Tests of exchange market efficiency: fragile evidence from cointegration tests

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

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

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

1979 • 8,550 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Forward and spot exchange rates

1984 • 2,213 citations

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models

1989 • 587 citations

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

1989 • 416 citations

Dynamic Specification, the Long-Run and The Estimation of Transformed Regression Models

1988 • 317 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 223 citations

Testing for cointegration using principal components methods

1988 • 188 citations

PRACTITIONERS CORNER: Maximum Likelihood Estimation of Cointegration Vectors: An Example of The Johansen Procedure^‡

1989 • 123 citations

Foreign exchange market efficiency and cointegration

1989 • 117 citations

The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach

1988 • 84 citations

An international comparison of prices and exchange rates: a new test of purchasing power parity

1990 • 56 citations