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SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES
15 references·2 citing·31 second hop
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References

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  • 1981Some properties of time series data and their use in econometric model specification2,450 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
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  • 2010Spurious Regression in Econometrics705 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • 1990The Fractional Unit Root Distribution235 cited
  • 1961Independence and Dependence210 cited
  • 1987Central limit theorems for quadratic forms in random variables having long-range dependence173 cited
  • 2000The spurious regression of fractionally integrated processes134 cited
  • 2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II116 cited
  • 1987Multiple stochastic integrals with dependent integrators57 cited
  • 2001Calculating and analyzing impulse responses for the vector ARFIMA model24 cited

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Cited by

  • 2009Covariance function of vector self-similar processes51 cited
  • 2025Ordinal pattern-based change point detection5 cited