articleTop 1% cited
Forecasting and testing in co-integrated systems
Journal of Econometrics · 1987 · Vol. 35(1) · pp. 143–159
Robert F. Engle✉(University of California, San Diego)Byung Sam Yoo(University of California, San Diego)
Monetary Policy and Economic ImpactMarket Dynamics and VolatilityForecasting Techniques and ApplicationsVector autoregressionEconometricsAutoregressive modelGranger causalityMathematicsForecast errorLimitingBayesian vector autoregressionStatisticsEngineering
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References
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Journal of the American Statistical Association · 1979 · 22,774 citations
Macroeconomics and Reality
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Introduction to Statistical Time Series
Technometrics · 1978 · 4,319 citations
Some properties of time series data and their use in econometric model specification
Journal of Econometrics · 1981 · 2,383 citations
Co-Integration and Error Correction: Representation, Estimation, and Testing
Econometrica · 1987 · 31,692 citations
Understanding spurious regressions in econometrics
Journal of Econometrics · 1986 · 1,781 citations
Testing for unit roots in autoregressive-moving average models of unknown order
Biometrika · 1984 · 3,186 citations
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Journal of the American Statistical Association · 1979 · 9,000 citations
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