On the robustness of cointegration tests when series are fractionally intergrated (Q4485103): Difference between revisions

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+Consistent autoregressive spectral estimates
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+Time series: theory and methods.
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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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+The Fractional Unit Root Distribution
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