ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL

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

1987 • 30,456 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1990 • 3,965 citations

Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

1952 • 3,232 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

The Statistical Analysis of Time Series.

1972 • 1,286 citations

Optimal Properties of Exponentially Weighted Forecasts

1960 • 888 citations

The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

1986 • 337 citations

Estimation in the Presence of Stochastic Parameter Variation

1976 • 308 citations

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

1988 • 198 citations

Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle

1983 • 129 citations

The likelihood for a state space model

1988 • 119 citations

Small-sample properties of the maximum likelihood estimator in the first-order moving average model

1981 • 62 citations

WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

1986 • 61 citations

Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models

1989 • 38 citations

XXV.—Some Continuant Determinants arising in Physics and Chemistry

1948 • 14 citations