Chapter 46 Unit roots, structural breaks and trends

Estimating the Dimension of a Model

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

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Generalized autoregressive conditional heteroskedasticity

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Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

Time Series Analysis: Forecasting and Control

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Testing for a unit root in time series regression

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EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Convergence of Probability Measures

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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Macroeconomics and Reality

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Testing the null hypothesis of stationarity against the alternative of a unit root

1992 • 11,969 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

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

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Fractional Brownian Motions, Fractional Noises and Applications

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Tests of Equality Between Sets of Coefficients in Two Linear Regressions

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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

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Time Series: Theory and Methods

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Efficient Tests for an Autoregressive Unit Root

1996 • 5,217 citations

Markov Processes: Characterization and Convergence.

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Trends and random walks in macroeconmic time series

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A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

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Introduction to Statistical Time Series

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Tests for Parameter Instability and Structural Change With Unknown Change Point

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence

1978 • 3,343 citations

Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

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MONEY, INCOME, AND CAUSALITY

1972 • 3,059 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Testing for unit roots in autoregressive-moving average models of unknown order

1984 • 2,980 citations

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

1983 • 2,957 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Time Series: Data Analysis and Theory.

1976 • 2,796 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

1992 • 2,581 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 citations

Stochastic Differential Equations: Theory and Applications.

1976 • 2,496 citations

Time Series Analysis: Forecasting and Control

1977 • 2,451 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

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Testing for Common Trends

1988 • 1,998 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.

1996 • 1,690 citations

Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

1993 • 1,674 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Long-Term Memory in Stock Market Prices

1991 • 1,590 citations

Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

1995 • 1,517 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Seasonal integration and cointegration

1990 • 1,473 citations

Stochastic Trends and Economic Fluctuations

1991 • 1,332 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 1,327 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Detrending, stylized facts and the business cycle

1993 • 1,209 citations

Asymptotically Efficient Estimation of Cointegration Regressions

1991 • 1,175 citations

Time series models

1981 • 1,163 citations

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

1992 • 1,119 citations

Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes

1960 • 1,112 citations

Nonstationarity and Level Shifts With an Application to Purchasing Power Parity

1992 • 1,101 citations

Testing for a Unit Root in a Time Series With a Changing Mean

1990 • 1,090 citations

Maximum likelihood estimation of stationary univariate fractionally integrated time series models

1992 • 1,053 citations

Time Series: Theory and Methods

1987 • 1,043 citations

Tests for Parameter Instability in Regressions with 1(1) Processes

1992 • 984 citations

Asymptotics for Linear Processes

1992 • 933 citations

Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series

1986 • 908 citations

Estimating Long-Run Economic Equilibria

1991 • 873 citations

Univariate detrending methods with stochastic trends

1986 • 873 citations

Testing for the Constancy of Parameters over Time

1989 • 827 citations

LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*

1992 • 815 citations

On the Statistical Treatment of Linear Stochastic Difference Equations

1943 • 782 citations

Are Output Fluctuations Transitory?

1987 • 771 citations

The Cyclical Component of U. S. Economic Activity

1987 • 744 citations

Towards a unified asymptotic theory for autoregression

1987 • 734 citations

Efficient parameter estimation for self-similar processes

2006 • 719 citations

Martingale Central Limit Theorems

1971 • 709 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

Money, Income, Prices and Interest Rates

1992 • 702 citations

Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk

1983 • 700 citations

Efficient Parameter Estimation for Self-Similar Processes

1989 • 676 citations

Variable Trends in Economic Time Series

1988 • 675 citations

Time Series: Data Analysis and Theory.

1982 • 661 citations

The Dynamic Effects of Aggregate Demand and Supply Disturbances

1988 • 659 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

The new Palgrave dictionary of money and finance

1992 • 645 citations

Testing Statistical Hypotheses.

1960 • 640 citations

On the Theory of Testing for Unit Roots in Observed Time Series

1986 • 624 citations

Consistent Autoregressive Spectral Estimates

1974 • 598 citations

A Bayesian Analysis for Change Point Problems

1993 • 598 citations

The Cusum Test with Ols Residuals

1992 • 593 citations

Long memory and persistence in aggregate output

1989 • 564 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

Testing for Unit Roots in Seasonal Time Series

1984 • 556 citations

Interpreting the evidence on money-income causality

1989 • 552 citations

Tests for Parameter Instability in Regressions with I(1) Processes

1992 • 534 citations

Bayesian skepticism on unit root econometrics

1988 • 528 citations

Determining the Order of Differencing in Autoregressive Processes

2002 • 526 citations

Integration Versus Trend Stationary in Time Series

1992 • 521 citations

Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time

1964 • 519 citations

Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis

1987 • 506 citations

Stochastic Differential Equations: Theory and Applications

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On the power of Dickey-Fuller tests against fractional alternatives

1991 • 504 citations

Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models

1993 • 489 citations

Asymptotic Inference for Nearly Nonstationary AR(1) Processes

1987 • 489 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1977 • 484 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 478 citations

The New Palgrave: A Dictionary of Economics

1988 • 463 citations

The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

1958 • 458 citations

Statistical Methods for Data with Long-Range Dependence

1992 • 452 citations

A Maximum Likelihood Procedure for Regression with Autocorrelated Errors

1978 • 451 citations

Understanding Unit Rooters: A Helicopter Tour

1991 • 447 citations

Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series

1991 • 434 citations

Real Exchange Rates under the Gold Standard

1991 • 427 citations

The power problems of unit root test in time series with autoregressive errors

1992 • 409 citations

Testing For Unit Roots: 1

1981 • 406 citations

Seasonal unit roots in aggregate U.S. data

1993 • 403 citations

Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence

1992 • 390 citations

On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

1959 • 389 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 377 citations

A new test for structural stability in the linear regression model

1989 • 373 citations

Testing the random walk hypothesis

1985 • 362 citations

BIAS IN THE ESTIMATION OF AUTOCORRELATIONS

1954 • 345 citations

Segmented Trends and Non-Stationary Time Series

1989 • 345 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 344 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

Testing for Unit Roots in Time Series Data

1989 • 337 citations

Detection of Abrupt Changes in Signals and Dynamical Systems

1985 • 332 citations

LONG-RUN NEUTRALITY AND SUPERNEUTRALITY IN AN ARIMA FRAMEWORK

1993 • 326 citations

To criticize the critics: An objective bayesian analysis of stochastic trends

1991 • 322 citations

A critique of the application of unit root tests

1991 • 318 citations

Estimation in the Presence of Stochastic Parameter Variation

1976 • 308 citations

Spurious Periodicity in Inappropriately Detrended Time Series

1981 • 307 citations

Testing and estimating change-points in time series

1985 • 302 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 300 citations

A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables

1984 • 293 citations

Spurious Periodicity in Inappropriately Detrended Time Series

1981 • 276 citations

An Interpretation of Recent Research on Exchange Rate Target Zones

1992 • 270 citations

Testing for Structural Change in Dynamic Models

1988 • 268 citations

Trends versus Random Walks in Time Series Analysis

1988 • 267 citations

Prediction of multivariate time series by autoregressive model fitting

1985 • 267 citations

Efficient Tests for a Unit Root When the Initial Observation is Drawn From Its Unconditional Distribution

1999 • 267 citations

Testing for Unit Roots: 2

1984 • 255 citations

The effect of seasonal adjustment filters on tests for a unit root

1993 • 240 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 240 citations

Testing Long-Run Neutrality

1992 • 233 citations

On Detecting Changes in the Mean of Normal Variates

1969 • 227 citations

The Fractional Unit Root Distribution

1990 • 226 citations

Trend reversion in real output and unemployment

1989 • 224 citations

Two Methods for Examining the Stability of Regression Coefficients

1977 • 215 citations

Determining the Order of Differencing in Autoregressive Processes

1987 • 212 citations

Reconsidering ‘trends and random walks in macroeconomic time series’

1991 • 211 citations

Robust Tests for Spherical Symmetry and Their Application to Least Squares Regression

1980 • 211 citations

Properties of Sequences of Partial Sums of Polynomial Regression Residuals with Applications to Tests for Change of Regression at Unknown Times

1978 • 209 citations

Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures

1996 • 204 citations

On Predictive Least Squares Principles

1992 • 203 citations

Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown

1994 • 203 citations

The likelihood ratio test for a change-point in simple linear regression

1989 • 202 citations

Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative

1988 • 198 citations

Statistical Inference in Dynamic Economic Models

1951 • 194 citations

The Uncertain Unit Root in Real GNP

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Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model

1983 • 183 citations

The relationship between power and level for generic unit root tests in finite samples

1992 • 179 citations

Long-Run Income and Interest Elasticities of Money Demand in the United States

1991 • 178 citations

SURVEY OF CLASSICAL AND BAYESIAN APPROACHES TO THE CHANGE-POINT PROBLEM: FIXED SAMPLE AND SEQUENTIAL PROCEDURES OF TESTING AND ESTIMATION11Research supported in part by ONR Contracts N00014-75-0725 at The George Washington University and N00014-81-K-0407 at SUNY-Binghamton.

1983 • 173 citations

The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds

1992 • 171 citations

Money does Granger-cause output in the bivariate money-output relation

1988 • 167 citations

10 Structural time series models

1993 • 167 citations

Trends and Random Walks in Macroeconomic Time Series: A Re-Examination

1992 • 160 citations

Limit theorems on the self-normalized range for weakly and strongly dependent processes

1975 • 158 citations

Finite sample properties of estimators for autoregressive moving average models

1980 • 155 citations

Spectral Regression for Cointegrated Time Series

1988 • 152 citations

On the theory of testing serial correlation

1948 • 145 citations

Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables

1987 • 144 citations

Limit Theorem on the Self-Normalized Range for Weakly and Strongly Dependent Process

1975 • 141 citations

A Study of the Autoregressive Nature of the Time Series Used for Tinbergen’s Model of the Economic System of the United States, 1919-1932

1948 • 139 citations

Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors

1991 • 139 citations

Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model

1985 • 136 citations

Engel's Law and Cointegration

1992 • 135 citations

Hypothesis Testing in ARIMA(p, 1, q) Models

1985 • 135 citations

Testing Purchasing Power Parity under the Null Hypothesis of Co-Integration

1991 • 134 citations

Testing for Nonstationary Parameter Specifications in Seasonal Time Series Models

1982 • 132 citations

Testing for a Moving Average Unit Root

1990 • 131 citations

Does GNP have a unit root?

1987 • 131 citations

Is Consumption Too Smooth? Long Memory and the Deaton Paradox

1991 • 130 citations

Testing for unit roots in autoregressive moving average models

1991 • 129 citations

Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle

1983 • 129 citations

Test Consistency with Varying Sampling Frequency

1991 • 129 citations

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

1989 • 128 citations

Towards a theory of point optimal testing

1987 • 124 citations

Estimation of a non-invertible moving average process

1977 • 123 citations

Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors

1990 • 123 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

Confidence Sets in Change-Point Problems

1988 • 116 citations

Serial Correlation and Quadratic Forms in Normal Variables

1942 • 116 citations

Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

1993 • 112 citations

19 Review about estimation of change points

1988 • 111 citations

Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied

1989 • 110 citations

EXACT SIMILAR TESTS FOR UNIT ROOTS AND COINTEGRATION

1992 • 104 citations

ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL

1990 • 104 citations

Estimation for Autoregressive Processes with Unit Roots

1979 • 102 citations

On the Interpretation of Near Random-Walk Behavior in GNP

1988 • 102 citations

A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept

1991 • 99 citations

The Linear Regression Model Under Test

1986 • 98 citations

The Local Power of the CUSUM and CUSUM of Squares Tests

1990 • 97 citations

'Testing for a unit root In the presence of moving average errors'

1990 • 96 citations

Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative

1985 • 96 citations

The Parameter Inference for Nearly Nonstationary Time Series

1988 • 96 citations

A Bayesian Approach To Estimation Of Time-Varying Regression Coefficients

1973 • 94 citations

Edgeworth and saddlepoint approximations in the first-order noncircular autoregression

1978 • 92 citations

Statistical Testing of Business-Cycle Theories: II; Business Cycles in the United States of America, 1919-32.

1941 • 92 citations

Random and changing coefficient models

1984 • 92 citations

The Order of Differencing in ARIMA Models

1984 • 89 citations

The uncertain unit root in real GNP

1992 • 89 citations

An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model

1978 • 86 citations

A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors

1990 • 85 citations

Economic structural change: Analysis and forecasting

1992 • 85 citations

Tests for Change of Parameter at Unknown Times and Distributions of Some Related Functionals on Brownian Motion

1974 • 84 citations

Recent Advances in Statistics

1983 • 84 citations

The Linear Regression Model Under Test

1986 • 81 citations

Testing for a unit root in the presence of moving average errors

1989 • 81 citations

Stabilization Policies

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Estimation and hypothesis testing in nonstationary time series

1976 • 80 citations

Off-line statistical analysis of change-point models using non parametric and likelihood methods

2005 • 79 citations

Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary

1991 • 76 citations

The Effect of Serial Correlation on Tests for Parameter Change at Unknown Time

1993 • 76 citations

Testing stationarity and trend stationarity against the unit root hypothesis

1993 • 74 citations

A Direct Test for Changing Trend

1992 • 73 citations

Problems with the estimation of moving average processes

1981 • 72 citations

Effects of data aggregation on the power of tests for a unit root

1992 • 70 citations

Unit-Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real Gross National Product

1990 • 70 citations

A Class of Tests for Integration and Cointegration

1999 • 69 citations

A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots

1991 • 68 citations

A Fixed Point Characterization for Bias of Autoregressive Estimators

1989 • 67 citations

The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case II

1959 • 67 citations

The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function

1991 • 66 citations

16 Varying coefficient regression

1985 • 65 citations

On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle

1991 • 64 citations

Small-sample properties of the maximum likelihood estimator in the first-order moving average model

1981 • 62 citations

WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

1986 • 61 citations

Economic Structural Change: Analysis and Forecasting

1991 • 59 citations

Testing for Deterministic Linear Trend in Time Series

1986 • 59 citations

Testing for deterministic trend and seasonal components in time series models

1983 • 58 citations

Point Optimal Tests for Testing the Order of Differencing in ARIMA Models

1993 • 57 citations

Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point

1980 • 57 citations

AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL

1988 • 57 citations

A Note on the Estimation of the Parameters of the Autoregressive-Moving Average Process

1977 • 57 citations

Local asymptotic distribution related to the AR(1) model with dependent errors

1994 • 56 citations

Permanent and Transitory Components in Macroeconomic Fluctuations

1987 • 55 citations

The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model

1981 • 54 citations

The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model

1989 • 53 citations

Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals

1980 • 53 citations

Limiting power of unit-root tests in time-series regression

1990 • 51 citations

A note on the power of least squares tests for a unit root

1987 • 48 citations

Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection

1992 • 48 citations

Advances in Econometrics and Modelling

1989 • 45 citations

Note concerning the Akaike and Hannan estimation procedures for an autoregressive-moving average processA note on the estimation of the parameters of the autoregressive-moving average process

1977 • 43 citations

On the distribution of some test statistics for coefficient constancy

1989 • 42 citations

A Monte Carlo study of autoregressive integrated moving average processes

1978 • 42 citations

Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models

1991 • 41 citations

Statistical analysis of “structural change”: An annotated bibliography

1989 • 39 citations

Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models

1989 • 38 citations

Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations

1984 • 37 citations

A trend-resistant test for structural change based on OLS residuals

1996 • 35 citations

Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components

1993 • 34 citations

Higher-order sample autocorrelations and the unit root hypothesis

1993 • 33 citations

The exact moments of the least-squares estimator for the autoregressive model corrections and extensions

1988 • 32 citations

Discussion

1993 • 31 citations

Unit-Root Tests and the Burden of Proof

1992 • 28 citations

The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models

1990 • 27 citations

ESTIMATION FOR STATIONARY TIME SERIES WHEN DATA ARE IRREGULARLY SPACED OR MISSING**Research supported by the National Science Foundation grant number NSF MCS78–01108.

1981 • 27 citations

Asymptotic Distributions of the Least-Squares Estimators and Test Statistics in the Near Unit Root Model with Non-Zero Initial Value and Local Drift and Trend

1994 • 26 citations

Distribution of the ML Estimator of an MA(1) and a local level model

1993 • 25 citations

Parameter inference for a nearly nonstationary first-order autoregressive model

1984 • 23 citations

Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity

1993 • 23 citations

The Bias of Forecasts from a First-Order Autoregression

1991 • 22 citations

The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

1996 • 19 citations

On Testing for the Constancy of Regression Coefficients under Random Walk and Change-Point Alternatives

1992 • 19 citations

A Continuous Time Approximation to the Stationary First-Order Autoregressive Model

1991 • 18 citations

Theory of Capital Reproduction and Accumulation.

1976 • 17 citations

Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy

1992 • 17 citations

Testing long run neutrality

1992 • 17 citations

Asymptotic inference for unstable auto- regressive time series with drifts

1989 • 15 citations

A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE

1983 • 12 citations

The Capital Gains and Losses on U.S. Government Debt: 1942-1987

1989 • 12 citations

Time Series Modelling with a Bayesian Frame of Reference: I. Concepts and Illustrations

1991 • 12 citations

Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag

1994 • 12 citations

Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series

1992 • 11 citations

[Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots]: Comment

1991 • 11 citations

[The Unifying Role of Iterative Generalized Least Squares in Statistical Algorithms]: Comment

1989 • 10 citations

Continuous Record Asymptotics in Systems of Stochastic Differential Equations

1992 • 9 citations

Posterior Odds Testing for a Unit Root with Data-Based Model Selection

1992 • 8 citations

Optimal Changepoint Tests for Normal Linear Regression

1992 • 7 citations

What Macroeconomists Should Know About Unit Roots as Well: The Bayesian Perspective

1992 • 6 citations

Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures

1993 • 5 citations

Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties

1994 • 5 citations

On DeJong and Whiteman's Bayesian inference for the unit root model

1991 • 5 citations

Posterior Analysis Of Possibly Integrated Time Series With An Application To Real Gnp

1990 • 4 citations

A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root

1993 • 4 citations

The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors

1994 • 1 citations

A comparison of unit root test criteria

1993 • 1 citations

Deleted Work

1955 • 0 citations