Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

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

Efficient Tests for an Autoregressive Unit Root

1996 • 5,217 citations

Statistical Inference in Instrumental Variables Regression with I(1) Processes

1990 • 4,269 citations

Time Series: Data Analysis and Theory.

1976 • 2,796 citations

A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics¹

1992 • 2,686 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

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

1987 • 2,016 citations

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

1992 • 1,729 citations

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

1995 • 1,517 citations

COINTEGRATION AND ERROR CORRECTION: REPRESENTATION

1987 • 1,375 citations

THE POWER OF COINTEGRATION TESTS

1992 • 1,322 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND

1992 • 1,019 citations

Asymptotics for Linear Processes

1992 • 933 citations

Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

1951 • 837 citations

Time Series: Data Analysis and Theory.

1981 • 753 citations

Towards a unified asymptotic theory for autoregression

1987 • 734 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 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

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

1991 • 434 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

Estimation for Partially Nonstationary Multivariate Autoregressive Models

1990 • 279 citations

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

1999 • 267 citations

The Parameter Inference for Nearly Nonstationary Time Series

1988 • 96 citations

Asymptotic Properties of Multivariate Nonstationary Processes with Applications to Autoregressions

1990 • 82 citations

Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis

1991 • 32 citations

Estimation for partially nonstationary autoregressive models

1990 • 15 citations

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

1994 • 12 citations

Robust Nonstationary Regression

1993 • 3 citations