Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Fractional Dickey-Fuller Test for Unit Roots

16 references·16 citing·34 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 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
1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1996Statistics for Long-Memory Processes.2,686 cited
1988Trends and random walks in macroeconomic time series2,433 cited
1988Testing for Common Trends1,894 cited
1996Long memory processes and fractional integration in econometrics1,879 cited
1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
1986On the Theory of Testing for Unit Roots in Observed Time Series612 cited
1997Testing of unit root and other nonstationary hypotheses in macroeconomic time series521 cited
1991On the power of Dickey-Fuller tests against fractional alternatives511 cited
1994

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Semiparametric Analysis of Long-Memory Time Series

468 cited

1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives425 cited

Cited by

2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
2010Likelihood inference for a nonstationary fractional autoregressive model184 cited
2004The use of the bloomfield model as an approximation to ARMA processes in the context of fractional integration132 cited
2007Efficient Wald Tests for Fractional Unit Roots123 cited
2002Inference on the cointegration rank in fractionally integrated processes113 cited
2008Type I and type II fractional Brownian motions: A reconsideration97 cited
2020Testing fractional unit roots with non-linear smooth break approximations using Fourier functions92 cited
2007LONG MEMORY TESTING IN THE TIME DOMAIN80 cited
2023How do e-governance and e-business drive sustainable development goals?76 cited
2012NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS66 cited
2015THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS66 cited
2014A fractionally cointegrated VAR analysis of economic voting and political support59 cited
2015Instrumental variable and variable addition based inference in predictive regressions57 cited
2006Further Evidence on the Statistical Properties of Real GNP*47 cited
2007The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach43 cited
2013ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES42 cited