A Common Trends Model : Identification, Estimation and Inference

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

1987 • 30,456 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1990 • 14,144 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

Approximation Theorems of Mathematical Statistics

1980 • 5,851 citations

Time Series: Data Analysis and Theory.

1976 • 2,796 citations

Matrix Differential Calculus with Applications in Statistics and Econometrics.

1988 • 2,781 citations

Production, growth and business cycles

1988 • 2,269 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Testing for Common Trends

1988 • 1,998 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Alternative explanations of the money-income correlation

1986 • 1,197 citations

Canonical Cointegrating Regressions

1992 • 1,081 citations

Production, growth and business cycles

1988 • 570 citations

Impulse response analysis of cointegrated systems

1992 • 452 citations

Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics

1979 • 292 citations

Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models

1990 • 253 citations

Interpreting cointegrated models

1988 • 246 citations

Stochastic trends and economic fluctuations in a small open economy

1992 • 213 citations

Cointegration and Error Correction Mechanisms

1989 • 179 citations

Econometric tests of rationality and market efficiency

1989 • 140 citations

Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions

1993 • 131 citations

Matrix differential calculus with applications to simple, hadamard, and kronecker products

1985 • 130 citations

Symmetry, 0-1 Matrices and Jacobians: A Review

1986 • 109 citations

The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

1974 • 88 citations

Estimating Orthogonal Impulse Responses via Vector Autoregressive Models

1991 • 81 citations

Stochastic trends and economic fluctuations

1991 • 79 citations

Inference in dynamic models containing ‘surprise’ variables

1987 • 42 citations

A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals

1989 • 40 citations

The Asymptotic Distribution of Dynamic Multipliers

1973 • 34 citations

Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors

1981 • 33 citations

Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process

1988 • 26 citations

Estimation of Common Long-Memory Components in Cointegrated Systems

2008 • 15 citations

On Jacobians of transformations with skew-symmetric, strictly (lower) triangular or diagonal matrix arguments

1983 • 13 citations

Vector autoregressions and common trends in macro and financial economics

1990 • 13 citations

Are Real Wages and Unemployment Related

1993 • 4 citations