P. Abry and D. Veitch, Wavelet analysis of long-range-dependent traffic, IEEE Transactions on Information Theory, vol.44, issue.1, pp.2-15, 1998.
DOI : 10.1109/18.650984

P. Abry, M. S. Taqqu, and D. Veitch, On the automatic selection of the onset of scaling, Fractals, vol.11, pp.377-390, 2003.

S. M. Barbosa, E. Caporappli, S. Fatichi, and M. E. Silva, Deterministic versus stochastic trends : Detection and challenges, J. Geophys. Res, vol.114, 2009.

J. M. Bardet and B. Dola, An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic, Journal of Multivariate Analysis, vol.105, issue.1, pp.222-240, 2012.
DOI : 10.1016/j.jmva.2011.09.003

J. M. Bardet and D. Surgailis, Measuring the roughness of random paths by increment ratios, Bernoulli, vol.17, issue.2, pp.749-780, 2011.
DOI : 10.3150/10-BEJ291
URL : https://hal.archives-ouvertes.fr/hal-00238556

J. M. Bardet and H. Bibi, Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes, Electronic Journal of Statistics, vol.6, issue.0, 2013.
DOI : 10.1214/12-EJS754
URL : https://hal.archives-ouvertes.fr/hal-00542325

J. M. Bardet, H. Bibi, and A. Jouini, Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes, Bernoulli, vol.14, issue.3, pp.691-724, 2008.
DOI : 10.3150/07-BEJ6151
URL : https://hal.archives-ouvertes.fr/hal-00126756

C. P. Barros, L. A. Gil-alana, and J. E. Payne, Evidence of long memory behavior in U.S. renewable energy consumption, Energy Policy, vol.41, pp.822-826, 2012.
DOI : 10.1016/j.enpol.2011.11.052

J. Beran, Statistics for long-memory processes, Chapman and Hall . One Penn Plaza, 1994.

D. Black, Dreams of pure sociology, Sociological Theory, pp.343-367, 2000.

L. A. Boland, Time in Economics vs Economics in Time: The 'Hayek Problem', The Canadian Journal of Economics, vol.11, issue.2, p.24062, 1978.
DOI : 10.2307/134347

T. Bourgeois, Dictionnaire d'histoire et philosophie des sciences, s/s direction : Dominique lecourt, 1999.

P. Bourgine and C. Roth, Epistemic communities : description and hierarchic categorization , Internet Adress Site http, 2005.

J. Brown, W. Rea, and M. Reale, Long memory in temperature reconstructions, Climate Change, vol.107, pp.247-265, 2011.

K. Bruzaite and M. Vaiciulis, The Increment Ratio statistic under deterministic trends, Lithuanian Mathematical Journal, vol.18, issue.4, pp.256-269, 2008.
DOI : 10.1007/s10986-008-9010-z

J. B. Chatelain and K. Ralf, The failure of financial macroeconomics and what to do about it, 2012.
URL : https://hal.archives-ouvertes.fr/halshs-00706777

R. Dahlhaus, Efficient Parameter Estimation for Self-Similar Processes, The Annals of Statistics, vol.17, issue.4, pp.1749-1766, 1989.
DOI : 10.1214/aos/1176347393

J. Davidson and T. Teräsvirta, Long memory and nonlinear time series, Journal of Econometrics, vol.110, issue.2, 2002.
DOI : 10.1016/S0304-4076(02)00088-X

F. Dülger and Z. A. Ozdemir, Current account sustainability in seven developed countries, Journal of Economic and Social Research, vol.7, issue.2, pp.47-80, 2011.

J. Elder and P. E. Kennedy, Testing for Unit Roots: What Should Students Be Taught?, The Journal of Economic Education, vol.4, issue.12, pp.137-146, 2001.
DOI : 10.1080/00220480109595179

C. A. Favero, Model evaluation in macroeconometrics : from early empirical macroeconomics models to dsge models, 2007.

W. Feller, An introduction to probability theory and its applications, 1970.

R. Fox and M. S. Taqqu, Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series, The Annals of Statistics, vol.14, issue.2, pp.517-532, 1986.
DOI : 10.1214/aos/1176349936

J. Geweke and S. Porter-hudak, THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS, Journal of Time Series Analysis, vol.50, issue.3, pp.221-238, 1983.
DOI : 10.1137/1010093

L. Giraitis and D. Surgailis, A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate, Probability Theory and Related Fields, vol.10, issue.1, pp.87-104, 1990.
DOI : 10.1007/BF01207515

L. Giraitis and M. S. Taqqu, Whittle estimator for finite-variance non-gaussian time series with long memory, Ann. Statist, vol.27, pp.178-203, 1999.

L. Giraitis, P. Kokoszka, R. Leipus, and G. Teyssì-ere, Rescaled variance and related tests for long memory in volatility and levels, Journal of Econometrics, vol.112, issue.2, pp.265-294, 2003.
DOI : 10.1016/S0304-4076(02)00197-5

L. Giraitis, R. Leipus, and A. Philippe, A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS, Econometric Theory, vol.116, issue.06, pp.989-1029, 2006.
DOI : 10.1111/j.1467-9892.2005.00464.x

L. Giraitis, P. M. Robinson, and A. Samarov, Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Series with Long-Range Dependence, Journal of Time Series Analysis, vol.18, issue.1, pp.49-61, 1997.
DOI : 10.1111/1467-9892.00038

T. Gneiting, D. B. Percival, D. A. Rothrock, and A. S. Thorndike, The variance of mean sea-ice thickness : Effect of long-range dependence, J. Geophys. Res, vol.113, p.1004, 2008.

C. Gourieroux and J. Jasiak, Memory and infrequent breaks, Economic Letters, pp.29-47, 2001.

C. W. Granger and N. Hyung, Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns, Journal of Empirical Finance, vol.11, issue.3, pp.399-421, 2004.
DOI : 10.1016/j.jempfin.2003.03.001

C. W. Granger and R. Joyeux, AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING, Journal of Time Series Analysis, vol.7, issue.1, pp.15-29, 1980.
DOI : 10.2307/3212527

C. W. Granger and T. Terasvirta, A simple nonlinear time series model with misleading linear properties, Economic Letters, pp.161-165, 1999.

D. Guégan, How can we Define the Concept of Long Memory? An Econometric Survey, Econometric Reviews, vol.42, issue.2, 2005.
DOI : 10.1016/0165-1889(94)90039-6

J. D. Hamilton, Time series analysis, 1994.

C. C. Heyde, On modes of long-range dependence, Journal of Applied Probability, vol.38, issue.04, pp.882-888, 2002.
DOI : 10.1080/713665836

C. C. Heyde and Y. Yang, On defining long-range dependence, Journal of Applied Probability, vol.34, issue.04, pp.939-944, 1997.
DOI : 10.1111/j.1467-9892.1996.tb00269.x

S. Hinti, La sciencé economique : une réflexionréflexionépistémologique et méthodologique, 2000.

H. C. Ho and T. Hsing, Limit theorems for functionals of moving averages, The Annals of Probability, vol.25, issue.4, pp.1636-1669, 1997.
DOI : 10.1214/aop/1023481106

J. M. Hosking, Fractional differencing, Fractional differencing, pp.165-176, 1981.
DOI : 10.1093/biomet/68.1.165

H. E. Hurst, long-terme storage capacity of reservoirs, Transactions of the American Society Civil Engineers, vol.116, pp.770-799, 1951.

C. M. Hurvich and B. Ray, ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES, Journal of Time Series Analysis, vol.14, issue.1, pp.17-41, 1995.
DOI : 10.2307/2290341

T. Könning, M. Lohre, and P. Sibbertsen, Modeling water flow of the rhine river using seasonal long memory, Water Resour. Res, vol.39, p.1132, 2003.

D. Koutsoyiannis and A. Montanari, Statistical analysis of hydroclimatic time series: Uncertainty and insights, Water Resources Research, vol.76, issue.4, p.5429, 2007.
DOI : 10.1029/2006WR005592

J. P. Kropp and H. J. Schellnhuber, In extremis : disruptive events and trends in climate and hydrology, p.9783642148620, 2011.
DOI : 10.1007/978-3-642-14863-7

M. Laguës and A. Lesne, Invariances d'´ echelle, des changements d'´ etatsàetatsà la turbulence, 2003.

F. Lavancier, A. Philippe, and D. Surgailis, A two-sample test for comparison of long memory parameters, Journal of Multivariate Analysis, vol.101, issue.9, pp.2118-2136, 2010.
DOI : 10.1016/j.jmva.2010.04.003
URL : https://hal.archives-ouvertes.fr/hal-00403445

S. J. Leybourne and B. P. Mccabe, A consistent test for a unit root, Journal of Business and Economic Statistics, vol.12, pp.157-166, 1994.

S. J. Leybourne and B. P. Mccabe, Modified stationary tests with data dependent model selection rules, Journal of Business and Economic Statistics, vol.17, pp.264-270, 1999.

S. Ling, On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity, Journal of the American Statistical Association, vol.18, issue.439, pp.1184-1192, 2003.
DOI : 10.1080/01621459.1997.10474076

S. Ling and W. K. Li, ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS, Econometric Theory, vol.17, issue.4, pp.738-765, 2001.
DOI : 10.1017/S0266466601174049

O. Mestre, H. W. Rust, and V. K. Venema, Fewer jumps, less memory : Homogenized temperature records and long memory, J. Geophys. Res, vol.113, 2008.
URL : https://hal.archives-ouvertes.fr/meteo-00355777

A. Montanari, Hydrology of the Po River: looking for changing patterns in river discharge, Hydrology and Earth System Sciences Discussions, vol.9, issue.5, pp.6689-6713, 2012.
DOI : 10.5194/hessd-9-6689-2012-supplement

E. Moulines, . Ph, and . Soulier, Semiparametric spectral estimation for fractional processes, pp.251-301, 2003.

E. Moulines, F. Roueff, and M. S. Taqqu, On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter, Journal of Time Series Analysis, vol.8, issue.2, pp.155-187, 2007.
DOI : 10.2307/2669763
URL : https://hal.archives-ouvertes.fr/hal-00016357

M. Mudelsee, Long memory of rivers from spatial aggregation, Water Resources Research, vol.175, issue.D23, p.1202, 2007.
DOI : 10.1029/2006WR005721

M. O. Nielsen, Efficient likelihood inference in nonstationary univariate models, Econometric Theory, vol.20, pp.116-146, 2004.

K. Niquidet and L. Sun, Do Forest Products Prices Display Long Memory?, Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, vol.11, issue.3, 2012.
DOI : 10.1111/j.1744-7976.2012.01244.x

A. Petherick, Long term temperature, Climatic Change, vol.107, pp.247-265, 2011.

P. C. Phillips and K. Shimotsu, The exact local whittle estimation of fractional integration, The Annals of Statistics, vol.33, issue.4, pp.1890-1933, 2005.

W. V. Quine, Main Trends in Recent Philosophy: Two Dogmas of Empiricism, The Philosophical Review, vol.60, issue.1, pp.20-43, 1951.
DOI : 10.2307/2181906

S. I. Resnick, Heavy-tail phenomena, probabilistic and statistical modeling, 2007.

S. Rioublanc, ModèlesModèlesà changements de régimes markoviens : Détection des régimes, mémoire courte ou mémoire longue et prévision, 2005.

P. M. Robinson, Efficient Tests of Nonstationary Hypotheses, Journal of the American Statistical Association, vol.89, issue.428, pp.1420-1457, 1994.
DOI : 10.1080/01621459.1984.10477111

P. M. Robinson, Gaussian Semiparametric Estimation of Long Range Dependence, The Annals of Statistics, vol.23, issue.5, pp.1630-1661, 1995.
DOI : 10.1214/aos/1176324317

P. M. Robinson, Log-Periodogram Regression of Time Series with Long Range Dependence, The Annals of Statistics, vol.23, issue.3, pp.1048-1072, 1995.
DOI : 10.1214/aos/1176324636

P. M. Robinson, Time series with long memory, advanced texts in econometrics, 2003.

P. M. Robinson and C. Velasco, Whittle pseudo-maximum likelihood estimation for nonstationary time series, Journal of the American Statistical Association, vol.95, issue.452, pp.1229-1243, 2000.

P. M. Robinson and M. Rosenblatt, Athens conference on applied probability and time series, Lecture Notes in Statistics Journal, vol.115, issue.2, 1996.
DOI : 10.1007/978-1-4612-2412-9

G. Samorodnitsky, Long range dependence, 2006.

J. A. Schumpeter, Histoire de l'analsyé economique, tome1 : L'? age des fondateurs, 1983.

J. E. Stiglitz, RETHINKING MACROECONOMICS: WHAT FAILED, AND HOW TO REPAIR IT, Journal of the European Economic Association, vol.9, issue.4, pp.591-645, 2011.
DOI : 10.1111/j.1542-4774.2011.01030.x

D. Surgailis, G. Teyssì-ere, and M. Vai?-ciulis, The increment ratio statistic, Journal of Multivariate Analysis, vol.99, issue.3, pp.510-541, 2008.
DOI : 10.1016/j.jmva.2007.01.014

K. Tanaka, THE NONSTATIONARY FRACTIONAL UNIT ROOT, Econometric Theory, vol.15, issue.04, pp.549-582, 1999.
DOI : 10.1017/S0266466699154045

M. Vaiciulis, An estimator of the tail index based on increment ratio statistics, Lithuanian Mathematical Journal, vol.51, issue.12, pp.222-233, 2009.
DOI : 10.1007/s10986-009-9040-1

D. Veitch, P. Abry, and M. S. Taqqu, ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING, Fractals, vol.11, issue.04, pp.377-390, 2003.
DOI : 10.1142/S0218348X03002099

C. Velasco, Non-stationary log-periodogram regression, Journal of Econometrics, vol.91, issue.2, pp.325-371, 1999.
DOI : 10.1016/S0304-4076(98)00080-3
URL : http://hdl.handle.net/10016/4346