References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
• 1988Statistical analysis of cointegration vectors17,038 cited
• 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
• 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
• 2002Exact Local Whittle Estimation of Fractional \nIntegration518 cited
• 1995A Stastistical Analysis of Cointegration for I(2) Variables350 cited
• 2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model308 cited
• 2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES249 cited
• 2002Determination of cointegrating rank in fractional systems241 cited
• 2010Likelihood inference for a nonstationary fractional autoregressive model184 cited
• 2013Risk and return: Long-run relations, fractional cointegration, and return predictability149 cited
• 2003Semiparametric Frequency Domain Analysis of Fractional Cointegration131 cited
• 2005Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting122 cited
• 2002Inference on the cointegration rank in fractionally integrated processes113 cited