Predictive ability with cointegrated variables

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

Business, Economics, Econometrics +13

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

Søren Johansen · Econometrica · 1991 · 11.2K citations

Social Sciences, Economics, Econometrics +14

Empirical exchange rate models of the seventies

Richard Meese, Kenneth Rogoff · Journal of International Economics · 1983 · 4.2K citations

Social Sciences, Economics, Finance +12

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 2.4K citations

Public Health, Economics, Causal Inference +15