Further Developments in the Study of Cointegrated Variables

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

1987 • 30,456 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

1981 • 2,374 citations

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

1981 • 2,283 citations

Seasonal integration and cointegration

1990 • 1,473 citations

Stochastic Trends and Economic Fluctuations

1991 • 1,332 citations

Estimation of Common Long-Memory Components in Cointegrated Systems

1995 • 1,206 citations

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

2002 • 1,197 citations

Long-Run Economic Relationships: Readings in Cointegration.

1993 • 963 citations

A Cointegration Analysis of Treasury Bill Yields

1992 • 391 citations

Causality in the Long Run

1995 • 290 citations

NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

1991 • 194 citations

Modelling Nonlinear Relationships between Extended-Memory Variables

1995 • 152 citations

The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation

2003 • 142 citations

LONG MEMORY SERIES WITH ATTRACTORS

1991 • 129 citations

Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers

2005 • 87 citations

What are We Learning About the Long-Run?

1993 • 72 citations

Credit spreads and interest rates: a cointegration approach

1998 • 51 citations

SUR UN MODÉLE AUTORÉGRESSIF NON LINÉAIRE, ERGODICITÉ ET ERGODICITÉ GÉOMÉTRIQUE

1987 • 42 citations

Noise and statistical periodicity

1987 • 39 citations

Capital shortages and asymmetries in UK unemployment

1998 • 35 citations

Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity

1993 • 23 citations

The Recession and Recovery of 1973-1976

1977 • 17 citations

Cointegration between exchange rates: a generalized linear cointegration model

1998 • 6 citations

Stochastic growth: Empirical evidence from the G7 Countries

1999 • 4 citations