Post-Deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics

A new look at the statistical model identification

1974 • 46,507 citations

Estimating the Dimension of a Model

1978 • 43,634 citations

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

1987 • 30,456 citations

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

1969 • 21,257 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

The Determination of the Order of an Autoregression

1979 • 2,841 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Fitting autoregressive models for prediction

1969 • 2,363 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Fitting Autoregreesive Models for Prediction

1998 • 2,099 citations

Long memory and persistence in aggregate output

1989 • 564 citations

Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process

1980 • 563 citations

COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS

1985 • 307 citations

Is Consumption Too Smooth? Long Memory and the Deaton Paradox

1991 • 130 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

Fractionally integrated vector time series

1986 • 14 citations