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On the power of Dickey-Fuller tests against fractional alternatives

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References

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Cited by

1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
1996Long memory processes and fractional integration in econometrics1,879 cited
1996Modeling and pricing long memory in stock market volatility1,208 cited
1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
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1995Long Memory in Inflation Rates: International Evidence315 cited
1994On the power of unit root tests against fractional alternatives309 cited
1998A Primer on Unit Root Testing275 cited
1994Chapter 46 Unit roots, structural breaks and trends243 cited

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2002Determination of cointegrating rank in fractional systems241 cited

2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited

1994The long memory of the forward premium212 cited

1999THE NONSTATIONARY FRACTIONAL UNIT ROOT210 cited

2010Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models188 cited