THE POWER OF COINTEGRATION TESTS

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

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Convergence of Probability Measures

1999 • 14,297 citations

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1990 • 14,144 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

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

1991 • 11,052 citations

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

1979 • 8,550 citations

Convergence of Probability Measures

1969 • 7,189 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Critical values for cointegration tests

2010 • 2,719 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Testing for Common Trends

1988 • 1,998 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

1993 • 1,674 citations

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

1978 • 1,632 citations

Exogeneity

1983 • 1,271 citations

Cointegration in partial systems and the efficiency of single-equation analysis

1992 • 998 citations

Long-Run Economic Relationships: Readings in Cointegration.

1993 • 963 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

Towards a unified asymptotic theory for autoregression

1987 • 734 citations

Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk

1983 • 700 citations

Testing weak exogeneity and the order of cointegration in UK money demand data

1992 • 694 citations

Econometric Analysis for National Economic Planning

1971 • 617 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Asymptotic Theory for Econometricians

1984 • 602 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

On Stochastic Limit and Order Relationships

1943 • 388 citations

Modeling the demand for narrow money in the United Kingdom and the United States

1991 • 381 citations

Regression Theory for Near-Integrated Time Series

1988 • 359 citations

An Econometric Analysis of UK Money Demand In Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz

1989 • 338 citations

PC-GIVE: An Interactive Econometric Modelling System.

1990 • 241 citations

Some Tests of Dynamic Specification for a Single Equation

1980 • 221 citations

U.S. Federal indebtedness and the conduct of fiscal policy

1989 • 200 citations

Applied Time Series Analysis of Economic Data.

1985 • 184 citations

Comparison of k-Class Estimators When the Disturbances Are Small

1971 • 174 citations

Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK

1990 • 156 citations

The Power of Cointegration Tests

1992 • 95 citations

Long-run limits on the US Federal debt

1988 • 86 citations

Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions with Integrated Regressors

1988 • 72 citations

Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors

1988 • 64 citations

A Century of Economics: 100 Years of the Royal Economic Society and the 'Economic Journal'.

1992 • 60 citations

Testing Overidentifying Restrictions When the Disturbances are Small

1970 • 53 citations

Testing Overidentifying Restrictions when the Disturbances are Small

1970 • 28 citations

Finnish manufacturing wages 1960–1987: Real-wage flexibility and hysteresis

1992 • 25 citations

Econometric Modeling of Consumers' Expenditure in Venezuela

1988 • 14 citations