A Stastistical Analysis of Cointegration for I(2) Variables

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

A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

1993 • 4,547 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

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

1992 • 1,729 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

Long-Run Economic Relationships

1991 • 732 citations

Testing weak exogeneity and the order of cointegration in UK money demand data

1992 • 694 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models

1989 • 587 citations

Statistical Analysis of Cointegration Vectors

1991 • 562 citations

A Representation of Vector Autoregressive Processes Integrated of Order 2

1992 • 341 citations

Testing for Unit Roots in Time Series Data

1989 • 337 citations

Nested Reduced-Rank Autoregressive Models for Multiple Time Series

1988 • 146 citations

Nested Reduced-Rank Autogressive Models for Multiple Time Series

1988 • 99 citations

Multivariate Time Series: A Polynomial Error Correction Representation Theorem

1993 • 47 citations

Weak convergence to the matrix stochastic integral ∫01 B dB′

1988 • 35 citations

Testing Hypotheses concerning Unions of Linear Subspaces

1984 • 33 citations

Estimation of Cointegrated Systems with I(2) Processes

1995 • 29 citations