Comparison of Box—Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models

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

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

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Statistical analysis of cointegration vectors

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

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Søren Johansen · Econometrica · 1991 · 11.2K citations

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A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

James H. Stock, Mark W. Watson · Econometrica · 1993 · 4.9K citations

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Time Series Regression with a Unit Root

P. C. B. Phillips · Econometrica · 1987 · 2.9K citations

Social Sciences, Economics, Econometrics +16