References

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• 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
• 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
• 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
• 1987Time Series Regression with a Unit Root2,821 cited
• 1991Optimal Inference in Cointegrated Systems1,110 cited
• 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
• 2000Structural analysis of vector error correction models with exogenous I(1) variables797 cited
• 2003Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand*789 cited
• 2010Parametric and Nonparametric Volatility Measurement520 cited
• 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
• 2002Temporal Aggregation and the Power of Cointegration Tests: a Monte Carlo Study*377 cited
• 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
• 1984CONTINUOUS TIME STOCHASTIC MODELS AND ISSUES OF AGGREGATION OVER TIME208 cited
• 1991