Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 50 (1996)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/ecolet
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- Perron, Pierre, 1989.
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- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometric Society, vol. 55(2), pages 277-301, March.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
- Marmol, Francesc & Velasco, Carlos, .
"Trend stationarity versus long-range dependence in time series analysis,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/4349, Universidad Carlos III de Madrid.
- Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
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