Estimating a common deterministic time trend break in large panels with cross sectional dependence

Estimating and Testing Linear Models with Multiple Structural Changes

Jushan Bai, Pierre Perrón · Econometrica · 1998 · 6K citations · Full text

Social Sciences, Economics, Change Measurement +13

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

Computing, Economics, Econometrics +15

A PANIC Attack on Unit Roots and Cointegration

Jushan Bai, Serena Ng · Econometrica · 2004 · 1.9K citations

Social Sciences, Economics, Econometrics +16

Linear Regression Limit Theory for Nonstationary Panel Data

Peter C.B. Phillips, Hyungsik Roger Moon · Econometrica · 1999 · 1.4K citations

Social Sciences, Economics, Econometrics +15

Asymptotics for Linear Processes

Peter C.B. Phillips, Victor Solo · The Annals of Statistics · 1992 · 913 citations · Full text

Natural Sciences, Mathematics, Econometrics +8