Parameter Constancy in Cointegrating Regressions

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

1979 • 20,919 citations

Testing for a unit root in time series regression

1988 • 17,004 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

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

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

1992 • 11,969 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

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

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

1992 • 984 citations

Asymptotics for Linear Processes

1992 • 933 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

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

1986 • 624 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1989 • 534 citations

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

1992 • 534 citations

Regression Theory for Near-Integrated Time Series

1988 • 359 citations

Partially Identified Econometric Models

1989 • 348 citations

Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

1992 • 209 citations

Liquidity and inflation effects on consumers' expenditure

1981 • 205 citations

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

1988 • 198 citations

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

1985 • 136 citations

Cointegrated Economic Time Series: An Overview with New Results

1991 • 85 citations

An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration

1993 • 43 citations

On the distribution of some test statistics for coefficient constancy

1989 • 42 citations

Essays in the Theory and Measurement of Consumer Behaviour, in Honour of Sir Richard Stone

1984 • 27 citations

Statistical Inference from Stochastic Processes

1988 • 26 citations

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

1991 • 12 citations