Forecasting performance of seasonal cointegration models

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

Seasonal integration and cointegration

Svend Hylleberg, Robert F. Engle, C.W.J. Granger et al. · Journal of Econometrics · 1990 · 1.5K citations

Macroeconomics, Financial Integration, Business +4

Maximum likelihood inference on cointegration and seasonal cointegration

Hahn Shik Lee · Journal of Econometrics · 1992 · 196 citations

Econometric Model, Economics, Business +5

Likelihood analysis of seasonal cointegration

Søren Johansen, Ernst Schaumburg · Journal of Econometrics · 1999 · 163 citations

Engineering, Likelihood Analysis, Exchange Rate Movement +3

Cointegration in a macroeconomic system

Robert M. Kunst, Klaus Neusser · Journal of Applied Econometrics · 1990 · 80 citations

Macroeconomic Forecasting, Applied Econometrics, Economic Fluctuation +19