Test Consistency with Varying Sampling Frequency

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

1979 • 20,919 citations

Linear Statistical Inference and its Applications

1973 • 10,599 citations

Spectral Analysis and Time Series

1983 • 5,140 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Linear Statistical Inference and Its Applications.

1975 • 3,726 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 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 the random walk hypothesis

1985 • 362 citations

On Adaptive Estimation in Stationary ARMA Processes

1987 • 292 citations

Contiguity of Probability Measures

1972 • 267 citations

CONTINUOUS TIME STOCHASTIC MODELS AND ISSUES OF AGGREGATION OVER TIME

1984 • 221 citations

Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied

1989 • 110 citations

Chapter 20 Continuous time stochastic models and issues of aggregation over time

1984 • 108 citations

A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept

1991 • 99 citations

Contiguity of Probability Measures

1972 • 83 citations

The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model

1981 • 54 citations

The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model

1989 • 53 citations

OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST‐ORDER AUTOREGRESSIVE PROCESSES

1991 • 12 citations

Asymptotic efficiency of rank tests of randomness against autocorrelation

1981 • 11 citations