Test for partial parameter instability in regressions with I(1) processes

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

1987 • 30,456 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Convergence of Probability Measures

1999 • 14,297 citations

Testing the null hypothesis of stationarity against the alternative of a unit root

1992 • 11,969 citations

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

1991 • 11,052 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 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

Statistical Inference in Instrumental Variables Regression with I(1) Processes

1990 • 4,269 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Time Series Regression with a Unit Root

1987 • 2,905 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

Understanding spurious regressions in econometrics

1986 • 1,797 citations

Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?

1991 • 1,568 citations

Asymptotically Efficient Estimation of Cointegration Regressions

1991 • 1,175 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

1992 • 1,119 citations

Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes

1960 • 1,112 citations

Tests for Parameter Instability in Regressions with 1(1) Processes

1992 • 984 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

Testing for the Constancy of Parameters over Time

1989 • 827 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

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

2010 • 557 citations

Tests for Parameter Instability in Regressions with I(1) Processes

1992 • 534 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1989 • 534 citations

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

1994 • 516 citations

Testing For and Dating Common Breaks in Multivariate Time Series

1998 • 457 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 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

A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables

1984 • 293 citations

Testing for structural breaks in cointegrated relationships

1996 • 264 citations

Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

1960 • 258 citations

Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

1992 • 222 citations

Testing for the Constancy of Parameters Over Time

1989 • 214 citations

Inference in Nonlinear Econometric Models with Structural Change

1988 • 214 citations

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

1992 • 209 citations

Parameter Constancy in Cointegrating Regressions

1994 • 87 citations

Parameter constancy in cointegrating regressions

1993 • 68 citations

Testing For Structural Breaks

1991 • 17 citations

Temps de Sejour et Oscillation du Mouvement Brownien au Voisinage de la Sphere Euclidienne

1984 • 3 citations

A note on spurious break and regime shift in cointegrating relationship

1996 • 2 citations