Concepedia

Fractional Cointegration

Fractional Cointegration is a cointegration relationship in which the constituent time series share stochastic trends with non-integer (fractional) orders of integration, such that the cointegrating error process exhibits long memory with a fractional differencing parameter strictly between zero and one.

194

Publications

11K

Citations

244

Authors

179

Institutions

Publications per year

2017–2026

37

Parents

Publications

194

Long memory processes and fractional integration in econometrics

Richard T. Baillie · Journal of Econometrics · 1996 · 1.9K citations

, , +14

On the power of Dickey-Fuller tests against fractional alternatives

Francis X. Diebold, Glenn D. Rudebusch · Economics Letters · 1991 · 515 citations

, , +6

A Fractional Cointegration Analysis of Purchasing Power Parity

Yin‐Wong Cheung, Kon S. Lai · Journal of Business and Economic Statistics · 1993 · 493 citations

, , +10

Multilinear estimates and fractional integration

Carlos E. Kenig, Elias M. Stein · Mathematical Research Letters · 1999 · 452 citations · Full text

, , +7

Modeling long-run behavior with the fractional ARIMA model

Fallaw Sowell · Journal of Monetary Economics · 1992 · 367 citations

, , +14

1–5 of 194

Authors

244

  1. LA
    Luis A. Gil‐Alana

    Universidad de Navarra, Spain

    28 publications · 1K citations

    19

    h-index

  2. MØ
    Morten Ørregaard Nielsen

    Aarhus University, Denmark

    19 publications · 879 citations

    16

    h-index

  3. PM
    Peter M. Robinson

    London School of Economics and Political Science, United Kingdom

    9 publications · 278 citations

    9

    h-index

  4. GM
    Guglielmo Maria Caporale

    Brunel University of London, United Kingdom

    9 publications · 271 citations

    9

    h-index

  5. CV
    Carlos Velasco

    Universidad Carlos III de Madrid, Spain

    6 publications · 196 citations

    6

    h-index

1–5 of 244

Institutions

179

  1. Universidad de Navarra

    Pamplona, Spain

    18 h-index

    33 publications

    1.2K citations

  2. Queen's University

    Kingston, Canada

    14 h-index

    24 publications

    1.3K citations

  3. Aarhus University

    Aarhus, Denmark

    13 h-index

    23 publications

    953 citations

  4. London School of Economics and Political Science

    London, United Kingdom

    10 h-index

    15 publications

    527 citations

  5. Universidad Carlos III de Madrid

    Madrid, Spain

    10 h-index

    15 publications

    670 citations

  6. Universidad Francisco de Vitoria

    Pozuelo de Alarcón, Spain

    6 h-index

    10 publications

    458 citations

  7. University of Ibadan

    Ibadan, Nigeria

    6 h-index

    11 publications

    281 citations

  8. Cornell University

    Ithaca, United States

    5 h-index

    5 publications

    341 citations

1–8 of 179

Venues

  1. Journal of Econometrics

    15 publications · 2.6K citations

    15

    h-index

  2. Economics Letters

    10 publications · 759 citations

    10

    h-index

  3. SSRN Electronic Journal

    Repository · 11 publications · 234 citations

    10

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 11 publications · 257 citations

    10

    h-index

  5. Applied Economics

    8 publications · 173 citations

    8

    h-index

1–5