Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.6K citations

Error Analysis, Engineering, Finance +15

Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.4K citations

Unit Root, Null Hypothesis

PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

Peter Pedroni · Econometric Theory · 2004 · 6.3K citations

Econometric Model, Economics, Lining Wan +15

Efficient Tests for an Autoregressive Unit Root

Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.5K citations

Economics, Engineering, Backtesting +13

The Purchasing Power Parity Puzzle

Kenneth Rogoff · Journal of Economic Literature · 1996 · 2.9K citations

Economics, Macroeconomics, Power Parity +10