1. Testing for no cointegration in vector autoregressions with estimated degree of fractional integration. (2022). Demetrescu, Matei ; Salish, Nazarii ; Kusin, Vladimir.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832.

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2. Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier.
   In: CREATES Research Papers.
   RePEc:aah:create:2022-02.

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3. A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547.

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4. On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning. (2017). Keddad, Benjamin ; DE TRUCHIS, Gilles ; Delleva, Cyril .
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:48:y:2017:i:c:p:82-98.

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5. The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach. (2016). Ranjbar, Omid ; GUPTA, RANGAN ; Gil-Alana, Luis ; Chang, Tsangyao ; André, Christophe.
   In: The Journal of International Trade & Economic Development.
   RePEc:taf:jitecd:v:25:y:2016:i:7:p:978-991.

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6. On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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7. Fractional Cointegration Rank Estimation. (2014). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna .
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20140021.

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8. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
   In: Hannover Economic Papers (HEP).
   RePEc:han:dpaper:dp-519.

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9. A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper.
   In: CREATES Research Papers.
   RePEc:aah:create:2013-35.

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10. Fractional cointegration rank estimation. (2013). Velasco, Carlos ; Łasak, Katarzyna ; Lasak, Katarzyna .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-08.

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11. Estimation and Testing for Fractional Cointegration. (2012). DE TRUCHIS, Gilles ; ALOY, Marcel.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00793206.

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12. Cointegrating rank selection in models with time-varying variance. (2012). Phillips, Peter ; Cheng, Xu ; Phillips, Peter C. B., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:2:p:155-165.

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13. Local Whittle estimation of multi‐variate fractionally integrated processes. (2011). Nielsen, Frank S..
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:32:y:2011:i:3:p:317-335.

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14. A Wald test for the cointegration rank in nonstationary fractional systems. (2009). Velasco, Carlos ; Avarucci, Marco.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:151:y:2009:i:2:p:178-189.

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15. Cointegrating Rank Selection in Models with Time-Varying Variance. (2009). Phillips, Peter ; Cheng, Xu.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1688.

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16. Local Whittle estimation of multivariate fractionally integrated processes. (2009). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-38.

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17. Non parametric Fractional Cointegration Analysis. (2007). Costantini, Mauro ; Cerqueti, Roy.
    In: ISAE Working Papers.
    RePEc:isa:wpaper:78.

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18. Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. (2007). Shimotsu, Katsumi ; Nielsen, Morten.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:574-596.

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19. Generalized long memory processes, failure of cointegration tests and exchange rate dynamics. (2006). Norrbin, Stefan C ; Smallwood, Aaron D.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:21:y:2006:i:4:p:409-417.

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20. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach. (2006). Shimotsu, Katsumi ; Nielsen, Morten.
    In: Working Papers.
    RePEc:qed:wpaper:1029.

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21. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34.

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22. Efficient Inference in Multivariate Fractionally Integrated Time Series Models. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-6.

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1. Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier.
   In: Papers.
   RePEc:arx:papers:2211.10235.

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2. Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier.
   In: CREATES Research Papers.
   RePEc:aah:create:2022-02.

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3. Persistence of travel and leisure sector equity indices. (2018). Rodrigues, Paulo ; Andraz, Jorge ; Jorge, .
   In: Empirical Economics.
   RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1276-8.

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4. Testing The Cvar In The Fractional Cvar Model. (2017). Nielsen, Morten ; Johansen, Soren.
   In: Working Paper.
   RePEc:qed:wpaper:1394.

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5. Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren.
   In: Discussion Papers.
   RePEc:kud:kuiedp:1723.

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6. Persistence and cycles in the us federal funds rate. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:52:y:2017:i:c:p:1-8.

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7. Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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8. Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. (2015). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Taylor, A. M. Robert, .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:187:y:2015:i:2:p:557-579.

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9. Using SARFIMA Model to Study and Predict the Iran’s Oil Supply. (2012). mostafaei, hamidreza ; Sakhabakhsh, Leila .
   In: International Journal of Energy Economics and Policy.
   RePEc:eco:journ2:2012-01-5.

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10. Asymptotic normal tests for integration in panels with cross-dependent units. (2011). Hassler, Uwe ; Demetrescu, Matei ; Tarcolea, Adina .
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:95:y:2011:i:2:p:187-204.

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11. Bias correction for the regression-based LM fractional integration test. (2008). Tarcolea, Adina ; Demetrescu, Matei.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:92:y:2008:i:1:p:91-99.

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12. A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada. (2007). Gil-Alana, Luis.
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:6:y:2007:i:2:p:135-146.

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13. Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics. (2004). Nielsen, Morten.
    In: Journal of Business & Economic Statistics.
    RePEc:bes:jnlbes:v:22:y:2004:p:331-345.

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14. A Residual-Based LM Test for Fractional Cointegration. (2002). Hassler, Uwe ; Breitung, Jörg.
    In: Darmstadt Discussion Papers in Economics.
    RePEc:zbw:darddp:dar_37318.

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15. Inference on the cointegration rank in fractionally integrated processes. (2002). Hassler, Uwe ; Breitung, Jörg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:167-185.

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16. A Residual-Based LM Test for Fractional Cointegration. (2002). Breitung, Jörg ; Hassler, Uwe.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:37318.

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17. Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-7.

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18. Efficient Inference in Multivariate Fractionally Integrated Time Series Models. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-6.

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19. Multivariate Lagrange Multiplier Tests for Fractional Integration. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-18.

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20. Modelos de memoria larga para series económicas y financieras. (2001). Ruiz, Esther ; Perez, Ana .
    In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
    RePEc:cte:dsrepe:ds010101.

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21. Efficient Likelihold Inference in Nonstationary Univariate Models. (2001). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2001-8.

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22. Mortality and Socio-economic Differences in a Competing Risks Model. (2001). Svarer, Michael ; Munch, Jakob.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2001-1.

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23. Another look at long memory in common stock returns. (1997). Hiemstra, Craig ; Jones, Jonathan D..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:4:p:373-401.

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24. Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

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