Advanced search
Publication Cover
Applied Economics Letters Volume 24, 2017 - Issue 14
Submit an article Journal homepage
114
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Fractional integration and nonlinear deterministic trends in the analysis of time series data

Luis A. Gil-AlanaFaculty of Economics and ICS, University of Navarra, Pamplona, SpainCorrespondence[email protected]
View further author information
&
Hector CarcelFaculty of Economics, University of Navarra, Pamplona, SpainView further author information
Pages 991-994 | Published online: 26 Oct 2016

References

  • Beran, J. 1994. Statistics for Long Memory Processes. New York: Chapman and Hall.
  • Bierens, H. J. 1997. “Testing the Unit Root with Drift Hypothesis against Nonlinear Trend Stationarity with an Application to the US Price Level and Interest Rate.” Journal of Econometrics 81: 29–64. doi:10.1016/S0304-4076(97)00033-X.
  • Cuestas, J C., and L A. Gil-Alana. 2016. “Testing For Long Memory In The Presence Of Non-linear Deterministic Trends With Chebyshev Polynomials.” Studies In Nonlinear Dynamics & Econometrics 20(1): 57–74. doi:10.1515/snde-2014-0005.
  • Demetrescu, M., V. Kuzin, and U. Hassler. 2008. “Long Memory Testing in the Time Domain.” Econometric Theory 24: 176–215. doi:10.1017/S0266466608080092.
  • Diebold, F. X., and A. Inoue. 2001. “Long Memory and Regime Switching.” Journal of Econometrics 105: 131–159. doi:10.1016/S0304-4076(01)00073-2.
  • Gourieroux, C., and J. Jasiak. 2001. “Memory and Infrequent Breaks.” Economics Letters 70 (1): 29–41. doi:10.1016/S0165-1765(00)00346-3.
  • Granger, C. W. J., and N. Hyung. 2004. “Occasional Structural Breaks and Long Memory with an Application to the S&P 500 Absolute Stock Returns.” Journal of Empirical Finance 11: 399–421. doi:10.1016/j.jempfin.2003.03.001.
  • Jones, P. D., and K. R. Briffa. 1992. “Global Surface Air Temperature Variations during the Twentieth Century: Part 1, Spatial, Temporal and Seasonal Details.” The Holocene 2: 165–179. doi:10.1177/095968369200200208.
  • Perron, P., and Z. Qu. 2010. “Long Memory and Level Shifts in the Volatility of Stock Market Return Indices.” Journal of Business and Economic Statistics 28: 275–290. doi:10.1198/jbes.2009.06171.
  • Qu, Z. 2011. “A Test Against Spurious Long Memory.” Journal of Business and Economic Statistics 29: 423–438. doi:10.1198/jbes.2010.09153.
  • Robinson, P. M. 1994. “Efficient Tests of Nonstationary Hypotheses.” Journal of the American Statistical Association 89: 1420–1437. doi:10.1080/01621459.1994.10476881.
  • Toussoun, O. 1925. “Memoire sur l’historie du Nil.” [Long Memory in the history of the river Nile] In Memoires a l’Institut d’Egipte, Vol. 18, 366–404. Memoires à l’Institut d’Egipte.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.