Bayesian analysis of the error correction model

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 49.6K citations · Full text

Parameter Estimation, Engineering, Parameter Identification +16

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

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.6K citations

Error Analysis, Engineering, Finance +15

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.6K citations

Financial Time Series Analysis, Cointegration Vectors, Business +3

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

Søren Johansen · Econometrica · 1991 · 11K citations

Volatility Modeling, Likelihood Analysis, Cointegration Vectors +16

Probability and Measure.

PE, P. Billingsley · Journal of the American Statistical Association · 1996 · 6.7K citations

Measure Theory, Random Variables, Engineering +14