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The Fractional Unit Root Distribution

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited

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1994Chapter 46 Unit roots, structural breaks and trends243 cited
1998Pitfalls in testing for long run relationships226 cited
2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
1999THE NONSTATIONARY FRACTIONAL UNIT ROOT210 cited
2001Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly199 cited
2010Likelihood inference for a nonstationary fractional autoregressive model184 cited
2002A Fractional Dickey-Fuller Test for Unit Roots153 cited
1993TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION142 cited
1994

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On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean

142 cited

2000(Fractional) beta convergence141 cited

2000The spurious regression of fractionally integrated processes134 cited

2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series125 cited

2009Fractional Integration and Cointegration: An Overview and an Empirical Application124 cited