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A model of fractional cointegration, and tests for cointegration using the bootstrap

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References

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1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited

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1991

Estimating Long-Run Economic Equilibria

854 cited

1991Long-Run Economic Relationships760 cited

Cited by

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2007Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes73 cited
2008Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes64 cited
2006Are our FEERs justified?45 cited
1996NONSENSE REGRESSIONS BETWEEN INTEGRATED PROCESSES OF DIFFERENT ORDERS37 cited
2011The ‘compensation’ thesis, as exemplified by the case of the Chinese central bank34 cited
2007Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation32 cited
2008Long Memory and the Term Structure of Risk29 cited
2010Likelihood based testing for no fractional cointegration27 cited
2005Alternative bootstrap procedures for testing cointegration in fractionally integrated processes26 cited
2005Testing for Fractional Cointegration: The Relationship between Government Popularity and Economic Performance in the UK25 cited
2006A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION24 cited
2004Asymptotic inference results for multivariate long‐memory processes24 cited
2010Tests for cointegration with structural breaks based on subsamples23 cited