Residual autocorrelation testing for vector error correction models

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

Søren Johansen · Econometrica · 1991 · 11K citations

Volatility Modeling, Likelihood Analysis, Cointegration Vectors +16

Introduction to Multiple Time Series Analysis

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

Multiple Time Series, Forecasting Methodology, Engineering +12

The Multivariate Portmanteau Statistic

J. R. M. Hosking · Journal of the American Statistical Association · 1980 · 486 citations

Multivariate Portmanteau Statistic, Engineering, Financial Time Series Analysis +10

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

Pentti Saikkonen · Econometric Theory · 1992 · 477 citations

Econometric Model, Economics, Finance +13

VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Gregory C. Reinsel, Sung K. Ahn · Journal of Time Series Analysis · 1992 · 444 citations

And Forecasting, Econometric Model, Economic Forecasting +14