Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited

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

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

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Pierre Perrón · Econometrica · 1989 · 7.7K citations

Social Sciences, Economics, Econometrics +16

A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics¹

Michael Osterwald‐Lenum · Oxford Bulletin of Economics and Statistics · 1992 · 2.6K citations

Social Sciences, Economics, Mathematics +12