Statistical Inference in Regressions with Integrated Processes: Part 1

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

Convergence of Probability Measures

1999 • 14,297 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Aspects of Multivariate Statistical Theory

1984 • 3,514 citations

Aspects of Multivariate Statistical Theory

1982 • 3,146 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Time Series Analysis: Forecasting and Control

1977 • 2,451 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

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

Limiting Distributions of Least Squares Estimates of Unstable Autoregressive Processes

1988 • 649 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

Convergence of Probability Measures.

1969 • 557 citations

Nonlinear Regression with Dependent Observations

1984 • 465 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

Testing for cointegration using principal components methods

1988 • 188 citations

Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations

1988 • 128 citations

On Strong Invariance Principles Under Dependence Assumptions

1986 • 118 citations

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

1988 • 72 citations

Martingale difference arrays and stochastic integrals

1986 • 60 citations

Least Squares Regression When the Independent Variable Follows an ARIMA Process

1986 • 44 citations

Weak convergence to the matrix stochastic integral ∫01 B dB′

1988 • 35 citations

Least Squares Regression When the Independent Variable Follows an ARIMA Process

1986 • 32 citations

Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions

1987 • 13 citations

Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors

1986 • 6 citations

Trends Versus Random Walks in Time Series Analysis

1986 • 4 citations