Testing for cointegration using principal components methods

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

1987 • 30,456 citations

An Introduction to Multivariate Statistical Analysis

1986 • 9,529 citations

Spectral Analysis and Time Series

1983 • 5,140 citations

Aspects of Multivariate Statistical Theory

1984 • 3,514 citations

An Introduction to Multivariate Statistical Analysis.

1985 • 3,247 citations

Aspects of Multivariate Statistical Theory

1982 • 3,146 citations

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

1984 • 2,980 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Time Series: Data Analysis and Theory.

1976 • 2,796 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Some properties of time series data and their use in econometric model specification

1981 • 2,283 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Testing for Common Trends

1988 • 1,998 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Time Series: Data Analysis and Theory.

1982 • 1,455 citations

Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends

1980 • 1,351 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Asymptotic Theory for Principal Component Analysis

1963 • 1,157 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW

1986 • 640 citations

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

1986 • 624 citations

Cointegration and Tests of Purchasing Power Parity

1988 • 368 citations

TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS

1983 • 309 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1988 • 18 citations

Least-Squares Estimation of Autoregressions with Some Unit Roots

1978 • 12 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1987 • 9 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1986 • 6 citations

Weak Convergence to the Matrix Stochastic Integral BdB

1986 • 4 citations

Partially Identified Econometric Models

1988 • 2 citations