Price and volatility linkages between international REITs and oil markets

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

Business, Economics, Econometrics +12

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

Bootstrap Methods: Another Look at the Jackknife

B. Efron · The Annals of Statistics · 1979 · 17.4K citations · Full text

Public Health, Biostatistics, Statistical Computing +15

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Pierre Perrón · Econometrica · 1989 · 7.7K citations

Social Sciences, Economics, Econometrics +16

Statistical inference in vector autoregressions with possibly integrated processes

Hiro Y. Toda, Taku Yamamoto · Journal of Econometrics · 1995 · 5.9K citations

Natural Sciences, Biostatistics, Econometrics +13