Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

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

1987 • 30,456 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

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

1989 • 9,360 citations

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

1979 • 8,550 citations

Spurious regressions in econometrics

1974 • 6,029 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

2002 • 5,336 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 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

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 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

Time Series Regression with a Unit Root

1987 • 2,905 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 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

Introduction to Statistical Time Series.

1977 • 2,373 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

Production, growth and business cycles

1988 • 2,269 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Further evidence on breaking trend functions in macroeconomic variables

1997 • 2,032 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

1992 • 1,969 citations

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

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

1978 • 1,632 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Stochastic Trends and Economic Fluctuations

1991 • 1,332 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

Asymptotically Efficient Estimation of Cointegration Regressions

1991 • 1,175 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Nonstationarity and Level Shifts With an Application to Purchasing Power Parity

1992 • 1,101 citations

Canonical Cointegrating Regressions

1992 • 1,081 citations

New directions

1937 • 1,014 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

Econometrics: Alchemy or Science?

2000 • 652 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

Interpreting the evidence on money-income causality

1989 • 552 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1989 • 534 citations

Determining the Order of Differencing in Autoregressive Processes

2002 • 526 citations

Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered

1980 • 508 citations

Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis

1987 • 506 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 478 citations

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

1979 • 455 citations

Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order

1984 • 429 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

Nonstationarity and Level Shifts with an Application to Purchasing Power Parity

1992 • 382 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

Testing for Unit Roots in Time Series Data

1989 • 337 citations

King Charles I

1981 • 320 citations

A critique of the application of unit root tests

1991 • 318 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 300 citations

FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES

1994 • 275 citations

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

1990 • 257 citations

Interpreting cointegrated models

1988 • 246 citations

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

1994 • 246 citations

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

1993 • 240 citations

Trend reversion in real output and unemployment

1989 • 224 citations

Determining the Order of Differencing in Autoregressive Processes

1987 • 212 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

Nonstationary and Level Shifts With An Application To Purchasing Power Parity

1991 • 191 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

Interpreting econometric evidence

1981 • 181 citations

Unit Roots in Time Series Models: Tests and Implications

1986 • 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

Spectral Regression for Cointegrated Time Series

1988 • 152 citations

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

1990 • 140 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

Test Consistency with Varying Sampling Frequency

1991 • 129 citations

Estimation for Partially Nonstationary Multivariate Autoregressive Models

1990 • 128 citations

Some Properties of Time Series Data and Their Use in Econometric Model Specification

2008 • 120 citations

Unit roots in economic time series: a selective survey

1988 • 116 citations

Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered

1980 • 110 citations

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

1989 • 110 citations

Integrated regressors and tests of the permanent-income hypothesis

1988 • 96 citations

Testing for Cointegration in Linear Quadratic Models

1994 • 87 citations

Statistical Inference in Instrumental Variables

1989 • 61 citations

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

1990 • 61 citations

A Powerful, Simple Test For Cointegration Using Cochrane- Orcutt

1990 • 51 citations

Production and Inventory Control at the General Motors Corporation During the 1920's and 1930's

1993 • 48 citations

Testing the Random Walk Hypothesis: Power Versus Frequency of Observation

1985 • 41 citations

Do Equilibrium Real Business Cycle Theories Explain Postwar U. S. Business Cycles?

1986 • 38 citations

Seasonal adjustment and measuring persistence in output

1990 • 38 citations

A COINTEGRATION APPROACH TO ESTIMATING PREFERENCE PARAMETERS

1989 • 31 citations

A reexamination of the consumption function using frequency domain regressions

1994 • 21 citations

Shock persistence and the measurement of prewar output series

1990 • 20 citations

Money Does Granger-Cause Output in the Bivariate Money—Output Relation

1987 • 15 citations

Econometric Modelling with Cointegrated Variables: an Overview

1991 • 13 citations

Does Gnp Have a Unit Root? a Reevaluation

1986 • 11 citations

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

1990 • 11 citations

A Rexamination of the Consumption Function Using Frequency Domain Regressions

1991 • 7 citations

THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT

1990 • 4 citations