Reducing the size distortions of the panel LM Test for cointegration

Statistical Inference in Instrumental Variables Regression with I(1) Processes

Peter C.B. Phillips, Bruce E. Hansen · The Review of Economic Studies · 1990 · 4.8K citations

Social Sciences, Economics, Causal Inference +11

Automatic Lag Selection in Covariance Matrix Estimation

Whitney K. Newey, Kenneth D. West · The Review of Economic Studies · 1994 · 3.3K citations

Social Sciences, Business Economics, Economics +11

Asymptotically Efficient Estimation of Cointegration Regressions

Pentti Saikkonen · Econometric Theory · 1991 · 1.3K citations

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A residual-based test of the null of cointegration in panel data

Suzanne McCoskey, Chihwa Kao · Econometric Reviews · 1998 · 676 citations

Social Sciences, Economics, Econometrics +16

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

Yongcheol Shin · Econometric Theory · 1994 · 540 citations

Social Sciences, Economics, Econometrics +10