COINTEGRATION AND UNIT ROOTS

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

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

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

1979 • 8,550 citations

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

1989 • 7,573 citations

Time Series Analysis Forecasting and Control.

1971 • 6,159 citations

Spurious regressions in econometrics

1974 • 6,029 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

1980 • 3,256 citations

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

1984 • 2,980 citations

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

1983 • 2,957 citations

Some recent development in a concept of causality

1988 • 2,941 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

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

1981 • 2,283 citations

Testing for Common Trends

1988 • 1,998 citations

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Multiple time series

1970 • 1,885 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Seasonal integration and cointegration

1990 • 1,473 citations

COINTEGRATION AND ERROR CORRECTION: REPRESENTATION

1987 • 1,375 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Multiple Time Series

1970 • 1,283 citations

Asymptotically Efficient Estimation of Cointegration Regressions

1991 • 1,175 citations

Time series models

1981 • 1,163 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE^*

1986 • 810 citations

Some Recent Developments in a Concept of Causality

2010 • 795 citations

A Study in the Analysis of Stationary Time Series

1955 • 705 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

Variable Trends in Economic Time Series

1988 • 675 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW

1986 • 640 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

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

1986 • 624 citations

A Study in Analysis of Stationary Time Series.

1939 • 597 citations

Long memory and persistence in aggregate output

1989 • 564 citations

Testing for Unit Roots in Seasonal Time Series

1984 • 556 citations

Some Properties of Time Series Data and Their Use in Econometric Model Specification

2010 • 554 citations

Determining the Order of Differencing in Autoregressive Processes

2002 • 526 citations

Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England

2000 • 439 citations

Unit Roots in Time Series Models: Tests and Implications

1986 • 421 citations

The Econometric Analysis of Economic Time Series

1983 • 382 citations

ERROR CORRECTION, PARTIAL ADJUSTMENT AND ALL THAT: AN EXPOSITORY NOTE^*

1985 • 355 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

TIME SERIES ANALYSIS OF ERROR-CORRECTION MODELS

1983 • 309 citations

Spurious Periodicity in Inappropriately Detrended Time Series

1981 • 307 citations

SEASONALITY AND THE ORDER OF INTEGRATION FOR CONSUMPTION^*

1988 • 299 citations

Spurious Periodicity in Inappropriately Detrended Time Series

1981 • 276 citations

AN APPLICATION OF THE GRANGER & ENGLE TWO‐STEP ESTIMATION PROCEDURE TO UNITED KINGDOM AGGREGATE WAGE DATA^*

1986 • 231 citations

Practitioners'corner: professor Hendry's econometric methodology

2005 • 224 citations

Seasonality and habit persistence in a life cycle model of consumption

1988 • 211 citations

Determining the Order of Differencing in Autoregressive Processes

1987 • 203 citations

Hidden periodic autoregressiye-moving average models in time series data

1980 • 193 citations

Testing for cointegration using principal components methods

1988 • 188 citations

Spurious Regressions in Econometrics

2008 • 185 citations

Estimation and Inference in Models of Cointegration: A Simulation Study

1988 • 174 citations

Unit Roots in Time Series Models: Tests and Implications

1986 • 169 citations

A Survey of Some Recent Econometric Methods

1989 • 145 citations

Hypothesis Testing in ARIMA(p, 1, q) Models

1985 • 135 citations

Hidden Periodic Autoregressive-Moving Average Models in Time Series Data

1980 • 122 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

'Testing for a unit root In the presence of moving average errors'

1990 • 96 citations

Seasonal adjustment when both deterministic and stochastic seasonality are present

1978 • 87 citations

TESTING NEO‐CLASSICAL THEORIES OF LABOUR DEMAND: AN APPLICATION OF COINTEGRATION TECHNIQUES

1986 • 82 citations

Testing for a unit root in the presence of moving average errors

1989 • 81 citations

A note on the distribution of the least squares estimator of a random walk with drift

1989 • 63 citations

A NOTE ON SPURIOUS REGRESSIONS WITH INTEGRATED MOVING AVERAGE ERRORS^*

1986 • 51 citations

Advances in Econometrics and Modelling

1989 • 45 citations

Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland

1988 • 38 citations

Seasonal Analysis of Economic Time Series.

1981 • 26 citations

Cointegration and Unit Roots: A Survey

1990 • 24 citations

Optimal Inference in Cointegrated Systems

1989 • 24 citations

The Great Crash, The Oil Price Shock And The Unit Root Hypothesis

1988 • 21 citations

TESTS OF THE LIFE CYCLE-PERMANENT INCOME HYPOTHESIS IN THE PRESENCE OF RANDOM WALKS: ASYMPTOTIC THEORY AND SMALL-SAMPLE INTERPRETATIONS *

1988 • 19 citations

Cointegration, Time Co-trend and Error-correction Systems: An Alternative Approach

1987 • 12 citations

Seasonal Integration and Cointegration *

1992 • 8 citations

Optimal Instrumental Variable Estimator of the AR Parameter of an ARMA(1.1)

1990 • 6 citations