Social
Science Citation Index.
Hudson R, Lawoko CR
Generalised least squares (GLS) estimation of the difference parameter in
long memory (ARFIMA) processes
COMMUN STAT-THEOR M 31 (9): 1629-1646 2002
Chung CF
Sample means, sample autocovariances, and linear regression of stationary
multivariate long memory processes
ECONOMET THEOR 18 (1): 51-78 FEB 2002
Tong H
A personal journey through time series in Biometrika
BIOMETRIKA 88 (1): 195-218 MAR 2001
Martin VL, Wilkins NP
Indirect estimation of ARFIMA and VARFIMA models
J ECONOMETRICS 93 (1): 149-175 NOV 1999
Hauser MA
Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo
study
J STAT PLAN INFER 80 (1-2): 229-255 AUG 1 1999
Haslett J
On the sample variogram and the sample autocovariance for nonstationary
time series
STATISTICIAN 46 (4): 475-485 1997
Martin RJ, Walker AM
A power-law model and other models for long-range dependence
J APPL PROBAB 34 (3): 657-670 SEP 1997
Hassler U
Sample autocorrelations of nonstationary fractionally integrated series
STAT PAP 38 (1): 43-62 MAR 1997
Koop G, Ley E, Osiewalski
J, et al.
Bayesian analysis of long memory and persistence using ARFIMA models
J ECONOMETRICS 76 (1-2): 149-169 JAN-FEB 1997
Baillie RT
Long memory processes and fractional integration in econometrics
J ECONOMETRICS 73 (1): 5-59 JUL 1996
Newbold P, Rayner T, Kellard N
Long-run drift, co-movement and persistence in real wheat and maize prices
J AGR ECON 51 (1): 104-119 JAN 2000
McCullough BD
Is it safe to assume that software is accurate?
INT J FORECASTING 16 (3): 349-357 JUL-SEP 2000
Hansen JV, McDonald JB,
Nelson RD
Time series prediction with genetic-algorithm designed neural networks: An
empirical comparison with modern statistical models
COMPUT INTELL 15 (3): 171-184 AUG 1999
McCullough BD, Vinod HD
The numerical reliability of econometric software
J ECON LIT 37 (2): 633-665 JUN 1999
Henry OT, Olekalns N
Does the Australian dollar real exchange rate display mean reversion
J INT MONEY FINANC 21 (5): 651-666 OCT 2002
Breitung J, Hassler U
Inference on the cointegration rank in fractionally integrated processes
J ECONOMETRICS 110 (2): 167-185 OCT 2002
Vougas DV
Pitfall of unit autoregressive root testing
APPL ECON LETT 9 (10): 665-669 AUG 15 2002
Leybourne SJ, Newbold P,
Vougas D, et al.
A direct test for cointegration between a pair of time series
J TIME SER ANAL 23 (2): 173-191 MAR 2002
Chung CF
Sample means, sample autocovariances, and linear regression of stationary
multivariate long memory processes
ECONOMET THEOR 18 (1): 51-78 FEB 2002
Maynard A, Phillips PCB
Rethinking an old empirical puzzle: Econometric evidence on the forward
discount anomaly
J APPL ECONOM 16 (6): 671-708 NOV-DEC 2001
Mainardi S
Fractional integration: An overview and results on mining sector time
series
POLIT EKON 49 (3): 397-414 2001
Vougas DV
Deterministic exponential heteroskedasticity, a weakly stationary
unit-root process and a useful diagnostic test
APPL ECON LETT 8 (6): 427-430 JUN 2001
McCullough BD
Is it safe to assume that software is accurate?
INT J FORECASTING 16 (3): 349-357 JUL-SEP 2000
Newbold P, Rayner T, Kellard
N
Long-run drift, co-movement and persistence in real wheat and maize prices
J AGR ECON 51 (1): 104-119 JAN 2000
Gonzalo J, Lee TH
On the robustness of cointegration tests when series are fractionally
integrated
J APPL STAT 27 (7): 821-827 SEP 2000
Bollerslev T, Wright JH
Semiparametric estimation of long-memory volatility dependencies: The role
of high-frequency data
J ECONOMETRICS 98 (1): 81-106 SEP 2000
Hasseler U
Simple regressions with linear time trends
J TIME SER ANAL 21 (1): 27-32 JAN 2000
Taylor AMR
The finite sample effects of deterministic variables on conventional
methods of lag-selection in unit root tests
OXFORD B ECON STAT 62 (2): 293-+ MAY 2000
Hwang SS
The effects of systematic sampling and temporal aggregation on discrete
time long memory processes and their finite sample properties
ECONOMET THEOR 16 (3): 347-372 JUN 2000
Andersson MK
Do long-memory models have long memory?
INT J FORECASTING 16 (1): 121-124 JAN-MAR 2000
Lebo MJ, Walker RW, Clarke
HD
You must remember this: dealing with long memory in political analyses
ELECT STUD 19 (1): 31-48 MAR 2000
Box-Steffensmeier JM, Tomlinson
AR
Fractional integration methods in political science
ELECT STUD 19 (1): 63-76 MAR 2000
Galbraith JW, Zinde-Walsh
V
On the distributions of Augmented Dickey-Fuller statistics in processes
with moving average components
J ECONOMETRICS 93 (1): 25-47 NOV 1999
Martin VL, Wilkins NP
Indirect estimation of ARFIMA and VARFIMA models
J ECONOMETRICS 93 (1): 149-175 NOV 1999
Velasco C
Non-stationary log-periodogram regression
J ECONOMETRICS 91 (2): 325-371 AUG 1999
McCullough BD, Vinod HD
The numerical reliability of econometric software
J ECON LIT 37 (2): 633-665 JUN 1999
Taylor AMR, Leybourne SJ
Detecting seasonal unit roots: An approach based on the sample
autocorrelation function
MANCH SCH 67 (3): 261-286 JUN 1999
Gonzalo J, Lee TH
Pitfalls in testing for long run relationships
J ECONOMETRICS 86 (1): 129-154 SEP 1998
Box-Steffensmeier JM, Smith
RM
Investigating political dynamics using fractional integration methods
AM J POLIT SCI 42 (2): 661-689 APR 1998
Cheung YW, Lai KS
Power of the Augmented Dickey-Fuller test with information-based lag
selection
J STAT COMPUT SIM 60 (1): 57-65 1998
Gonzalo J, Pitarakis JY
On the exact moments of asymptotic distributions in an unstable AR(1) with
dependent errors
INT ECON REV 39 (1): 71-88 FEB 1998
Greasley D, Oxley L
Endogenous growth or ''big bang'': Two views of the first industrial
revolution
J ECON HIST 57 (4): 935-949 DEC 1997
Chatfield C
Forecasting in the 1990s
STATISTICIAN 46 (4): 461-473 1997
Sabuhoro JB, Larue B
The market efficiency hypothesis: the case of coffee and cocoa futures
AGR ECON 16 (3): 171-184 AUG 1997
Breitung J, Gourieroux
C
Rank tests for unit roots
J ECONOMETRICS 81 (1): 7-27 NOV 1997
Ling SQ, Li WK
On fractionally integrated autoregressive moving-average time series
models with conditional heteroscedasticity
J AM STAT ASSOC 92 (439): 1184-1194 SEP 1997
Ng S, Perron P
Estimation and inference in nearly unbalanced nearly cointegrated systems
J ECONOMETRICS 79 (1): 53-81 JUL 1997
Ahrens WA, Sharma VR
Trends in natural resource commodity prices: Deterministic or stochastic?
J ENVIRON ECON MANAG 33 (1): 59-74 MAY 1997
Barkoulas J, Labys WC,
Onochie J
Fractional dynamics in international commodity prices
J FUTURES MARKETS 17 (2): 161-189 APR 1997
Hassler U
Sample autocorrelations of nonstationary fractionally integrated series
STAT PAP 38 (1): 43-62 MAR 1997
Evans M, Walton SB
Time-series properties and forecasts of crude steel consumption in the UK
J FORECASTING 16 (1): 47-63 JAN 1997
Byers JD, Peel DA
Long-memory risk premia in exchange rates
MANCH SCH ECON SOC 64 (4): 421-438 DEC 1996
Koop G, Ley E, Osiewalski
J, et al.
Bayesian analysis of long memory and persistence using ARFIMA models
J ECONOMETRICS 76 (1-2): 149-169 JAN-FEB 1997
Sephton PS
A note on fractional cointegration
APPL ECON LETT 3 (10): 683-685 OCT 1996
Moosa IA, Bhatti RH
Does Europe have an integrated capital market? Evidence from real interest
parity tests
APPL ECON LETT 3 (8): 517-520 AUG 1996
Greasley D, Oxley L
Technological epochs and British industrial production, 1700-1992
SCOT J POLIT ECON 43 (3): 258-274 AUG 1996
Mills TC, Crafts NFR
Trend growth in British industrial output, 1700-1913: A reappraisal
EXPLOR ECON HIST 33 (3): 277-295 JUL 1996
CribariNeto F
On time series econometrics
Q REV ECON FINANC 36: 37-60 Sp. Iss. SI 1996
Newbold P, Vougas D
Drift in the relative price of primary commodities: A case where we care
about unit roots
APPL ECON 28 (6): 653-661 JUN 1996
Ball M, Wood A
Trend growth in post-1850 British economic history: The Kalman filter and
historical judgment
STATISTICIAN 45 (2): 143-152 1996
Mills TC, Crafts NFR
Modelling trends in economic history
STATISTICIAN 45 (2): 153-159 1996
Baillie RT
Long memory processes and fractional integration in econometrics
J ECONOMETRICS 73 (1): 5-59 JUL 1996
Hosking JRM
Asymptotic distributions of the sample mean, autocovariances, and
autocorrelations of long-memory time series
J ECONOMETRICS 73 (1): 261-284 JUL 1996
Lee DKC, Robinson PM
Semiparametric exploration of long memory in stock prices
J STAT PLAN INFER 50 (2): 155-174 MAR 1 1996
Crato N, Ray BK
Model selection and forecasting for long-range dependent processes
J FORECASTING 15 (2): 107-125 MAR 1996
Tieslau MA, Schmidt P,
Baillie RT
A minimum distance estimator for long-memory processes
J ECONOMETRICS 71 (1-2): 249-264 MAR-APR 1996
Baillie RT, Chung CF,
Tieslau MA
Analysing inflation by the fractionally integrated ARFIMA-GARCH model
J APPL ECONOM 11 (1): 23-40 JAN-FEB 1996
CHATFIELD C
MODEL UNCERTAINTY, DATA MINING AND STATISTICAL-INFERENCE
J ROY STAT SOC A STA 158: 419-466 Part 3 1995
MILLER JP, NEWBOLD P
UNCERTAINTY ABOUT THE PERSISTENCE OF ECONOMIC SHOCKS
J BUS ECON STAT 13 (4): 435-440 OCT 1995
CHEUNG YW, LAI KS
A SEARCH FOR LONG MEMORY IN INTERNATIONAL STOCK-MARKET RETURNS
J INT MONEY FINANC 14 (4): 597-615 AUG 1995
ROBINSON PM
LOG-PERIODOGRAM REGRESSION OF TIME-SERIES WITH LONG-RANGE DEPENDENCE
ANN STAT 23 (3): 1048-1072 JUN 1995
GREASLEY D, OXLEY L
BALANCED VERSUS COMPROMISE ESTIMATES OF UK GDP 1870-1913
EXPLOR ECON HIST 32 (2): 262-272 APR 1995
JAENICKE J
REPURCHASE AGREEMENTS - AN EMPIRICAL-ANALYSIS OF THE IMPACT ON MARKET
INTEREST-RATES
JAHRB NATL STAT 214 (2): 209-225 MAR 1995
SMITH J, YADAV S
FORECASTING COSTS INCURRED FROM UNIT DIFFERENCING FRACTIONALLY INTEGRATED
PROCESSES
INT J FORECASTING 10 (4): 507-514 DEC 1994
NG S, PERRON P
UNIT-ROOT TESTS IN ARMA MODELS WITH DATA-DEPENDENT METHODS FOR THE
SELECTION OF THE TRUNCATION LAG
J AM STAT ASSOC 90 (429): 268-281 MAR 1995
HASSLER U, WOLTERS J
LONG MEMORY IN INFLATION RATES - INTERNATIONAL EVIDENCE
J BUS ECON STAT 13 (1): 37-45 JAN 1995
LEYBOURNE SJ, MCCABE BPM
A CONSISTENT TEST FOR A UNIT-ROOT
J BUS ECON STAT 12 (2): 157-166 APR 1994
LEYBOURNE SJ
TESTING FOR UNIT ROOTS - A SIMPLE ALTERNATIVE TO DICKEY-FULLER
APPL ECON 26 (7): 721-729 JUL 1994
HASSLER U, WOLTERS J
ON THE POWER OF UNIT-ROOT TESTS AGAINST FRACTIONAL ALTERNATIVES
ECON LETT 45 (1): 1-5 MAY 1994
CRIBARINETO F
CANADIAN ECONOMIC-GROWTH - RANDOM-WALK OR JUST A WALK
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TRENDS AND CYCLES IN BRITISH INDUSTRIAL-PRODUCTION, 1700-1913 - A REPLY
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Journal of Time Series Analysis
Hurvich, C. M. and Beltrao,
K. I. (1994),Automatic
Semiparametric estimation of the memory parameter of a long-memory time series,
Journal of Time Series Analysis, 15, 285-302.
Chen, G., Abraham, B. and Reiris, S. (1994), Lag window estimation of the degree of differencing in Fractionally Integrated time series models, Journal of Time Series Analysis, 15, 473-487.
Hurvich, C. M. and Ray, B. K. (1995), Estimation of the memory parameter for Nonstationary or Noninvertible Fractionally Integrated processes, Journal of Time Series Analysis, 16, 17-41.
Arellano, C. and Pantula, S. G. (1995), Testing for trend stationarity versus difference stationarity, Journal of Time Series Analysis, 16, 147-164.
Yap, S. F. and Reinsel, G. C. (1995), Results on estimation and testing for a unit root in the nonstationary autoregressive moving-average model, Journal of Time Series Analysis, 16, 339-353.
Viano, M. C., Deniau, C. and Oppenheim, G. (1995), Long-Range dependence and mixing for discrete time fractional processes, Journal of Time Series Analysis, 16, 323-338.
Miller, J. P. and Newbold, P. (1995), A generalized variance ratio test of ARIMA(q, 1, q) model specification, Journal of Time Series Analysis, 16, 403-413.
Cheung, Y. and Kon, S. L. (1995), Estimating finite sample critical values for unit root tests using pure random walk process: a note, Journal of Time Series Analysis, 16, 493-498.
Hall, A. (1995), Residual autocovariances and unit root tests based on instrumental variable estimators from time series regression models, Journal of Time Series Analysis, 16, 555-569.
Conzalo, J. and Lee, T. (1996), Relative power of t type tests for stationary and unit root processes, Journal of Time Series Analysis, 17, 37-47.
Newbold, P. and Vougas, D. (1996), Beveridge-Nelson type trends for I(2) and some seasonal models, Journal of Time Series Analysis, 17, 151-169.
Smith, J., Taylor, N. and Yadan, S. (1997), Comparing the bias and misspecification in ARFIMA models, Journal of Time Series Analysis, 18, 507-527.
Leybourne, S., Newbold, P. and Vougas, D. (1998), Unit roots and smooth transitions, Journal of Time Series Analysis, 19, 83-97.
Velasco, C. (1999), Caussian Semiparametric estimation of non-stationary time series, Journal of Time Series Analysis, 20, 87-127.
Leybourne, S. and Newbold, P. (1999), On the size properties of Phillips-Perron tests, Journal of Time Series Analysis, 20, 51-61.
Abadir, K. M. and Taylor, A. R. (1999), On the definitions of (co-)integration, Journal of Time Series Analysis, 20, 129-137.
Hasseler, U. (2000), Simple regressions with linear time trends, Journal of Time Series Analysis, 21, 27-32.
Moulines, E. and Soulier, P. (2000), Data driven order selection for projection estimator of the spectral density of time series with long range dependence, Journal of Time Series Analysis, 21, 193-218.
Leybourne, S., Newbold, P., Vougas, D. and T.-H. Kim (2002), A direct test for cointegration between a pair of time series, Journal of Time Series Analysis, 23, 173-191.
Other Journals
Ng, S. and Perron, P. (1995), Unit root tests in ARIMA models with data-dependent methods for the selection of the truncation lag, Journal of American Statistical Association, 90, 268-281.
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