Structural Breaks, Cointegration and the Fisher Effect

Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.6K citations

Social Sciences, Economics, Econometrics +9

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

Pierre Perrón · Econometrica · 1989 · 7.7K citations

Social Sciences, Economics, Econometrics +16

Estimating and Testing Linear Models with Multiple Structural Changes

Jushan Bai, Pierre Perrón · Econometrica · 1998 · 6K citations · Full text

Social Sciences, Economics, Change Measurement +13

A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

James H. Stock, Mark W. Watson · Econometrica · 1993 · 4.9K citations

Social Sciences, Business Economics, Economics +8

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

Computing, Economics, Econometrics +15