Short-term and long-term interest rate spread’s dynamics to risk and the yield curve

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.6K citations

Error Analysis, Engineering, Finance +15

Bounds testing approaches to the analysis of level relationships

M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith · Journal of Applied Econometrics · 2001 · 18.9K citations

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

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.4K citations

Autoregressive Time Series, Financial Time Series Analysis, Unit Root +4

Discretion versus policy rules in practice

John B. Taylor · Carnegie-Rochester Conference Series on Public Policy · 1993 · 9K citations

Policy Management, Public Policy, Government Regulation +2