Finance research letters · 2023 · 25 citations · 16 references
BusinessFinanceFinancial EconometricsInternational FinanceForeign Exchange MarketsInternational Financial IntegrationInternational Financial MarketsStochastic VolatilityVolatility AnalysisVolatility ModelingTime Series Volatility ModelingVolatility Decomposition
16
Testing for a unit root in time series regression
Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Pierre Perrón · Econometrica · 1989 · 7.7K citations
Efficient Tests for an Autoregressive Unit Root
Graham Elliott, Thomas J. Rothenberg, James H. Stock · Econometrica · 1996 · 5.6K citations
Computing, Economics, Econometrics +15