Asymptotic Normality, When Regressors Have a Unit Root

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

1979 • 20,919 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Multiple time series

1970 • 1,885 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Estimation of Dynamic Labor Demand Schedules under Rational Expectations

1978 • 611 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

A Specification Test for Speculative Bubbles

1987 • 475 citations

Trends, random walks, and tests of the permanent income hypothesis

1985 • 212 citations

Wage Movements and the Labour Market Equilibrium Hypothesis

1980 • 91 citations

Estimation of the Parameters of Stochastic Difference Equations

1981 • 50 citations