The DOI matches its Crossref record; 26 of the 27 references it cites were found in a registry or an index.
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
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
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
Self-citationOn 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
Self-citationAsymptotic Theory for Principal Component Analysis
Anderson, T. W. (1963) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177704248 · Cited by 1,154
Cited by
Sorted by citations
Modelling structural breaks, long memory and stock market volatility: an overview
Banerjee, A., & Urga, G. (2004) · Journal of Econometrics · doi:10.1016/j.jeconom.2004.09.001 · Cited by 222
Breaks and persistency: macroeconomic causes of stock market volatility
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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