A new statistic and practical guidelines for nonparametric Granger causality testing

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

Social Sciences, Economics, Causal Inference +8

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

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

A test for independence based on the correlation dimension

W. A. Broock, J. A. Scheinkman, W. Davis Dechert et al. · Econometric Reviews · 1996 · 3.5K citations

Computing, Biostatistics, Econometrics +14

The Stationary Bootstrap

Dimitris N. Politis, Joseph P. Romano · Journal of the American Statistical Association · 1994 · 2.4K citations

Natural Sciences, Biostatistics, Econometrics +13