References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
• 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1988Testing for a Unit Root in Time Series Regression19,288 cited
• 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
• 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
• 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
• 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1