Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen

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

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.3K citations

Forecasting Methodology, Volatility Modeling, Engineering +17

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

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.6K citations

Financial Time Series Analysis, Cointegration Vectors, Business +3