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Testing of fractional cointegration in macroeconomic time series
Gil-Alaña, Luis A. - 2000
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...
Persistent link: https://www.econbiz.de/10009612018
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Semiparametric estimation of the fractional differencing parameter in the UK industrial production index
Gil-Alaña, Luis A. - 1999
Persistent link: https://www.econbiz.de/10001373099
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The efficiency of the art market : evidence from variance ratio tests, linear and nonlinear fractional integration approaches
Aye, Goodness C.; Gil-Alaña, Luis A.; Gupta, Rangan; … - In: International review of economics & finance : IREF 51 (2017), pp. 283-294
Persistent link: https://www.econbiz.de/10011754449
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Semiparametric estimation of the fractional differencing parameter in the UK industrial production index
Gil-Alaña, Luis A. - In: Applied economics 36 (2004) 11, pp. 1205-1217
Persistent link: https://www.econbiz.de/10002127741
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Semiparametric estimation of the fractional differencing parameter in the US interest rate
Gil-Alaña, Luis A. - In: Liquidity, interest rates and banking, (pp. 235-247). 2009
Persistent link: https://www.econbiz.de/10008654502
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On the changes in the sustainability of European external debt : what have we learned
Cuestas, Juan Carlos; Gil-Alaña, Luis A.; Regis, Paulo … - 2014
Persistent link: https://www.econbiz.de/10010406452
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Fractional integration of nominal exchange rates : evidence from CEECs in the light of EMU enlargement
Barros, Carlos Pestana; Gil-Alaña, Luis A.; Matousek, Roman - In: Review of international economics 19 (2011) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10009127594
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Estimation of the degree of integration in the US maturity rates using semiparametric techniques
Gil-Alaña, Luis A. - In: Advances in financial planning and forecasting 11 (2003), pp. 71-84
Persistent link: https://www.econbiz.de/10001762168
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Mean reversion in the Spanish market prices using fractionally integrated semiparametric techniques
DePeña, Francisco Javier; Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 645-657
Persistent link: https://www.econbiz.de/10001743195
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Additional empirical evidence on real convergence : a fractionally integrated approach
Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Review of world economics 142 (2006) 1, pp. 67-91
Persistent link: https://www.econbiz.de/10003319496