Testing the null of stationarity for multiple time series

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

Social Sciences, Economics, Econometrics +9

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 · 23K citations · Full text

Business, Economics, Econometrics +12

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

Business, Economics, Econometrics +13

Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.6K citations

Social Sciences, Economics, Econometrics +9

An Introduction to Multivariate Statistical Analysis

Robb J. Muirhead, T. W. Anderson · Journal of Business and Economic Statistics · 1986 · 9.3K citations

Natural Sciences, Biostatistics, Statistical Computing +10