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Efficient Wald Tests for Fractional Unit Roots

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2013

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Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

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2014Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91‐Day Treasury Bill Rate29 cited

2019Long memory and data frequency in financial markets28 cited

2010Tests for cointegration with structural breaks based on subsamples23 cited

2009A Wald test for the cointegration rank in nonstationary fractional systems21 cited

2013Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates17 cited

2016Inference on a Structural Break in Trend with Fractionally Integrated Errors16 cited

2008Critical values for the augmented efficient Wald test for fractional unit roots16 cited

2008Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components16 cited

2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses15 cited

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