Testing For and Dating Common Breaks in Multivariate Time Series

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

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

1989 • 7,573 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Time Series Analysis

1997 • 3,571 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

1994 • 2,512 citations

Residual-based tests for cointegration in models with regime shifts

1996 • 2,456 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes

1960 • 1,112 citations

Inference about the change-point in a sequence of random variables

1970 • 780 citations

LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES

1994 • 486 citations

Unit roots, structural breaks and trends

1986 • 472 citations

Two Models of Measurements and the Investment Accelerator

1989 • 392 citations

Optimal changepoint tests for normal linear regression

1996 • 310 citations

Testing and estimating change-points in time series

1985 • 302 citations

Tests for cointegration a Monte Carlo comparison

1996 • 273 citations

Cointegration tests in the presence of structural breaks

1996 • 252 citations

The likelihood ratio test for a change-point in simple linear regression

1989 • 202 citations

Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

1995 • 201 citations

Generalization of an inequality of Kolmogorov

1955 • 150 citations

Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables

1987 • 144 citations

Confidence Sets in Change-Point Problems

1988 • 116 citations