Integration between Forex and Capital Markets in India: An Empirical Exploration

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

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

Social Sciences, Economics, Causal Inference +8

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations

Business, Economics, Econometrics +15

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

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14