On the robustness of cointegration tests when series are fractionally intergrated (Q4463296): Difference between revisions

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+https://doi.org/10.1080/02664760050120515
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+W1987525319
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+Consistent autoregressive spectral estimates
@@ Property / cites work: Consistent autoregressive spectral estimates / rank @@
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+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+The Fractional Unit Root Distribution
@@ Property / cites work: The Fractional Unit Root Distribution / rank @@
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