An estimation of U.S. gasoline demand: A smooth time-varying cointegration approach

Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.6K citations

Computing, Economics, Econometrics +15

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

Computing, Economics, Econometrics +15

LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

Serena Ng, Pierre Perrón · Econometrica · 2001 · 4K citations

Computing, Data Science, A/b Testing +14

Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results

Knut Anton Mork · Journal of Political Economy · 1989 · 1.6K citations

Social Sciences, Economics, Energy Economics +9

Canonical Cointegrating Regressions

Joon‐Young Park · Econometrica · 1992 · 1.3K citations

Social Sciences, Economics, Econometrics +9