A comparison of semiparametric tests for fractional cointegration
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Cites work
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Cited in
(12)- Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
- Semiparametric fractional cointegration analysis
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- A test for fractional cointegration using the sieve bootstrap
- The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Semiparametric Estimation of Multivariate Fractional Cointegration
- scientific article; zbMATH DE number 5310465 (Why is no real title available?)
- On the robustness of cointegration tests when series are fractionally intergrated
- Residual-based test for fractional cointegration
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- A Wald test for the cointegration rank in nonstationary fractional systems
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