The importance of common cyclical features in VAR analysis: a Monte-Carlo study

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

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Engineering, Data Science, Financial Time Series Analysis +9

Time Series Analysis

David E. Booth · Technometrics · 1997 · 3.2K citations

Engineering, Mathematical Symbols, Applied Econometrics +16

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

Stephen Beveridge, Charles R. Nelson · Journal of Monetary Economics · 1981 · 2.3K citations

Economics, Macroeconomics, Transitory Components +10

Production, growth and business cycles

Robert G. King, Charles I. Plosser, Sérgio Rebelo · Journal of Monetary Economics · 1988 · 2.2K citations

Productivity, Economics, Macroeconomics +8