTeX XMLCite \textit{W. Krämer}, Econ. Lett. 61, No. 3, 269--272 (1998; Zbl 0913.90072) Full Text: DOI
Dolado, Juan J.; Marmol, Francesc On the properties of the Dickey-Pantula test against fractional alternatives. (English) Zbl 0904.90033 Econ. Lett. 57, No. 1, 11-16 (1997). MSC: 91B82 PDFBibTeX XMLCite \textit{J. J. Dolado} and \textit{F. Marmol}, Econ. Lett. 57, No. 1, 11--16 (1997; Zbl 0904.90033) Full Text: DOI
Crato, Nuno; de Lima, Pedro J. F. On the power of underdifferencing and overdifferencing tests against nearly nonstationary alternatives. (English) Zbl 0925.62390 Commun. Stat., Simulation Comput. 26, No. 4, 1431-1446 (1997). MSC: 62M10 PDFBibTeX XMLCite \textit{N. Crato} and \textit{P. J. F. de Lima}, Commun. Stat., Simulation Comput. 26, No. 4, 1431--1446 (1997; Zbl 0925.62390) Full Text: DOI
Hassler, U. Sample autocorrelations of nonstationary fractionally integrated series. (English) Zbl 0883.62022 Stat. Pap. 38, No. 1, 43-62 (1997). MSC: 62E20 62M10 PDFBibTeX XMLCite \textit{U. Hassler}, Stat. Pap. 38, No. 1, 43--62 (1997; Zbl 0883.62022) Full Text: DOI
Crato, Nuno; Taylor, Howard M. Stationary persistent time series misspecified as nonstationary arima. (English) Zbl 0858.62085 Stat. Pap. 37, No. 3, 215-223 (1996). MSC: 62M20 62M10 PDFBibTeX XMLCite \textit{N. Crato} and \textit{H. M. Taylor}, Stat. Pap. 37, No. 3, 215--223 (1996; Zbl 0858.62085) Full Text: DOI
Baillie, Richard T. Long memory processes and fractional integration in econometrics. (English) Zbl 0854.62099 J. Econom. 73, No. 1, 5-59 (1996). MSC: 62P20 62M10 91B84 PDFBibTeX XMLCite \textit{R. T. Baillie}, J. Econom. 73, No. 1, 5--59 (1996; Zbl 0854.62099) Full Text: DOI
Wolters, J. On the term structure of interest rates – empirical results for Germany. (English) Zbl 0850.90006 Stat. Pap. 36, No. 3, 193-214 (1995). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Wolters}, Stat. Pap. 36, No. 3, 193--214 (1995; Zbl 0850.90006) Full Text: DOI