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Regulated fractionally integrated processes

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  • Mirza Trokić

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  • Mirza Trokić, 2013. "Regulated fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 591-601, September.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:5:p:591-601
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    File URL: http://hdl.handle.net/10.1111/jtsa.12036
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    References listed on IDEAS

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    1. Cavaliere, Giuseppe, 2005. "Limited Time Series With A Unit Root," Econometric Theory, Cambridge University Press, vol. 21(5), pages 907-945, October.
    2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    3. Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
    4. Granger, Clive W.J., 2010. "Some thoughts on the development of cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 3-6, September.
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    Cited by:

    1. Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2021. ""Detecting multiple level shifts in bounded time series"," IREA Working Papers 202115, University of Barcelona, Research Institute of Applied Economics, revised Jul 2021.
    2. Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.
    3. 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.

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