Journal of Economic Dynamics and Control · 1994 · 137 citations · 10 references
Social SciencesEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsCointegration AnalysisInterest Rate DeterminationInterest Rate ModelingRegime-switching ModelsStationarity AnalysisTime Series EconometricsInterest Rate Term StructureInterest Rate Volatility ModelingRegime Change DetectionRegime-switching Interest Rate ModelsSwitching Vector AutoregressionVector AutoregressionVector Autoregressive Models
10
Statistical analysis of cointegration vectors
Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations
Business, Economics, Econometrics +13
Inference in Linear Time Series Models with some Unit Roots
Christopher A. Sims, James H. Stock, Mark W. Watson · Econometrica · 1990 · 2.6K citations
Cointegration and Tests of Present Value Models
John Y. Campbell, Robert J. Shiller · Journal of Political Economy · 1987 · 2.1K citations