Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests

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

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.6K citations

Error Analysis, Engineering, Finance +15

Bounds testing approaches to the analysis of level relationships

M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith · Journal of Applied Econometrics · 2001 · 18.9K citations

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 · 14K citations

Econometric Model, Monetary Policy, Economics +11

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

Pierre Perrón · Econometrica · 1989 · 7.6K citations

Unit Root Hypothesis, Economics, Macroeconomics +15

Generalized impulse response analysis in linear multivariate models

M. Hashem Pesaran, Yongcheol Shin · Economics Letters · 1998 · 5.9K citations

Multidimensional Analysis, Multivariate Approximation, Linear Multivariate Models +3