WHAT MACROECONOMISTS SHOULD KNOW ABOUT UNIT ROOTS

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

Testing for a unit root in time series regression

1988 • 17,004 citations

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1990 • 14,144 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Macroeconomics and Reality

1980 • 12,249 citations

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

1991 • 11,052 citations

The Mathematical Theory of Communication

1948 • 10,147 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Statistical Decision Theory and Bayesian Analysis

1985 • 7,736 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

Spurious regressions in econometrics

1974 • 6,029 citations

The theory and practice of econometrics

1986 • 4,551 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

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

1990 • 4,269 citations

Bayesian Inference in Statistical Analysis.

1975 • 3,994 citations

Aspects of Multivariate Statistical Theory

1984 • 3,514 citations

Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence

1978 • 3,343 citations

MONEY, INCOME, AND CAUSALITY

1972 • 3,059 citations

Testing for unit roots in autoregressive-moving average models of unknown order

1984 • 2,980 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

Trends and random walks in macroeconomic time series

1988 • 2,527 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

Let's Take the Con Out of Econometrics

1983 • 2,356 citations

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

1981 • 2,283 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

An invariant form for the prior probability in estimation problems

1946 • 2,260 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Introduction to Multiple Time Series Analysis

1993 • 2,070 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Bayesian Forecasting and Dynamic Models

1997 • 2,027 citations

Testing for Common Trends

1988 • 1,998 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Bayesian Inference in Econometric Models Using Monte Carlo Integration

1989 • 1,616 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

The Adjustment of Consumption to Changing Expectations About Future Income

1981 • 1,326 citations

Alternative explanations of the money-income correlation

1986 • 1,197 citations

Forecasting With Bayesian Vector Autoregressions—Five Years of Experience

1986 • 1,192 citations

Are Forecasting Models Usable for Policy Analysis?

1986 • 1,181 citations

Testing for a Unit Root in a Time Series With a Changing Mean

1990 • 1,090 citations

Canonical Cointegrating Regressions

1992 • 1,081 citations

Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments

1992 • 1,038 citations

Estimating Long-Run Economic Equilibria

1991 • 873 citations

Univariate detrending methods with stochastic trends

1986 • 873 citations

EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE^*

1986 • 810 citations

Are Output Fluctuations Transitory?

1987 • 771 citations

The Cyclical Component of U. S. Economic Activity

1987 • 744 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk

1983 • 700 citations

Variable Trends in Economic Time Series

1988 • 675 citations

COINTEGRATION AND UNIT ROOTS

1990 • 675 citations

Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection

1994 • 672 citations

Econometrics: Alchemy or Science?

2000 • 652 citations

ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW

1986 • 640 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo

1978 • 595 citations

Production, growth and business cycles

1988 • 570 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

Interpreting the evidence on money-income causality

1989 • 552 citations

Bayesian skepticism on unit root econometrics

1988 • 528 citations

Determining the Order of Differencing in Autoregressive Processes

2002 • 526 citations

Integration Versus Trend Stationary in Time Series

1992 • 521 citations

Sensitivity Analyses Would Help

1985 • 510 citations

Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered

1980 • 508 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models

1993 • 489 citations

Understanding Unit Rooters: A Helicopter Tour

1991 • 447 citations

The likelihood principle

1984 • 425 citations

Unit Roots in Time Series Models: Tests and Implications

1986 • 421 citations

The power problems of unit root test in time series with autoregressive errors

1992 • 409 citations

Testing For Unit Roots: 1

1981 • 406 citations

THREE ECONOMETRIC METHODOLOGIES: A CRITICAL APPRAISAL¹

1987 • 371 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

To criticize the critics: An objective bayesian analysis of stochastic trends

1991 • 322 citations

A critique of the application of unit root tests

1991 • 318 citations

Estimation for Partially Nonstationary Multivariate Autoregressive Models

1990 • 279 citations

Unit roots in real GNP: Do we know, and do we care?

1990 • 257 citations

Econometric methodology: a personal perspective

2008 • 250 citations

Interpreting cointegrated models

1988 • 246 citations

The effect of seasonal adjustment filters on tests for a unit root

1993 • 240 citations

Bayesian Analysis of Linear Models

2017 • 227 citations

Trend reversion in real output and unemployment

1989 • 224 citations

Antithetic acceleration of Monte Carlo integration in Bayesian inference

1988 • 214 citations

Trends, random walks, and tests of the permanent income hypothesis

1985 • 212 citations

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

1992 • 209 citations

Some Aspects of Asymptotic Theory with Applications to Time Series Models

1995 • 200 citations

A note on maximum likelihood estimation of the rational expectations model of the term structure

1979 • 190 citations

Testing for cointegration using principal components methods

1988 • 188 citations

A Bayesian analysis of the unit root in real exchange rates

1991 • 185 citations

On Bayesian routes to unit roots

1991 • 169 citations

Money does Granger-cause output in the bivariate money-output relation

1988 • 167 citations

The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series

1990 • 164 citations

Frequentist and Subjectivist Perspectives on the Problems of Model Building in Economics

1988 • 159 citations

Spectral Regression for Cointegrated Time Series

1988 • 152 citations

A Survey of Some Recent Econometric Methods

1989 • 145 citations

Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection

1990 • 140 citations

Posterior Odds Testing for a Unit Root with Data-Based Model Selection

1994 • 137 citations

On the Shape of the Likelihood/Posterior in Cointegration Models

1994 • 137 citations

Testing for a Unit Root in the Presence of a Maintained Trend

1989 • 131 citations

Does GNP have a unit root?

1987 • 131 citations

Output Persistence, Economic Structure, and the Choice of Stabilization Policy

1989 • 128 citations

Reflections on Econometric Methodology

1988 • 121 citations

The Econometrics of the General Equilibrium Approach to Business Cycles

1995 • 120 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

The Role of Approximate Prior Restrictions in Distributed Lag Estimation

1972 • 113 citations

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

1989 • 110 citations

Econometrics and Structural Change.

1988 • 98 citations

Integrated regressors and tests of the permanent-income hypothesis

1988 • 96 citations

Bayesian routes and unit roots: De rebus prioribus semper est disputandum

1991 • 93 citations

Bayesian Methods and Entropy in Economics and Econometrics

1991 • 88 citations

Testing for Cointegration in Linear Quadratic Models

1994 • 87 citations

Bayesian analysis in econometrics

1988 • 85 citations

Co-integration and trend-stationarity in macroeconomic time series

1992 • 82 citations

Priors for Macroeconomic Time Series and Their Application

1994 • 77 citations

Forecasting and Policy Analysis With Bayesian Vector Autoregression Models

1984 • 77 citations

‘Objective’ bayesian unit root tests

1992 • 75 citations

Specifying Vector Autoregressions for Macroeconomic Forecasting

1984 • 72 citations

The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function

1991 • 66 citations

A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems

1989 • 59 citations

The effect of parameter uncertainty on forecast variances and confidence intervals for unit root and trend stationary time‐series models

1991 • 58 citations

Econometric illustrations of novel numerical integration strategies for Bayesian inference

1988 • 52 citations

The case for trend‐stationarity is stronger than we thought

1991 • 49 citations

On Jeffreys Prior when Using the Exact Likelihood Function

1994 • 44 citations

Finite Sample Monte Carlo Studies: An Autoregressive Illustration

1967 • 44 citations

Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods

1973 • 39 citations

Aggregate shocks and macroeconomic fluctuations: A bayesian approach

1992 • 39 citations

Seasonal adjustment and measuring persistence in output

1990 • 38 citations

Comment on ‘To criticize the critics’

1991 • 37 citations

A comment on ‘To criticize the critics: An objective bayesian analysis of stochastic trends’

1991 • 37 citations

Bayesian Analysis, Model Selection and Prediction

1993 • 35 citations

Bayes models and forecasts of Australian macroeconomic time series

1994 • 33 citations

Bayesian Inference of Trend and Difference-Stationarity

1994 • 31 citations

Estimating Event Probabilities from Macroeconometric Models Using Stochastic Simulation

1993 • 29 citations

Shock persistence and the measurement of prewar output series

1990 • 20 citations

Comment on Poirier: The Subjective Perspective of a “Spiritual Bayesian”

1988 • 16 citations

The forecasting attributes of trend‐ and difference‐stationary representations for macroeconomic time series

1994 • 15 citations

Bayesian approaches to the ‘unit root’ problem: A comment

1991 • 14 citations

Making economics credible

2008 • 12 citations

Time Series Modelling with a Bayesian Frame of Reference: I. Concepts and Illustrations

1991 • 12 citations

Money, income, prices and interest rates after the 1980s

1990 • 11 citations

A comment on: ‘To criticize the critics: An objective bayesian analysis of stochastic trends’, By Peter C. B. Phillips

1991 • 10 citations

Comment on Poirier: Operational Bayesian Methods in Econometrics

1988 • 9 citations

Comment on Poirier: Dogma or Doubt?

1988 • 7 citations

Modeling Stock Prices without Knowing How to Induce Stationarity

1994 • 6 citations

Flat priors vs. ignorance priors in the analysis of the AR(1) model

1991 • 6 citations

Posterior Analysis Of Possibly Integrated Time Series With An Application To Real Gnp

1990 • 4 citations

The Subjectivist Response

1988 • 4 citations

"Time Series Analysis, Forecasting and Econometric Modeling : The Structural Econometric Modeling , Time Series Analysis (SEMTSA) Approach"

1992 • 3 citations

Bayesian Model Selection and Prediction with Empirical Applications

1992 • 3 citations

Testing for Unit Roots Cointegration in a Bayesian Framework

1991 • 2 citations

Posterior inference on long-run impulse responses

1992 • 2 citations