1. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
   Other versions:
   • Dean Corbea & Sam Ouliaris & Peter C.B. Phillips, 1991. "A Reexamination of the Consumption Function Using Frequency Domain Regressors," Cowles Foundation Discussion Papers 997, Cowles Foundation, Yale University. [Downloadable!]
   • Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1991. "A Rexamination of the Consumption Function Using Frequency Domain Regressions," Working Papers 91-25, University of Iowa, Department of Economics.
2. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January. [Downloadable!] (restricted)
3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
   Other versions:
   • Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
4. Peter C.B. Phillips & Mico Loretan, 1989. "Estimating Long Run Economic Equilibria," Cowles Foundation Discussion Papers 928, Cowles Foundation, Yale University. [Downloadable!]
   Other versions:
   • Phillips, Peter C B & Loretan, Mico, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 407-36, May. [Downloadable!] (restricted)
5. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
   Other versions:
   • Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation, Yale University, revised Jul 1989. [Downloadable!]
6. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
7. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
   Other versions:
   • James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
8. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December. [Downloadable!] (restricted)
   Other versions:
   • Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation, Yale University. [Downloadable!]
9. Peter C.B. Phillips, 1988. "Spectral Regression for Cointegrated Time Series," Cowles Foundation Discussion Papers 872, Cowles Foundation, Yale University. [Downloadable!]
10. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation, Yale University, revised Apr 1989. [Downloadable!]
11. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September. [Downloadable!] (restricted)
12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)

Cited by:
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1. Jae-Young Kim, 2000. "The Generalized Method of Moments in the Bayesian Framework and a Model of Moment Selection Criterion," Econometric Society World Congress 2000 Contributed Papers 1779, Econometric Society. [Downloadable!]
2. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 533-548, April. [Downloadable!] (restricted)
3. Pablo A. Guerron, 2006. "Time-Dependent Portfolio Adjustment: Yet Another Look at the Dynamics," Working Paper Series 006, North Carolina State University, Department of Economics, revised Aug 2006. [Downloadable!]
4. Croix,David,de la & Urbain,Jean-Pierre, 1996. "Intertemporal substitution in import demand and habit formation ," Research Memoranda 003, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
   Other versions:
   • de la Croix, David & Urbain, Jean-Pierre, 1996. "Intertemporal Substitution in Import Demand and Habit Formation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1996002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
   • David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612. [Downloadable!]
5. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
   Other versions:
   • Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July. [Downloadable!] (restricted)
6. Cheng Hsiao & Siyan Wang, 2006. "Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models," IEPR Working Papers 06.55, Institute of Economic Policy Research (IEPR). [Downloadable!]
   Other versions:
   • Cheng Hsiao & Siyan Wang, 2007. "Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 49-81, 03. [Downloadable!] (restricted)
7. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University. [Downloadable!]