Residual-based tests for cointegration in models with regime shifts

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1987 • 30,456 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Convergence of Probability Measures

1999 • 14,297 citations

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

1991 • 11,052 citations

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

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Convergence of Probability Measures

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

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A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

1993 • 4,547 citations

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

1990 • 4,269 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Critical values for cointegration tests

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

1992 • 2,581 citations

Some properties of time series data and their use in econometric model specification

1981 • 2,283 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

1992 • 1,119 citations

Nonstationarity and Level Shifts With an Application to Purchasing Power Parity

1992 • 1,101 citations

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

1992 • 984 citations

Long-Run Economic Relationships: Readings in Cointegration.

1993 • 963 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE^*

1986 • 810 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

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

1992 • 534 citations

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

1992 • 390 citations

Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

1992 • 358 citations

Money demand in the United States: A quantitative review

1988 • 320 citations

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

1984 • 293 citations

Recursive Estimation in Cointegrated VAR-Models

1992 • 264 citations

Testing for structural breaks in cointegrated relationships

1996 • 264 citations

Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

1992 • 222 citations

Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations

1988 • 128 citations

Strong Laws for Dependent Heterogeneous Processes

1991 • 117 citations

Testing for Cointegration in Linear Quadratic Models

1994 • 87 citations

Parameter Constancy in Cointegrating Regressions

1994 • 87 citations

Parameter constancy in cointegrating regressions

1993 • 68 citations

Temps de Sejour et Oscillation du Mouvement Brownien au Voisinage de la Sphere Euclidienne

1984 • 3 citations