Testing for short- and long-run causality: A frequency-domain approach

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

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

Social Sciences, Economics, Econometrics +9

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

Social Sciences, Economics, Causal Inference +8

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

Business, Economics, Econometrics +13

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

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14

Statistical inference in vector autoregressions with possibly integrated processes

Hiro Y. Toda, Taku Yamamoto · Journal of Econometrics · 1995 · 5.9K citations

Natural Sciences, Biostatistics, Econometrics +13