Cointegration: how short is the long run?

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

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

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

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

1986 • 624 citations

Is there a J-curve?

1989 • 613 citations

Real Exchange Rates under the Gold Standard

1991 • 427 citations

Real and nominal exchange rates in the long run: An empirical investigation

1990 • 427 citations

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

1989 • 416 citations

Testing the random walk hypothesis

1985 • 362 citations

The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control

1989 • 315 citations

National price levels, purchasing power parity, and cointegration: a test of four high inflation economies

1989 • 254 citations

Tests of exchange market efficiency: fragile evidence from cointegration tests

1991 • 174 citations

The Impact of Exchange Rates and Developing Country Debt on Commodity Prices

1989 • 171 citations

Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied

1989 • 110 citations

COINTEGRATION IN SMALL SAMPLES: EMPIRICAL PERCENTILES, DRIFTING MOMENTS AND CUSTOMIZED TESTING¹

1990 • 83 citations

A century plus of Yen exchange rate behavior

1990 • 73 citations

International transmission of aggregate shocks under fixed and flexible exchange rate regimes: United Kingdom, France, and Germany, 1959 to 1985

1990 • 61 citations

A long-run view of the European monetary system

1991 • 59 citations

Unit roots and the real exchange rate before World War I: the case of Britain and the USA

1989 • 42 citations

Currency substitution and monetary autonomy: the foreign demand for US demand deposits

1990 • 35 citations

Further results on long-run purchasing power parity in the 1920s

1990 • 25 citations

Real and nominal exchange rates since 1919

1990 • 14 citations

The size of the nonstationary component and its effect on tests for unit roots

1993 • 3 citations