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On the power of unit root tests against fractional alternatives

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Author Info
Hassler, Uwe
Wolters, Jurgen

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File URL: http://www.sciencedirect.com/science/article/B6V84-4590X4X-108/2/533b03468ad44ee25d26ddd0f0d1b0c3
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 45 (1994)
Issue (Month): 1 (May)
Pages: 1-5
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Handle: RePEc:eee:ecolet:v:45:y:1994:i:1:p:1-5

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  2. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer, vol. 33(4), pages 364-375, October. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
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  4. Uwe Hassler & Jörg Breitung, 2002. "A Residual-Based LM Test for Fractional Cointegration," Darmstadt Discussion Papers in Economics 114, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  5. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  6. George Halkos & Ilias Kevork, 2005. "A comparison of alternative unit root tests," Journal of Applied Statistics, Taylor and Francis Journals, vol. 32(1), pages 45-60, January. [Downloadable!] (restricted)
  7. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15. [Downloadable!]
  8. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  9. M. Ooms & J.A. Doornik, 1999. "Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation," Econometric Institute Report 171, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  10. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234. [Downloadable!] (restricted)
  11. Gianluca Moretti, 2007. "Detecting long memory co-movements in macroeconomic time series," Temi di discussione (Economic working papers) 642, Bank of Italy, Economic Research Department. [Downloadable!]
  12. Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A., 2008. "The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?," IZA Discussion Papers 3571, Institute for the Study of Labor (IZA). [Downloadable!]
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  13. 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. [Downloadable!]
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  14. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
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  15. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor and Francis Journals, vol. 17(2), pages 95-116, April. [Downloadable!] (restricted)
  16. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 43-58, March. [Downloadable!] (restricted)
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