The 8 references in paper Christopher F. Baum, Vince Wiggins () “Utility for time series data” / RePEc:tsj:stbull:y:2001:v:10:i:57:dm81

1
Baillie, R. 1996. Long memory processes and fractional integration in econometrics.Journal of Econometrics73: 5–59.
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2
Geweke, J. and S. Porter-Hudak. 1983. The estimation and application of long memory time series models.Journal of Time Series Analysis4: 221–238.
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3
Granger, C. W. J. and R. Joyeux. 1980. An introduction to long-memory time series models and fractional differencing.Journal of Time Series Analysis 1: 15–39.
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4
Hosking, J. R. M. 1981. Fractional differencing.Biometrika68: 165–176.
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5
Phillips, P. C. B. 1999a. Discrete Fourier transforms of fractional processes. Unpublished working paper No. 1243, Cowles Foundation for Research in Economics, Yale University.http://cowles.econ.yale.edu/P/cd/d12a/d1243.pdf ——. 1999b. Unit root log periodogram regression. Unpublished working paper No. 1244, Cowles Foundation for Research in Economics, Yale University.http://cowles.econ.yale.edu/P/cd/d12a/d1244.pdf
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6
Robinson, P. M. 1995. Log-periodogram regression of time series with long range dependence.Annals of Statistics23: 1048–1072.
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7
Sowell, F. 1992. Maximum likelihood estimation of stationary univariate fractionally-integrated time-series models,Journal of Econometrics53: 165–188. sts17Compacting time series data
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8
Christopher F. Baum, Boston data from Terence Mills’Econometric Analysis of Financial Time SeriesonUK FTAAll Share stock prices (ftap) and dividends (ftadiv) are compacted to a quarterly frequency. .usehttp://fmwww.bc.edu/ec-p/data/Mills2d/fta.dta .tscollapftapftadiv,to(q) ConvertingfromMtoQ timevariable
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