TESTS OF UNIT ROOTS AND COINTEGRATION HYPOTHESES IN ECONOMETRIC MODELS

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

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

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

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

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Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations

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

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14