TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS

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

1987 • 30,456 citations

Convergence of Probability Measures

1999 • 14,297 citations

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

1991 • 11,052 citations

A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

1993 • 4,547 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Matrix Differential Calculus with Applications in Statistics and Econometrics.

1988 • 2,781 citations

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

1994 • 2,512 citations

Residual-based tests for cointegration in models with regime shifts

1996 • 2,456 citations

Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

1996 • 2,280 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Testing for Common Trends

1988 • 1,998 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Asymptotics for Linear Processes

1992 • 933 citations

Testing for the Constancy of Parameters over Time

1989 • 827 citations

Proof of Theorem 2

1983 • 537 citations

A canonical analysis of multiple time series

1977 • 377 citations

Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

1992 • 358 citations

Money demand in the United States: A quantitative review

1988 • 320 citations

Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables

1988 • 305 citations

Generic Uniform Convergence

1992 • 303 citations

Recursive Estimation in Cointegrated VAR-Models

1992 • 264 citations

Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends

1992 • 209 citations

Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative

1988 • 198 citations

The stability of long-run money demand in five industrial countries

1995 • 168 citations

Nested Reduced-Rank Autoregressive Models for Multiple Time Series

1988 • 146 citations

Nested Reduced-Rank Autogressive Models for Multiple Time Series

1988 • 99 citations

Parameter Constancy in Cointegrating Regressions

1994 • 87 citations

Stability tests in error correction models

1998 • 56 citations

Locally Optimal Testing When a Nuisance Parameter is Present Only Under the Alternative

1993 • 38 citations