Concepedia
Pacific-Basin Finance Journal · 2012 · 25 citations · 16 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsInternational FinanceCapital MarketsInternational Financial MarketsStock MarketsForeign Institutional Investor InfluenceIndividual Investor PerformanceInstitutional Determinants Of InvestmentInvestor Trading Behavior
16
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
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Søren Johansen · Econometrica · 1991 · 11.2K citations
Social Sciences, Economics, Econometrics +14
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
Donald W. K. Andrews, Werner Ploberger · Econometrica · 1994 · 2.5K citations
Numerical distribution functions of likelihood ratio tests for cointegration
James G. MacKinnon, Alfred A. Haug, Leo Michelis · Journal of Applied Econometrics · 1999 · 2K citations
Social Sciences, Business Economics, Economics +12