Specification via model selection in vector error correction models

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 50.7K citations · Full text

Business, Biostatistics, Statistical Modeling +9

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

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14

The Determination of the Order of an Autoregression

E. J. Hannan, Barry G. Quinn · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1979 · 3K citations

Computing, Economics, Time Series Analysis +8

Fitting autoregressive models for prediction

Hirotugu Akaike · Annals of the Institute of Statistical Mathematics · 1969 · 2.5K citations

Computing, Mathematics, Forecasting +11

Introduction to Multiple Time Series Analysis

Ian T. Jolliffe, Helmut Lütkepohl, Helmut Lütkepohl · Technometrics · 1993 · 2K citations

Business, Economics, Econometrics +16