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ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
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ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS (2003)ASYMPTOTICS FOR GENERAL FRACTIONALLY INTE…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Statistical Inference in Regressions with Integrated Processes: Part 2 (1989)Statistical Inference in Regr…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…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…On the Theory of Testing for Unit Roots in Observed Time Series (1986)On the Theory of Testing for …Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…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, …WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS (2015)WEAK CONVERGENCE TO STOCHASTI…A simple test of changes in mean in the possible presence of long-range dependence (2011)A simple test of changes in m…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)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)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)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 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
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 1986On the Theory of Testing for Unit Roots in Observed Time Series

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612 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • Cited by

    • 2011A simple test of changes in mean in the possible presence of long-range dependence64 cited
    • 2015WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS22 cited