Oil prices and the rise and fall of the US real exchange rate

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Error Analysis, Engineering, Finance +15

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David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 22.7K citations · Full text

Autoregressive Time Series, Regression Estimator, Economics +14

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Economics, Backtesting, New Tests +13

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Empirical Finance, Volatility Modeling, Economics +13

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.4K citations

Autoregressive Time Series, Financial Time Series Analysis, Unit Root +4