Small-Sample Properties of ARCH Estimators and Tests

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

1980 • 7,455 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

1951 • 3,595 citations

Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis

1969 • 3,017 citations

The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

1959 • 583 citations

Using Least Squares to Approximate Unknown Regression Functions

1980 • 571 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

1954 • 542 citations

A New Test for Heteroskedasticity

1969 • 524 citations

Some Estimators for a Linear Model With Random Coefficients

1968 • 504 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Monte carlo experimentation in econometrics

1984 • 196 citations

The moment structure of ARCH processes

1985 • 165 citations

The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators

1967 • 155 citations

Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study

1972 • 117 citations

On the behavior of inconsistent instrumental variable estimators

1982 • 103 citations

Regression Analysis When the Variance of the Dependent Variable is Proportional to the Square of its Expectation

1973 • 86 citations

A reply to Professors Maasoumi and Phillips

1982 • 79 citations

A Comparative Monte Carlo Study of the Properties of Econometric Estimators

1975 • 36 citations

Simulating the Small-Sample Properties of Econometric Estimators

1972 • 34 citations

Deleted Work

1955 • 0 citations