Cointegration, exogeneity, and policy analysis: An overview

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

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

1990 • 14,144 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

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

1991 • 11,052 citations

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

1979 • 8,550 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 citations

Econometric policy evaluation: A critique

1976 • 5,457 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

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

1981 • 2,283 citations

Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.

1996 • 1,690 citations

Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

1993 • 1,674 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Exogeneity

1983 • 1,271 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Cointegration in partial systems and the efficiency of single-equation analysis

1992 • 998 citations

Estimating Long-Run Economic Equilibria

1991 • 873 citations

Microeconomic Theory: A Mathematical Approach

1959 • 864 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

Journal of monetary economics

1987 • 732 citations

Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk

1983 • 700 citations

COINTEGRATION AND UNIT ROOTS

1990 • 675 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Stabilisation Policy in a Closed Economy

1954 • 589 citations

Statistical Foundations of Econometric Modelling

1986 • 502 citations

Statistical Inference in Dynamic Economic Models

1950 • 480 citations

Statistical Foundations of Econometric Modelling.

1990 • 385 citations

The Econometric Analysis of Economic Time Series

1983 • 382 citations

Modeling the demand for narrow money in the United Kingdom and the United States

1991 • 381 citations

An Econometric Analysis of UK Money Demand In Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz

1989 • 338 citations

TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS

1983 • 309 citations

ON WEAK EXOGENEITY IN ERROR CORRECTION MODELS

1992 • 288 citations

Identification and Estimation of Money Demand

1981 • 275 citations

Information and Exponential Families

2014 • 271 citations

Econometric methodology: a personal perspective

2008 • 250 citations

EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR

1990 • 249 citations

PC-GIVE: An Interactive Econometric Modelling System.

1990 • 241 citations

Error Correction Mechanisms

1982 • 237 citations

THE ENCOMPASSING IMPLICATIONS OF FEEDBACK VERSUS FEEDFORWARD MECHANISMS IN ECONOMETRICS *

1988 • 224 citations

ECONOMETRIC MODELLING: THE “CONSUMPTION FUNCTION” IN RETROSPECT*

1983 • 217 citations

Stabilisation policy and the time-forms of lagged responses

2000 • 203 citations

Cointegration and Error Correction Mechanisms

1989 • 179 citations

MONETARY ECONOMIC MYTH AND ECONOMETRIC REALITY

1985 • 169 citations

Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK

1990 • 156 citations

Models with Several Regimes and Changes in Exogeneity

1980 • 140 citations

Dynamic Specification

2000 • 137 citations

Econometric Modelling: The ‘Consumption Function’ In Retrospect

2013 • 127 citations

The Power of Cointegration Tests

1992 • 95 citations

Microeconomic Theory: A Mathematical Approach

1959 • 88 citations

Econometric Evaluation of the Exchange Rate in Models of the UK Economy

1990 • 86 citations

Cointegrated Economic Time Series: A Survey With New Results

1989 • 83 citations

CONDITIONING IN DYNAMIC MODELS

1985 • 82 citations

Encompassing and rational expectations: How sequential corroboration can imply refutation

1999 • 67 citations

An Econometric Model of the Watermelon Market

1955 • 62 citations

A Linear Theory for Noncausality

1985 • 60 citations

Testing The Lucas Critique: A Review

1990 • 26 citations

Estimating systems of trending variables

1994 • 18 citations

The LM-test for weak exogeneity in error correction models

1991 • 9 citations

PC-give and David Hendry's econometric methodology

1991 • 7 citations

On Weak Exogeneity in Error Correction Models

1991 • 1 citations