Non performing loans (NPLs) in a crisis economy: Long-run equilibrium analysis with a real time VEC model for Greece (2001–2015)

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.7K citations

Economics, Backtesting, New Tests +13

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

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 16.8K citations

Empirical Finance, Volatility Modeling, Economics +13

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.6K citations

Financial Time Series Analysis, Cointegration Vectors, Business +3

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics · 1990 · 14K citations

Econometric Model, Monetary Policy, Economics +11

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 5.9K citations

Econometric Model, Overall Tests, Engineering +11