Foreign exchange market efficiency and common stochastic trends

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

1987 • 30,456 citations

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

1979 • 20,919 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

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

1987 • 15,268 citations

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

1990 • 14,144 citations

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

1992 • 11,969 citations

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

1979 • 8,550 citations

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

1984 • 2,980 citations

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

1981 • 2,283 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 1,327 citations

Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period

1988 • 750 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

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

1992 • 694 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Cointegration: how short is the long run?

1991 • 586 citations

Some Properties of Time Series Data and Their Use in Econometric Model Specification

2010 • 554 citations

Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

1989 • 416 citations

Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

1994 • 344 citations

Was it Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period

1988 • 279 citations

Cointegration and market efficiency

1992 • 248 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 240 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 223 citations

Tests of exchange market efficiency: fragile evidence from cointegration tests

1991 • 174 citations

COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA

1991 • 123 citations

Foreign exchange market efficiency and cointegration

1989 • 117 citations

Cointegration-based tests of daily foreign exchange market efficiency

1990 • 77 citations

Estimation of Common Long Memory Components in Cointegrated Systems

2010 • 55 citations

Covered interest parity and international capital market efficiency

1995 • 30 citations

Covered interested parity between Canada and the United States: Another look using modern time series methods

1991 • 6 citations