Vector Autoregression Publications

Publications in Vector Autoregression

Explore the most influential research papers and scholarly works that have shaped Vector Autoregression. Use the concept filter below to focus on a specific sub-area of research.

Vector Autoregression

1.1K

Publications

145.2K

Citations

Showing yearly statistics from 2000-2026.

Page 1

	Year	Citations
Co-Integration and Error Correction: Representation, Estimation, and Testing Robert F. Engle, C. W. J. Granger Econometrica Error AnalysisEngineeringFinanceMeasurementUncertainty Quantification	1987	31.6K
Regression and time series model selection in small samples Clifford M. Hurvich, Chih‐Ling Tsai Biometrika EngineeringData ScienceBusinessEconometricsBias Correction	1989	6.3K
Statistical inference in vector autoregressions with possibly integrated processes Hiro Y. Toda, Taku Yamamoto Journal of Econometrics EngineeringGaussian ProcessStatistical InferenceEstimation TheoryVector Autoregression	1995	5.8K
Estimating Vector Autoregressions with Panel Data Douglas Holtz‐Eakin, Whitney K. Newey, Harvey S. Rosen Econometrica EngineeringPanel DataEconomic GrowthVector AutoregressionProductivity	1988	4.2K
Modeling and Forecasting Realized Volatility Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Econometrica Forecasting MethodologyVolatility ModelingEngineeringMacroeconomic ForecastingAsset Allocation	2003	3.9K
Time Series Analysis David E. Booth Technometrics EngineeringMathematical SymbolsApplied EconometricsVector AutoregressionTime Series Econometrics	1997	3.2K
Macroeconomic Forecasting Using Diffusion Indexes James H. Stock, Mark W. Watson Journal of Business and Economic Statistics Forecasting MethodologyEconomicsBusiness ForecastingEngineeringEconomic Forecasting	2002	2.6K
Inference in Linear Time Series Models with some Unit Roots Christopher A. Sims, James H. Stock, Mark W. Watson Econometrica Econometric ModelEconomicsParameter EstimationEngineeringUnit Roots	1990	2.6K
Introduction to Multiple Time Series Analysis Ian T. Jolliffe, Helmut Lütkepohl, Helmut Lütkepohl Technometrics Multiple Time SeriesForecasting MethodologyEngineeringFinanceFinancial Time Series Analysis	1993	2K
Testing for Common Trends James H. Stock, Mark W. Watson Journal of the American Statistical Association Multiple Time SeriesEconomicsEngineeringFinanceFinancial Time Series Analysis	1988	1.9K
Time Series Analysis: Univariate and Multivariate Methods Alice Z. Chuang, William W. S. Wei Technometrics Forecasting MethodologyUnivariate AnalysisEngineeringFundamental ConceptsVector Autoregression	1991	1.3K
Are Forecasting Models Usable for Policy Analysis? Christopher Sims Quarterly Review Forecasting MethodologyEngineeringMacroeconomic ForecastingPolicy AnalysisVector Autoregression	1986	1.2K

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