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Determination of cointegrating rank in fractional systems
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“In only 2 cases out of 37 the Robinson and Yajima (2002) test rejects the null hypothesis that paired time series are integrated of the same order.”
From Sanctions and Russian online prices (2024) · cites this paper as Robinson and Yajima (2002)
Citations
Cites
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Modelling structural breaks, long memory and stock market volatility: an overview
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Beltratti, A., & Morana, C. (2005) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.01.007 · Cited by 169
Semiparametric fractional cointegration analysis
Marinucci, D., & Robinson, P. M. (2001) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00076-8 · Cited by 164
Self-citationCointegration in Fractional Systems with Unknown Integration Orders
Robinson, P. M., & Hualde, J. (2003) · Econometrica · doi:10.1111/1468-0262.00468 · Cited by 147
Self-citationFractional Integration and Cointegration: An Overview and an Empirical Application
Gil‐Alana, L. A., & Hualde, J. (2009) · Palgrave Macmillan UK eBooks · doi:10.1057/9780230244405_10 · Cited by 125
Metadata
- Authors
- Robinson, P. M., & Yajima, Y.
- Affiliations
- London School of Economics and Political Science (GB)
- The University of Tokyo (JP)
- Corresponding author
- Robinson, Peter M.
- ORCID
- Robinson, Peter M.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2002-02
- Volume
- 106
- Issue
- 2
- Pages
- 217-241
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2272262202
- Cited by
- 236
- References
- 27
- Citations by year
- 2026: 2 · 2025: 4 · 2024: 7 · 2023: 6 · 2022: 3 · 2021: 11 · 2020: 17 · 2019: 7 · 2018: 9 · 2017: 16 · 2016: 7 · 2015: 7 · 2014: 13 · 2013: 18 · 2012: 6
- FWCI
- 26.14
- Type
- journal article
- Language
- en
- Open access
- green
- eprints.lse.ac.uk
- Locations
- Journal of Econometrics (publishedVersion)
- London School of Economics and Political Science Research Online (London School of Economics and Political Science) (acceptedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- London School of Economics and Political Science Research Online (London School of Economics and Political Science) (submittedVersion)
- SSRN Electronic Journal (submittedVersion)
- OpenGrey (Institut de l'Information Scientifique et Technique) (submittedVersion)
- Funders
- London School of Economics and Political Science
- Leverhulme Trust
- University of Tokyo
- Economic and Social Research Council
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Complex Systems and Time Series Analysis
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Keywords
- fractional cointegration, cointegrating rank, fractionally integrated processes, semiparametric estimation, spectral density matrix, eigenvalues, hypothesis testing, oil prices, non-stationary time series
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