Diagnostic test for structural change in cointegrated regression models

Statistical Inference in Instrumental Variables Regression with I(1) Processes

Peter C.B. Phillips, Bruce E. Hansen · The Review of Economic Studies · 1990 · 4.6K citations

Asymptotically Efficient Estimation of Cointegration Regressions

Pentti Saikkonen · Econometric Theory · 1991 · 1.2K citations

Econometric Model, Economics, Parameter Estimation +14

Optimal Inference in Cointegrated Systems

Peter C.B. Phillips · Econometrica · 1991 · 1.1K citations

Parameter Estimation, Engineering, Full System Estimation +18

Tests for Parameter Instability in Regressions with 1(1) Processes

Bruce E. Hansen · Journal of Business and Economic Statistics · 1992 · 946 citations

Empirical Finance, Engineering, Robustness Testing +20

Multiple Time Series Regression with Integrated Processes

P. C. B. Phillips, Steven N. Durlauf · The Review of Economic Studies · 1986 · 841 citations

Engineering, Economic Fluctuation, General Asymptotic Theory +19