Vector autoregression and causality: a theoretical overview and simulation study

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

1987 • 30,456 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

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Five alternative methods of estimating long-run equilibrium relationships

1994 • 1,139 citations

Vector Autoregressions and Causality

1993 • 877 citations

Testing for Cointegration in Linear Quadratic Models

1994 • 49 citations

Testing misspecified cointegrating relationships

1998 • 43 citations