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On the power of unit root tests against fractional alternatives

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Cited by:

  1. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
  2. Oluwasegun B. Adekoya, 2021. "Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches," Empirical Economics, Springer, vol. 61(3), pages 1415-1433, September.
  3. Nuruddeen Usman & Kodili Nwanneka & Nduka, 2023. "Announcement Effect of COVID-19 on Cryptocurrencies," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 3(3), pages 1-4.
  4. Luis A. Gil-Alana & Sakiru Adebola Solarin & Mehmet Balcilar & Rangan Gupta, 2023. "Productivity and GDP: international evidence of persistence and trends over 130 years of data," Empirical Economics, Springer, vol. 64(3), pages 1219-1246, March.
  5. Gil-Alana, Luis A. & Loomis, David & Payne, James E., 2010. "Does energy consumption by the US electric power sector exhibit long memory behavior?," Energy Policy, Elsevier, vol. 38(11), pages 7512-7518, November.
  6. Gil-Alana, Luis A. & Gupta, Rangan, 2014. "Persistence and cycles in historical oil price data," Energy Economics, Elsevier, vol. 45(C), pages 511-516.
  7. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
  8. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
  9. Juan Infante & Marta Rio & Luis A. Gil-Alana, 2023. "Measuring Persistence in the US Equity Gender Diversity Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 167(1), pages 175-182, June.
  10. Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2017. "Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(1), pages 393-405, March.
  11. Gil-Alana, Luis Alberiko & Moreno, Antonio, 2009. "Technology Shocks And Hours Worked: A Fractional Integration Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 13(5), pages 580-604, November.
  12. João Ricardo Faria & Juan Carlos Cuestas & Luis Gil-Alana & Estefania Mourelle, 2021. "Self-employment by gender in the EU: convergence and clusters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(3), pages 717-741, August.
  13. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
  14. Walter Krämer, 1999. "Kointegration von Aktienkursen," Schmalenbach Journal of Business Research, Springer, vol. 51(10), pages 915-936, October.
  15. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
  16. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
  17. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
  18. George, Halkos & Ilias, Kevork, 2005. "Το Υπόδειγμα Τυχαίου Περιπάτου Με Αυτοπαλίνδρομα Σφάλματα [The random walk model with autoregressive errors]," MPRA Paper 33312, University Library of Munich, Germany.
  19. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
  20. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  21. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
  22. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
  23. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "Infant mortality rates: time trends and fractional integration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 589-602, March.
  24. Limam Imed, 2003. "Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 1(3), pages 56-71, December.
  25. Jesús Tomás Monge Moreno & Manuel Monge, 2023. "Coronavirus, Vaccination and the Reaction of Consumer Sentiment in The United States: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(8), pages 1-8, April.
  26. Lima, Luiz Renato & Notini, Hilton Hostalácio & Reis Gomes, Fábio Augusto, 2010. "Empirical Evidence on Convergence Across Brazilian States," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(2), June.
  27. Caporale, Guglielmo Maria & Carcel, Hector & Gil-Alana, Luis, 2017. "Central bank policy rates: Are they cointegrated?," International Economics, Elsevier, vol. 152(C), pages 116-123.
  28. Dolado, Juan J. & Marmol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," Economics Letters, Elsevier, vol. 57(1), pages 11-16, November.
  29. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
  30. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000.
  31. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018. "The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis," Empirical Economics, Springer, vol. 55(3), pages 913-935, November.
  32. Carlos P. Barros & Luis A. Gil-Alana, 2013. "The Housing Markets in Spain and Portugal: Evidence of Persistence," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 19-32, November.
  33. Hector Carcel & Luis A. Gil-Alana, 2018. "Inflation analysis in the Central American Monetary Council," Empirical Economics, Springer, vol. 54(2), pages 547-565, March.
  34. Guglielmo Maria Caporale & Luis A Gil-Alana & Olaoluwa Simon Yaya, 2022. "Modeling persistence and non-linearities in the US treasury 10-year bond yields," Economics Bulletin, AccessEcon, vol. 42(3), pages 1221-1229.
  35. Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
  36. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
  37. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
  38. Monge, Manuel & Gil-Alana, Luis A., 2021. "Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis," Resources Policy, Elsevier, vol. 72(C).
  39. Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers EI 9842, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  40. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Awe, Olushina O., 2017. "Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach," Resources Policy, Elsevier, vol. 53(C), pages 117-124.
  41. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  42. Juan Carlos Cuestas & Luis A. Gil-Alana, 2011. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies," Working Papers 2011005, The University of Sheffield, Department of Economics, revised Feb 2011.
  43. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis Alberiko Gil-Alana, 2022. "The relationship between prices and output in the UK and the US," SN Business & Economics, Springer, vol. 2(6), pages 1-13, June.
  44. Hector Carcel & Luis A. Gil-Alana & Godfrey Madigu, 2015. "Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 15(4), pages 507-524, December.
  45. Bisaglia, Luisa & Procidano, Isabella, 2002. "On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap," Economics Letters, Elsevier, vol. 77(3), pages 343-347, November.
  46. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  47. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
  48. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
  49. Sakiru Adebola Solarin & Luis A. Gil-Alana & Carmen Lafuente, 2020. "Persistence of the Misery Index in African Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 825-841, February.
  50. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
  51. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
  52. Margherita Gerolimetto & Stefano Magrini, 2017. "On the power of the simulation-based ADF test in bounded time series," Economics Bulletin, AccessEcon, vol. 37(1), pages 539-552.
  53. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Post-Print halshs-00259225, HAL.
  54. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses," Resources Policy, Elsevier, vol. 76(C).
  55. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
  56. Yugang He & Xiaodan Gao & Renhong Wu & Yinhui Wang & Baek-Ryul Choi, 2021. "How Does Sustainable Rural Tourism Cause Rural Community Development?," Sustainability, MDPI, vol. 13(24), pages 1-20, December.
  57. repec:zbw:bofism:2012_047 is not listed on IDEAS
  58. Jurgen Wolters, 1998. "Cointegration and German bond yields," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 497-502.
  59. Luis A. Gil-Alana & Rangan Gupta & Fernando Perez de Gracia, 2016. "Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013," Applied Economics, Taylor & Francis Journals, vol. 48(34), pages 3244-3252, July.
  60. Berta Marcos Ceron & Manuel Monge, 2023. "Consumer Sentiment and Luxury Behavior in the United States before and after COVID-19: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(16), pages 1-14, August.
  61. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
  62. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
  63. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
  64. B. Candelon & A. Dupuy & L. Gil-Alana, 2009. "The nature of occupational unemployment rates in the United States: hysteresis or structural?," Applied Economics, Taylor & Francis Journals, vol. 41(19), pages 2483-2493.
  65. Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
  66. George A. Vamvoukas, 2007. "Trade Liberalization and Economic Expansion: A Sensitivity Analysis," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 5(1), pages 71-88.
  67. Marmol, Francesc, 1998. "Searching for fractional evidence using combined unit root tests," DES - Working Papers. Statistics and Econometrics. WS 10613, Universidad Carlos III de Madrid. Departamento de Estadística.
  68. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
  69. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
  70. Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
  71. Hassler Uwe & Wolters Jürgen, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 119-129, April.
  72. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Puertolas, Francisco, 2024. "Modelling profitability of private equity: A fractional integration approach," Research in International Business and Finance, Elsevier, vol. 67(PA).
  73. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
  74. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Robert Mudida, 2015. "Testing the Marshall–Lerner Condition in Kenya," South African Journal of Economics, Economic Society of South Africa, vol. 83(2), pages 253-268, June.
  75. Rolando Peláez, 2012. "The housing bubble in real-time: the end of innocence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 211-225, January.
  76. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
  77. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
  78. Diego Romero‐Ávila & Carlos Usabiaga, 2007. "Unit Root Tests, Persistence, and the Unemployment Rate of the U.S. States," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 698-716, January.
  79. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Miguel Ángel Martin-Valmayor, 2022. "Non-linearities and persistence in US long-run interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 29(4), pages 366-370, February.
  80. Luis Alberiko Gil-Alana & Francisco Puertolas-Montanes, 2023. "Profitability of private equity: mean reversion and transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 458-471, June.
  81. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
  82. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
  83. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
  84. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
  85. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
  86. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  87. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
  88. OlaOluwa S. Yaya & Xuan Vinh Vo & Ahamuefula E. Ogbonna & Adeolu O. Adewuyi, 2022. "Modelling cryptocurrency high–low prices using fractional cointegrating VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 489-505, January.
  89. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
  90. Agnese, Pablo & Garcia-del-Barrio, Pedro & Gil-Alana, Luis A. & de Gracia, Fernando Perez, 2023. "Precious Metal Prices: A Tale of Four U.S. Recessions," IZA Discussion Papers 16012, Institute of Labor Economics (IZA).
  91. C. P. Barros & Luis A. Gil-Alana, 2015. "Investment and saving in Angola and the Feldstein-Horioka puzzle," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4793-4800, March.
  92. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
  93. Jim Granato & Melody Lo & M. C. Sunny Wong, 2006. "Testing Monetary Policy Intentions in Open Economies," Southern Economic Journal, John Wiley & Sons, vol. 72(3), pages 730-746, January.
  94. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
  95. Yaya, OlaOluwa S. & Gil-Alana, Luis A. & Adekoya, Oluwasegun B. & Vo, Xuan Vinh, 2021. "How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses," Resources Policy, Elsevier, vol. 74(C).
  96. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
  97. Carlos Pestana BARROS & Zhongfei CHEN & Luis A. GIL-ALANA, 2013. "Long Memory in the Housing Price Indices in China," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(7), pages 785-807, July.
  98. Luis Gil-Alana & Rolando Peláez, 2008. "The persistence of earnings per share," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 425-439, November.
  99. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-15.
  100. Luis Gil-Alana & Trilochan Tripathy, 2014. "Mean Reversion in Agricultural Commodity Prices in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(4), pages 385-398, November.
  101. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
  102. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
  103. OlaOluwa S. Yaya & Nurudeen Abu & Tayo P. Ogundunmade, 2021. "Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration," Economic Change and Restructuring, Springer, vol. 54(2), pages 541-556, May.
  104. repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
  105. Hélène Chevrou-Séverac, 2002. "Convergence monétaire européenne, PPA et PINC," Économie et Prévision, Programme National Persée, vol. 155(4), pages 79-94.
  106. Eisinga, Rob & Franses, Philip Hans & Ooms, Marius, 1999. "Forecasting long memory left-right political orientations," International Journal of Forecasting, Elsevier, vol. 15(2), pages 185-199, April.
  107. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Asl, Mahdi Ghaemi & Jalalifar, Saba, 2021. "Financing the green projects: Market efficiency and volatility persistence of green versus conventional bonds, and the comparative effects of health and financial crises," International Review of Financial Analysis, Elsevier, vol. 78(C).
  108. Yaya, OlaOluwa S & Ling, Pui Kiew & Furuoka, Fumitaka & Ezeoke, Chinyere Mary Rose & Jacob, Ray Ikechukwu, 2018. "Can Western African countries catch up with Nigeria? Evidence from Smooth Nonlinearity method in Fractional Unit root framework," MPRA Paper 90517, University Library of Munich, Germany.
  109. Guglielmo Maria Caporale & Luis A. Gil-Alana & Pablo Vicente Trejo, 2021. "Unemployment Persistence in Europe: Evidence from the 27 EU Countries," CESifo Working Paper Series 9392, CESifo.
  110. Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan, 2015. "Structural Breaks, Long Memory, or Unit Roots in Stock Prices: Evidence from Emerging Markets," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 13-33, April.
  111. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel, 2015. "Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis," NCID Working Papers 11/2015, Navarra Center for International Development, University of Navarra.
  112. Chaker Aloui, 2015. "Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 5(2), pages 160-192.
  113. Aye, Goodness C. & Carcel, Hector & Gil-Alana, Luis A. & Gupta, Rangan, 2017. "Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016," Resources Policy, Elsevier, vol. 54(C), pages 53-57.
  114. Emma Iglesias & Garry Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 95-106.
  115. Fredrik Andersson, 2014. "Exchange rates dynamics revisited: a panel data test of the fractional integration order," Empirical Economics, Springer, vol. 47(2), pages 389-409, September.
  116. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.
  117. Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten, 2011. "A further investigation of unemployment persistence in European transition economies," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 514-532.
  118. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
  119. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale, 2015. "African Growth, Non-Linearities and Strong Dependence: An Empirical Study," NCID Working Papers 12/2015, Navarra Center for International Development, University of Navarra.
  120. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
  121. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
  122. Monge, Manuel, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, Elsevier, vol. 167(C), pages 88-95.
  123. Denisard Alves & Regina Celia Cati & Vera Lucia Fava, 2001. "Purchasing power parity in Brazil: a test for fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 33(9), pages 1175-1185.
  124. George Halkos & Ilias Kevork, 2005. "A comparison of alternative unit root tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(1), pages 45-60.
  125. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
  126. OlaOluwa S.Yaya & Pui Kiew Ling & Fumitaka Furuoka & Chinyere Mary Rose Ezeoke & Ray Ikechukwu Jacob, 2019. "Can West African countries catch up with Nigeria? Evidence from smooth nonlinearity method in fractional unit root framework," International Economics, CEPII research center, issue 158, pages 51-63.
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