Are There Rational Speculative Bubbles in REITs?

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 49.6K citations · Full text

Parameter Estimation, Engineering, Parameter Identification +16

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

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 22.7K citations · Full text

Autoregressive Time Series, Regression Estimator, Economics +14

Corporate financing and investment decisions when firms have information that investors do not have

Stewart C. Myers, Nicholas S. Majluf · Journal of Financial Economics · 1984 · 18.8K citations

Investment Decisions, Corporate Risk Management, Financial Management +7

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.7K citations

Economics, Backtesting, New Tests +13