Statistical inference in vector autoregressions with possibly integrated processes

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

1979 • 20,919 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

The Statistical Analysis of Time Series.

1995 • 2,128 citations

Testing for Common Trends

1988 • 1,998 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

The Statistical Analysis of Time Series.

1972 • 1,286 citations

Canonical Cointegrating Regressions

1992 • 1,081 citations

Vector Autoregressions and Causality

1993 • 877 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

Comparisons of tests for multivariate cointegration

1992 • 584 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1989 • 534 citations

A Representation of Vector Autoregressive Processes Integrated of Order 2

1992 • 341 citations

Testing for Unit Roots in Time Series Data

1989 • 337 citations

Vector autoregression and causality

1991 • 285 citations

NON‐CAUSALITY IN COINTEGRATED SYSTEMS: REPRESENTATION ESTIMATION AND TESTING

1992 • 251 citations

Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions

1995 • 182 citations

The spurious effect of unit roots on vector autoregressions

1993 • 77 citations