This document has not been cited yet.

1. ——— (1956): “Methods of using long-term storage in reservoirs.” Proceedings of the Institution of Civil Engineers, 5, 519–543.
   Paper not yet in RePEc: Add citation now
   
2. ——— (1973): “Central limit theorems for time series regression,” Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete, 26, 157–170.
   Paper not yet in RePEc: Add citation now
   
3. ——— (1986b): “Understanding spurious regressions in econometrics,” Journal of Econometrics, 33, 311–340.
   Paper not yet in RePEc: Add citation now
   
4. ——— (1987): “Statistical aspects of self-similar processes,” Bernoulli, 1, 67–74.
   Paper not yet in RePEc: Add citation now
   
5. ——— (1987): “Time series regression with a unit root,” Econometrica, 55, 277–301.
   Paper not yet in RePEc: Add citation now
   
6. ——— (1988): “Regression theory for near-integrated time series,” Econometrica, 56, 1021– 1043.
   Paper not yet in RePEc: Add citation now
   
7. ——— (1989): “Statistical inference in regressions with integrated processes: Part 2,” Econometric Theory, 5, 95–131.
   Paper not yet in RePEc: Add citation now
   
8. ——— (1991): “Spectral regression for cointegrated time series,” in Nonparametric and Semiparametric Methods in Economics and Statistics, ed. by J. P. Barnett and G. Tauchen, New York: Cambridge University Press, 413–435.
   Paper not yet in RePEc: Add citation now
   
9. ——— (1995b): “Log-periodogram regression of time series with long range dependence,” The Annals of Statistics, 1048–1072.
   Paper not yet in RePEc: Add citation now
   
10. ——— (1999a): “Discrete Fourier transforms of fractional processes,” Cowles Foundation Discussion Paper No. 1243, Yale University, 1–58.
    Paper not yet in RePEc: Add citation now
    
11. ——— (1999b): “Unit root log periodogram regression,” Cowles Foundation Discussion Paper, Yale University, No. 1244, 1–23.
    Paper not yet in RePEc: Add citation now
    
12. ——— (2004): “Understanding the Fisher equation,” Journal of Applied Econometrics, 19, 869–886.
    Paper not yet in RePEc: Add citation now
    
13. ——— (2006): “Local Whittle estimation of fractional integration and some of its variants,” Journal of Econometrics, 130, 209–233.
    Paper not yet in RePEc: Add citation now
    
14. ——— (2006): “Log periodogram regression: the nonstationary case,” Cowles Foundation Discussion Paper No. 1547, Yale University.
    Paper not yet in RePEc: Add citation now
    
15. ——— (2007): “Unit root log periodogram regression,” Journal of Econometrics, 138, 104–124.
    Paper not yet in RePEc: Add citation now
    
16. ——— (2014): “Optimal estimation of cointegrated systems with irrelevant instruments,” Journal of Econometrics, 178, 210–224.
    Paper not yet in RePEc: Add citation now
    

17. Abadir, K. M., W. Distaso, and L. Giraitis (2007): “Nonstationarity-extended local Whittle estimation,” Journal of Econometrics, 141, 1353–1384.

18. Akonom, J. and C. Gouriéroux (1987): A functional limit theorem for fractional processes, Technical Report No. 8801, CEPREMAP.
    Paper not yet in RePEc: Add citation now
    

19. Aldrich, J. (1995): “Correlations genuine and spurious in Pearson and Yule,” Statistical Science, 364–376.

20. Bachelier, L. (1900): “Théorie de la spéculation,” in Annales Scientifiques de l’École Normale Supérieure, vol. 17, 21–86.
    Paper not yet in RePEc: Add citation now
    

21. Corbae, D., S. Ouliaris, and P. C. B. Phillips (2002): “Band spectral regression with trending data,” Econometrica, 70, 1067–1109.

22. Davidson, J. and N. Hashimzade (2009): “Type I and type II fractional Brownian motions: A reconsideration,” Computational Statistics & Data Analysis, 53, 2089–2106.

23. Durlauf, S. N. and P. C. B. Phillips (1988): “Trends versus random walks in time series analysis,” Econometrica, 1333–1354.

24. Granger, C. W. J. and R. Joyeux (1980): “An introduction to long-memory time series models and fractional differencing,” Journal of Time Series Analysis, 1, 15–29.

25. Hannan, E. J. (1970): Multiple time series, John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
    
26. Hannan, E. J. and M. Deistler (2012): The statistical theory of linear systems, SIAM.
    Paper not yet in RePEc: Add citation now
    
27. Hooker, R. H. (1901): “Correlation of the marriage-rate with trade,” Journal of the Royal Statistical Society, 64, 485–492.
    Paper not yet in RePEc: Add citation now
    
28. Hosking, J. R. M. (1981): “Fractional differencing,” Biometrika, 68, 165–176.
    Paper not yet in RePEc: Add citation now
    
29. Hurst, H. E. (1951): “Long-term storage capacity of reservoirs,” Transactions of the American Society of Civil Engineers, 116, 770–799.
    Paper not yet in RePEc: Add citation now
    

30. Hurvich, C. M., R. Deo, and J. Brodsky (1998): “The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series,” Journal of Time Series Analysis, 19, 19–46.

31. Kim, C. S. and P. C. B. Phillips (2003): “Modified log periodogram regression,” Working Paper, Yale University, 1–50.
    Paper not yet in RePEc: Add citation now
    
32. Künsch, H. (1986): “Discrimination between long range dependence and monotonic trends,” Journal of Applied Probability, 23, 1025–1030.
    Paper not yet in RePEc: Add citation now
    
33. Lovoie, J., T. J. Osler, and R. Tremblay (1976): “Fractional derivatives and special functions,” SIAM review, 18, 240–268.
    Paper not yet in RePEc: Add citation now
    
34. Mandelbrot, B. B. and J. W. Van Ness (1968): “Fractional Brownian motions, fractional noises and applications,” SIAM review, 10, 422–437.
    Paper not yet in RePEc: Add citation now
    
35. Marinucci, D. and P. M. Robinson (1999): “Alternative forms of fractional Brownian motion,” Journal of statistical planning and inference, 80, 111–122.
    Paper not yet in RePEc: Add citation now
    

36. Nelson, C. R. and C. R. Plosser (1982): “Trends and random walks in macroeconmic time series: some evidence and implications,” Journal of Monetary Economics, 10, 139–162.

37. Olver, F. W., D. W. Lozier, R. F. Boisvert, and C. W. Clark (2010): NIST handbook of mathematical functions hardback and CD-ROM, Cambridge university press.
    Paper not yet in RePEc: Add citation now
    

38. Park, J. Y. and P. C. B. Phillips (1988): “Statistical inference in regressions with integrated processes: Part 1,” Econometric Theory, 4, 468–497.

39. Pearson, K. and E. M. Elderton (1923): “On the variate difference method,” Biometrika, 14, 281–310.
    Paper not yet in RePEc: Add citation now
    
40. Phillips, P. C. B. (1986a): “Fractional matrix calculus and the distribution of multivariate tests,” in Time Series and Econometric Modeling, ed. by I. B. MacNeill and G. J. Umphrey, Dordrecht: D. Reidel, 219–234.
    Paper not yet in RePEc: Add citation now
    
41. Phillips, P. C. B. and K. Shimotsu (2004): “Local Whittle estimation in nonstationary and unit root cases,” The Annals of Statistics, 32, 656–692.
    Paper not yet in RePEc: Add citation now
    

42. Phillips, P. C. B. and S. N. Durlauf (1986): “Multiple time series regression with integrated processes,” The Review of Economic Studies, 53, 473–495.

43. Phillips, P. C. B. and V. Solo (1992): “Asymptotics for Linear Processes,” Annals of Statistics, 20, 971–1001.
    Paper not yet in RePEc: Add citation now
    
44. Robinson, P. M. (1995a): “Gaussian semiparametric estimation of long range dependence,” The Annals of Statistics, 1630–1661.
    Paper not yet in RePEc: Add citation now
    
45. Samorodnitsky, G. and M. S. Taqqu (2017): Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance: Stochastic Modeling, Routledge.
    Paper not yet in RePEc: Add citation now
    

46. Shao, X. (2010): “Nonstationarity-extended Whittle estimation,” Econometric Theory, 26, 1060–1087.

47. Shimotsu, K. and P. C. B. Phillips (2005): “Exact local Whittle estimation of fractional integration,” The Annals of Statistics, 33, 1890–1933.
    Paper not yet in RePEc: Add citation now
    
48. Solo, V. (1992): “Intrinsic random functions and the paradox of 1/f noise,” SIAM Journal on Applied Mathematics, 52, 270–291.
    Paper not yet in RePEc: Add citation now
    

49. Sun, Y. and P. C. B. Phillips (2003): “Nonlinear log-periodogram regression for perturbed fractional processes,” Journal of Econometrics, 115, 355–389.

50. Surgailis, D., H. L. Koul, and L. Giraitis (2012): Large sample inference for long memory processes, World Scientific Publishing Company.
    Paper not yet in RePEc: Add citation now
    

51. Velasco, C. (1999): “Non-stationary log-periodogram regression,” Journal of Econometrics, 91, 325–371.

52. Velasco, C. and P. M. Robinson (2000): “Whittle pseudo-maximum likelihood estimation for nonstationary time series,” Journal of the American Statistical Association, 95, 1229– 1243.

53. Yule, G. U. (1926): “Why do we sometimes get nonsense-correlations between time-series?–a study in sampling and the nature of time-series,” Journal of the Royal Statistical Society, 89, 1–63.
    Paper not yet in RePEc: Add citation now
    

1. Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form. (2016). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; A. M. Robert Taylor, .
   In: Working Paper.
   RePEc:qed:wpaper:1324.

   Full description at Econpapers || Download paper

2. Persistence in Convergence: Some further results. (2016). Yazgan, Ege ; Stengos, Thanasis ; Ozkan, Harun.
   In: Working Papers.
   RePEc:gue:guelph:2016-05.

   Full description at Econpapers || Download paper

3. Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gunay, Samet ; Gnay, Samet .
   In: IJFS.
   RePEc:gam:jijfss:v:4:y:2016:i:2:p:11-:d:70218.

   Full description at Econpapers || Download paper

4. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
   In: Working Papers.
   RePEc:hal:wpaper:hal-01158524.

   Full description at Econpapers || Download paper

5. High versus Low Inflation: Implications for Price-Level Convergence. (2015). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
   In: Working Papers.
   RePEc:fiu:wpaper:1503.

   Full description at Econpapers || Download paper

6. Forecasting long memory series subject to structural change: A two-stage approach. (2015). Dias, Gustavo Fruet ; Papailias, Fotis.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:31:y:2015:i:4:p:1056-1066.

   Full description at Econpapers || Download paper

7. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
   In: ESSEC Working Papers.
   RePEc:ebg:essewp:dr-15007.

   Full description at Econpapers || Download paper

8. Linkages between the US and European Stock Markets: A Fractional Cointegration Approach. (2015). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Orlando, James C.
   In: Discussion Papers of DIW Berlin.
   RePEc:diw:diwwpp:dp1505.

   Full description at Econpapers || Download paper

9. The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks. (2015). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_5630.

   Full description at Econpapers || Download paper

10. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodriguez Caballero, Carlos ; Haldrup, Niels ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

    Full description at Econpapers || Download paper

11. High versus Low Inflation: Implications for Price-Level Convergence. (2014). YILMAZKUDAY, HAKAN ; Yazgan, Ege.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1412.

    Full description at Econpapers || Download paper

12. Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. (2014). Bardet, Jean-Marc ; Tudor, Ciprian.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:131:y:2014:i:c:p:1-16.

    Full description at Econpapers || Download paper

13. The persistence and asymmetric volatility in the Nigerian stock bull and bear markets. (2014). YAYA, OLAOLUWA ; Gil-Alana, Luis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:463-469.

    Full description at Econpapers || Download paper

14. Modified information criteria and selection of long memory time series models. (2014). Kapetanios, George ; Baillie, Richard T. ; Papailias, Fotis.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:116-131.

    Full description at Econpapers || Download paper

15. Youth Unemployment in Europe: Persistence and Macroeconomic Determinants. (2014). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4696.

    Full description at Econpapers || Download paper

16. Long memory in US real output per capita. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Empirical Economics.
    RePEc:spr:empeco:v:44:y:2013:i:2:p:591-611.

    Full description at Econpapers || Download paper

17. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201359.

    Full description at Econpapers || Download paper

18. Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201321.

    Full description at Econpapers || Download paper

19. Long memory in the ukrainian stock market and financial crises. (2013). Plastun, Alex ; Makarenko, Inna ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: MPRA Paper.
    RePEc:pra:mprapa:59061.

    Full description at Econpapers || Download paper

20. Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets. (2013). PEGUIN-FEISSOLLE, Anne ; Boubaker, Heni.
    In: Computational Economics.
    RePEc:kap:compec:v:42:y:2013:i:3:p:291-306.

    Full description at Econpapers || Download paper

21. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-519.

    Full description at Econpapers || Download paper

22. Testing for a break in trend when the order of integration is unknown. (2013). Taylor, Robert ; Leybourne, Stephen ; Iacone, Fabrizio ; Robert Taylor, A. M., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:1:p:30-45.

    Full description at Econpapers || Download paper

23. Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis. (2013). Gil-Alana, Luis ; Jiang, Liang.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00705.

    Full description at Econpapers || Download paper

24. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1294.

    Full description at Econpapers || Download paper

25. Long Memory in the Ukrainian Stock Market. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1279.

    Full description at Econpapers || Download paper

26. Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate. (2013). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4224.

    Full description at Econpapers || Download paper

27. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-35.

    Full description at Econpapers || Download paper

28. Inflation Convergence in Central and Eastern Europe with a View to Adopting the Euro. (2012). Taylor, Karl ; Gil-Alana, Luis ; Cuestas, Juan.
    In: Working Papers.
    RePEc:shf:wpaper:2012005.

    Full description at Econpapers || Download paper

29. Persistence in Real Exchange Rate Convergence. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:16_12.

    Full description at Econpapers || Download paper

30. Comparaison of several estimation procedures for long term behavior. (2012). GUEGAN, Dominique ; Lu, Zhiping ; Zhu, BeiJia .
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:12008.

    Full description at Econpapers || Download paper

31. Persistence in Real Exchange Rate Convergence.. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2012-07..

    Full description at Econpapers || Download paper

32. Comovements among U.S. state housing prices: Evidence from fractional cointegration. (2012). Payne, James ; Gil-Alana, Luis ; Barros, Carlos Pestana.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:3:p:936-942.

    Full description at Econpapers || Download paper

33. Testing the Marshall-Lerner Condition in Kenya. (2012). Mudida, Robert ; Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1247.

    Full description at Econpapers || Download paper

34. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos P..
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1186.

    Full description at Econpapers || Download paper

35. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos Pestana.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3935.

    Full description at Econpapers || Download paper

36. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics. (2011). Gil-Alana, Luis ; Cao, Yun.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1211.

    Full description at Econpapers || Download paper

37. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:34_11.

    Full description at Econpapers || Download paper

38. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:peer-00834425.

    Full description at Econpapers || Download paper

39. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:peer-00815563.

    Full description at Econpapers || Download paper

40. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:hal-00834425.

    Full description at Econpapers || Download paper

41. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:hal-00815563.

    Full description at Econpapers || Download paper

42. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2011-05..

    Full description at Econpapers || Download paper

43. An I(d) model with trend and cycles. (2011). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:186-199.

    Full description at Econpapers || Download paper

44. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:240-247.

    Full description at Econpapers || Download paper

45. Local Whittle estimation of multi‐variate fractionally integrated processes. (2011). Nielsen, Frank S..
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:32:y:2011:i:3:p:317-335.

    Full description at Econpapers || Download paper

46. Estimators of long-memory: Fourier versus wavelets. (2009). Taqqu, Murad S. ; Fa, Gilles ; Roueff, Franois ; Moulines, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:151:y:2009:i:2:p:159-177.

    Full description at Econpapers || Download paper

47. Two estimators of the long-run variance: Beyond short memory. (2009). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:1:p:56-70.

    Full description at Econpapers || Download paper

48. Local Whittle estimation of multivariate fractionally integrated processes. (2009). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-38.

    Full description at Econpapers || Download paper

49. Local polynomial Whittle estimation covering non-stationary fractional processes. (2008). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-28.

    Full description at Econpapers || Download paper

50. Log Periodogram Regression: The Nonstationary Case. (2006). Phillips, Peter ; Kim, Chang Sik.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1587.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 23:51:20 || Missing content? Let us know