Comparisons of tests for multivariate cointegration

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

Statistical analysis of cointegration vectors

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

Business, Economics, Econometrics +13

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics · 1990 · 14.1K citations

Social Sciences, Economics, Econometrics +6

The theory and practice of econometrics

Journal of Macroeconomics · 1986 · 4.4K citations

Social Sciences, Business Economics, Economics +10

Asymptotic Properties of Residual Based Tests for Cointegration

P. C. B. Phillips, Sam Ouliaris · Econometrica · 1990 · 2K citations

Social Sciences, Economics, Econometrics +12