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On the power of the KPSS test of stationarity against fractionally-integrated alternatives
15 references·16 citing·27 second hop
On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)On the power of the KPSS test of stationa…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS* (1992)LM TESTS FOR A UNIT ROOT IN T…On the power of Dickey-Fuller tests against fractional alternatives (1991)On the power of Dickey-Fuller…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…The Fractional Unit Root Distribution (1990)The Fractional Unit Root Dist…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Fractional Differencing (1981)Fractional DifferencingLong memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times (1978)Properties of Sequences of Pa…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The impact of geopolitical risk on the behavior of oil prices and freight rates (2023)The impact of geopolitical ri…The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets (2020)The COVID-19 Black Swan Crisi…Testing fractional unit roots with non-linear smooth break approximations using Fourier functions (2020)Testing fractional unit roots…Commodity futures and market efficiency (2013)Commodity futures and market …Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production (2012)Are fluctuations in energy va…A SVECM Analysis of the Relationship between International Tourism Arrivals, GDP and Trade in Italy (2012)A SVECM Analysis of the Relat…Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration (2009)Long memory in US disaggregat…Rational bubbles or persistent deviations from market fundamentals? (2005)Rational bubbles or persisten…An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (2005)An empirical investigation of…Modelling structural breaks, long memory and stock market volatility: an overview (2004)Modelling structural breaks, …Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2002)Microeconomic Models for Long…Long memory in stock returns: some international evidence (2002)Long memory in stock returns:…A Fractional Dickey-Fuller Test for Unit Roots (2002)A Fractional Dickey-Fuller Te…Inflation and rates of return on stocks: evidence from high inflation countries (2001)Inflation and rates of return…Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States (2000)Nonparametric Nonlinear Cotre…A Nonparametric Test for I(0) (1998)A Nonparametric Test for I(0)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Typical Spectral Shape of an Economic Variable (1966)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Trends and random walks in macroeconmic time series (1982)Long memory processes and fractional integration in econometrics (1996)A PANIC Attack on Unit Roots and Cointegration (2004)The local power of some unit root tests for panel data (2004)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The econometrics of financial markets (1996)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1981Fractional Differencing2,720 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1992LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*832 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1991On the power of Dickey-Fuller tests against fractional alternatives511 cited
  • 1990The Fractional Unit Root Distribution235 cited
  • 1978Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times

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Cited by

  • 2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
  • 2013Commodity futures and market efficiency194 cited
  • 2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series175 cited
  • 2002Long memory in stock returns: some international evidence156 cited
  • 2002A Fractional Dickey-Fuller Test for Unit Roots153 cited
  • 2012A SVECM Analysis of the Relationship between International Tourism Arrivals, GDP and Trade in Italy145 cited
  • 1998A Nonparametric Test for I(0)142 cited
  • 2001Inflation and rates of return on stocks: evidence from high inflation countries135 cited
  • 2020The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets126 cited
  • 2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series125 cited
  • 2012Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production122 cited
  • 2000Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States115 cited
  • 2023The impact of geopolitical risk on the behavior of oil prices and freight rates96 cited
  • 2005Rational bubbles or persistent deviations from market fundamentals?95 cited
  • 2020Testing fractional unit roots with non-linear smooth break approximations using Fourier functions92 cited
  • 2009Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration91 cited