Determination of cointegrating rank in fractional systems

Co-integration and error correction: representation, estimation and testing

Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

Dickey, D. A., & Fuller, W. A. (1981) · Econometrica · doi:10.2307/1912517 · Cited by 14,666

Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order

Saïd, S. E., & Dickey, D. A. (1984) · Biometrika · doi:10.1093/biomet/71.3.599 · Cited by 3,511

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Geweke, J. F., & Porter‐Hudak, S. (1983) · Journal of Time Series Analysis · doi:10.1111/j.1467-9892.1983.tb00371.x · Cited by 2,983

Asymptotic Properties of Residual Based Tests for Cointegration

Phillips, P. C. B., & Ouliaris, S. (1990) · Econometrica · doi:10.2307/2938339 · Cited by 1,995

Testing for Common Trends

Stock, J. H., & Watson, M. W. (1988) · Journal of the American Statistical Association · doi:10.1080/01621459.1988.10478707 · Cited by 1,929

Gaussian Semiparametric Estimation of Long Range Dependence

Robinson, P. M. (1995) · The Annals of Statistics · doi:10.1214/aos/1176324317 · Cited by 1,474

On closed testing procedures with special reference to ordered analysis of variance

Marcus, R., Peritz, E., & Gabriel, K. R. (1976) · Biometrika · doi:10.1093/biomet/63.3.655 · Cited by 1,417

Log-Periodogram Regression of Time Series with Long Range Dependence

Robinson, P. M. (1995) · The Annals of Statistics · doi:10.1214/aos/1176324636 · Cited by 1,222

Asymptotic Theory for Principal Component Analysis

Anderson, T. W. (1963) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177704248 · Cited by 1,154

The Long and the Short of It: Long Memory Regressors and Predictive Regressions

Maynard, A., Smallwood, A. D., & Wohar, M. E. (2005)

The long memory story of ex post real interest rates. Can it be supportedPreprint

Venetis, I. A., Duarte, A., & Payá, I. (2004) · RePEc: Research Papers in Economics

Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques

Gil‐Alana, L. A. (2004)

Essays on long memory time series and fractional cointegration

Algarhi, A. S. (2013) · Open Research Exeter (University of Exeter)

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities

Aloy, M., & de Truchis, G. (2015) · Computational Economics · doi:10.1007/s10614-015-9531-6

Long-Term Statistical Relationships in Political Science: An Analysis Based on Fractional Integration and Cointegration

Gil‐Alana, L. A. (2007) · The Open Political Science Journal · doi:10.2174/1874949600801010005

On the asymptotic properties of the OLS estimator in regression models with fractionally integrated regressors and errors

Stocker, T. C. (2008)

Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend BreaksPreprint

Dechert, A. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.2132523

The role of Skorokhod space in the developmentof the econometric analysis of time seriesPreprint

McCrorie, J. R. (2008) · RePEc: Research Papers in Economics

Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of NigeriaPreprint

Yaya, O. S., Gil‐Alana, L. A., Fashae, O. A., & Gupta, R. (2014) · RePEc: Research Papers in Economics

LOCAL WHITTLE ESTIMATION IN STATIONARY SYSTEMS: EVIDENCE FROM US AND CANADA INFLATION

Algarhi, A. S. (2013)

Demixing operator fractional Brownian motionPreprint

Abry, P., Didier, G., & Li, H. (2016) · arXiv (Cornell University)

Essays on Regional Recessions, Spatial Interactions and Forecasting

Shibaev, S. S. (2017) · QSpace (Queen's University Library)

Models with Alternative Orders of Integration

Hunter, J. E., Burke, S. P., & Canepa, A. (2017) · Palgrave Macmillan UK eBooks · doi:10.1057/978-1-137-31303-4_8

Testing for Cointegration: Standard and Non-Standard Conditions

Hunter, J. E., Burke, S. P., & Canepa, A. (2017) · Palgrave Macmillan UK eBooks · doi:10.1057/978-1-137-31303-4_4

The Structural Analysis of Time Series

Hunter, J. E., Burke, S. P., & Canepa, A. (2017) · Palgrave Macmillan UK eBooks · doi:10.1057/978-1-137-31303-4_9

Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services MarketsPreprint

Caporin, M., Fontini, F., & de Magistris, P. S. (2018) · SSRN Electronic Journal · doi:10.2139/ssrn.3106297

Essays on fractional cointegration and spurious long memory

Afzal, A. (2019) · Institutional Repository of Leibniz Universität Hannover (Leibniz Universität Hannover) · doi:10.15488/5334

Robust multivariate local whittle estimation and spurious fractional cointegrationPreprint

Becker, J., Leschinski, C., & Sibbertsen, P. (2019) · RePEc: Research Papers in Economics

Central Bank Policy Rates: Are They Cointegrated?Preprint

Caporale, G. M., Cárcel, H., & Gil‐Alana, L. A. (2017) · SSRN Electronic Journal · doi:10.2139/ssrn.2934278

How Do Stocks in BRICS Co-Move With REITs?Preprint

Gil‐Alana, L. A., Yaya, O. S., Akinsomi, O., & Coskun, Y. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3370918

Long memory in economic and financial time series

Κακαβάς, Χ. (2012) · Dione (University of Piraeus)

Efficient tapered local Whittle estimation of multivariate fractional processes

Narukawa, M. (2021) · Journal of Statistical Planning and Inference · doi:10.1016/j.jspi.2021.03.005

Bibliography

Hassler, U. (2018) · Wiley series in probability and statistics · doi:10.1002/9781119470380.biblio

A Semiparametric Analysis of the Term Structure of the US Interest Rates

Iacone, F. (2009) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2009.00546.x

Introduction

Hunter, J. E., Burke, S. P., & Canepa, A. (2017) · Palgrave Macmillan UK eBooks · doi:10.1057/978-1-137-31303-4_1

Intermittency and the Potential of Wind Energy for CO2 AbatementPreprint

Carlini, F., Christensen, B. J., Gupta, N. D., & de Magistris, P. S. (2023) · SSRN Electronic Journal · doi:10.2139/ssrn.4564815

Stock Market Prices and Dividends in the US: Bubbles or Long-Run Equilibria Relationships?Preprint

Yaya, O. S., Gil‐Alana, L. A., & Dettoni, R. (2024) · SSRN Electronic Journal · doi:10.2139/ssrn.4794169

Will the “True” Productivity Series Please Stand Up? Identifying Inconsistencies Across Productivity Series

Lence, S. H., & Plastina, A. (2025) · Agricultural Economics · doi:10.1111/agec.70056

Testing for fractional cointegration in subsamples by allowing for structural breaks

Kreye, T. J. (2025) · Statistics & Probability Letters · doi:10.1016/j.spl.2025.110518

Monitoring breaks in fractional cointegration

Dierkes, M., Fitter, K., & Sibbertsen, P. (2025) · Communication in Statistics- Theory and Methods · doi:10.1080/03610926.2025.2581247

Apport des ondelettes dans l'ananlyse univariée et multivariée des processus à mémoire longue : application à des données financières

Boubaker, H. (2010) · doi:10.70675/90a7eec8zff5ez4c23z8a41zc687ee54b82a

Four essays on monetary and financial integration in Asia

Keddad, B. (2013) · doi:10.70675/1fb25195z1383z4e1aza66dze4593b32145a

Fractional cointegration analysis of comovements in international financial markets

de Truchis, G. (2014) · doi:10.70675/14e9b964z5d39z4b00z8351z5d05c14bf31e

Fractional Long-Memory Dynamics and Residual Machine Learning for Medium-Horizon Agricultural Commodity Price Forecasting

Cirilo, S. O., Vargas-Canales, J. M., Sangermán-Jarquín, D. M., Medina–Cuéllar, S. E., Bautista, J. A., Cobos, A. V., Haros, B. R., & Hernández, B. H. (2026) · Fractal and Fractional · doi:10.3390/fractalfract10080536

Semiparametric estimation of the cointegrating rank in fractional cointegrationPreprint

Hualde, J. (2026) · SSRN Electronic Journal · doi:10.2139/ssrn.7615295

Długa pamięć wolumenu obrotów: porównanie giełd w Warszawie i Frankfurcie

Wójtowicz, T., & Gurgul, H. (2007) · Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

Various Methods for Financial Engineering

Taniguchi, M., Amano, T., Ogata, H., & Taniai, H. (2014) · SpringerBriefs in statistics · doi:10.1007/978-3-319-03497-3_3

Semiparametric estimation of the cointegrating rank in fractional cointegrationPreprint

Hualde, J. (2026) · SSRN Electronic Journal · doi:10.2139/ssrn.7615295

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Nielsen, M. Ø., & Shimotsu, K. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2006.10.008 · Cited by 79

Estimation of the cointegrating rank in fractional cointegrationPreprint

Hualde, J. (2012) · RePEc: Research Papers in Economics · Cited by 1

Determination of cointegrating ranking fractional systems

Robinson, P. M., & Yajima, Y. (2002)

Spectral analysis of fractionally cointegrated systems

Nielsen, M. Ø. (2004) · Economics Letters · doi:10.1016/j.econlet.2003.10.017 · Cited by 51