Persistence, cointegration, and aggregation

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 7,696 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

The unpublished manuscript

2018 • 3,236 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Critical values for cointegration tests

2010 • 2,719 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 citations

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

1981 • 2,374 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Real Business Cycles

1983 • 1,955 citations

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

1962 • 1,514 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Univariate detrending methods with stochastic trends

1986 • 873 citations

Unanticipated Money Growth and Unemployment in the United States

1977 • 841 citations

Are Output Fluctuations Transitory?

1987 • 771 citations

The Cyclical Component of U. S. Economic Activity

1987 • 744 citations

Variable Trends in Economic Time Series

1988 • 675 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

The limits to rational expectations

1989 • 505 citations

The Limits to Rational Expectations.

1988 • 417 citations

What Economics Is Most Important to Teach: The Hansen Committee Report

1977 • 382 citations

Time Series Modelling and Interpretation

1976 • 325 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 300 citations

Sources of Business Cycle Fluctuations

1988 • 282 citations

Two Stage and Related Estimators and Their Applications

1985 • 270 citations

Trend reversion in real output and unemployment

1989 • 224 citations

Output and unemployment dynamics in the United States: 1950–1985

1989 • 197 citations

Spectral based testing of the martingale hypothesis

1991 • 173 citations

Output Persistence, Economic Structure, and the Choice of Stabilization Policy

1989 • 128 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

Disaggregation in Econometric Modelling

1990 • 111 citations

Aggregation of Time Series Variables - A Survey

1988 • 105 citations

Persistence of Shocks and their Sources in a Multisectoral Model of UK Output Growth

1992 • 89 citations

A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis

1982 • 83 citations

Microfit 3.2: An Interactive Econometric Software Package

1992 • 38 citations

Unit Roots in Real GNP: Do We Know, and Do We Care?

1989 • 34 citations

Unit roots in real GNP: Do we know and do we care?

1990 • 33 citations

On the Policy Ineffectiveness Proposition and a Keynesian Alternative

1988 • 29 citations

On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder

1988 • 23 citations

The Sources and Nature of Long-term Memory in the Business Cycle

1989 • 22 citations

Estimation of a simple class of multivariate rational expectations models: A test of the new classical model at a sectoral level

1991 • 6 citations