A Primer on Unit Root Testing

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

1979 • 20,919 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

2002 • 5,336 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

1995 • 3,739 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Testing for unit roots in autoregressive-moving average models of unknown order

1984 • 2,980 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 citations

Fractionally integrated generalized autoregressive conditional heteroskedasticity

1996 • 2,276 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Long memory processes and fractional integration in econometrics

1996 • 1,894 citations

Gaussian Semiparametric Estimation of Long Range Dependence

1995 • 1,480 citations

Seasonal integration and cointegration

1990 • 1,473 citations

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

1992 • 1,119 citations

Statistical Analysis of Stationary Time Series.

1958 • 859 citations

LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*

1992 • 815 citations

Estimating Multiple Breaks One at a Time

1997 • 804 citations

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

1983 • 700 citations

Variable Trends in Economic Time Series

1988 • 675 citations

COINTEGRATION AND UNIT ROOTS

1990 • 675 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

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

1986 • 624 citations

On entropy maximization principle

1977 • 614 citations

Elements of Multivariate Time Series Analysis.

1997 • 513 citations

On the power of Dickey-Fuller tests against fractional alternatives

1991 • 504 citations

Asymptotic Inference for Nearly Nonstationary AR(1) Processes

1987 • 489 citations

Unit roots, structural breaks and trends

1986 • 472 citations

The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

1958 • 458 citations

Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence

1979 • 455 citations

To criticize the critics: An objective bayesian analysis of stochastic trends

1991 • 322 citations

Impulse response and forecast error variance asymptotics in nonstationary VARs

1998 • 322 citations

Time series with strong dependence

2008 • 303 citations

Security Markets: Stochastic Models.

1989 • 298 citations

On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Models

1984 • 286 citations

A Consistent Test for a Unit Root

1994 • 266 citations

Bootstrapping Unstable First-Order Autoregressive Processes

1991 • 262 citations

Edgeworth Correction by Bootstrap in Autoregressions

1988 • 241 citations

An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates

1990 • 227 citations

Stochastic Limit Theory: An Introduction for Econometricians

1994 • 216 citations

Time Series Analysis: Nonstationary and Noninvertible Distribution Theory

1998 • 209 citations

Some Aspects of Asymptotic Theory with Applications to Time Series Models

1995 • 200 citations

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

1988 • 198 citations

A Bayesian analysis of the unit root in real exchange rates

1991 • 185 citations

The relationship between power and level for generic unit root tests in finite samples

1992 • 179 citations

New Tools for Understanding Spurious Regressions

1998 • 175 citations

Fixed Accuracy Estimation of an Autoregressive Parameter

1983 • 144 citations

Testing for a Moving Average Unit Root

1990 • 131 citations

Time-Series-Based Econometrics

1996 • 104 citations

The Order of Differencing in ARIMA Models

1984 • 89 citations

On Asymptotic Posterior Normality for Stochastic Processes

2010 • 75 citations

The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function

1991 • 66 citations

On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle

1991 • 64 citations

Near Observational Equivalence and Theoretical size Problems with Unit Root Tests

1996 • 62 citations

Searching for a Break in Gnp

1988 • 51 citations

Testing for Unit Roots in Models with Structural Change

1994 • 49 citations

Bayesian Asymptotic Theory in a Time Series Model with a Possible Nonstationary Process

1994 • 42 citations

Time series, unit roots, and cointegration

1998 • 37 citations

Automated Forecasts of Asia-Pacific Economic Activity

1995 • 35 citations

A bayesian analysis of trend determination in economic time series

1994 • 28 citations

Estimation in long memory time series models

1992 • 11 citations

Deciding between I(1) and I(0)

1992 • 3 citations