Statistical Analysis of Econometric Models

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

The American Economic Review

2012 • 14,436 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Theory of probability

1939 • 6,981 citations

Rational Expectations and the Theory of Price Movements

1961 • 5,518 citations

Econometric policy evaluation: A critique

1976 • 5,457 citations

MONEY, INCOME, AND CAUSALITY

1972 • 3,059 citations

Time Series Analysis, Forecasting and Control.

1971 • 2,995 citations

"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule

1975 • 2,222 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Forecasting Economic Time Series

2000 • 1,898 citations

An Introduction to Bayesian Inference in Econometrics.

1972 • 1,749 citations

Econometric policy evaluation: A critique

1976 • 1,179 citations

Distributed Lags: A Survey

1967 • 721 citations

Time series analysis and simultaneous equation econometric models

1974 • 660 citations

Causality in temporal systems

1977 • 617 citations

Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo

1978 • 595 citations

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

1959 • 583 citations

Some Properties of a Modification of the Limited Information Estimator

1977 • 408 citations

The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy

1972 • 397 citations

Hypothesis Testing in Time Series Analysis.

1951 • 356 citations

Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model

1977 • 343 citations

A Distributed Lag Estimator Derived from Smoothness Priors

1973 • 303 citations

The Analysis of Multiple Time Series.

1958 • 281 citations

Some comments on the evaluation of economic forecasts

1973 • 270 citations

Studies in Bayesian Econometrics and Statistics

1975 • 250 citations

Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series

1977 • 241 citations

Distributed Lags: Problems of Estimation and Formulation

1983 • 219 citations

The Identification Problem for Multiple Equation Systems with Moving Average Errors

1971 • 194 citations

Multiple Time Series Analysis and the Final Form of Econometric Models

1977 • 189 citations

Hypothesis testing in time series analysis

1954 • 175 citations

Econometric Models of Cyclical Behaviour.

1973 • 167 citations

Econometric Estimators and the Edgeworth Approximation

1976 • 162 citations

Economic Estimators and the Edgeworth Approximation

1977 • 147 citations

Modelling Macroeconomic Time Series

1976 • 141 citations

Finite-Sample Properties of the k-Class Estimators

1972 • 125 citations

The Predictive Performance of Quarterly Econometric Models of the United States

1972 • 117 citations

An Economic Theory of Monetary Reform

1980 • 114 citations

Estimation of functions of population means and regression coefficients including structural coefficients

1978 • 110 citations

Bayesian Limited Information Analysis of the Simultaneous Equations Model

1976 • 104 citations

Chapter 9 Bayesian analysis of simultaneous equation systems

1983 • 103 citations

Effect of temporal aggregation on the dynamic relationship of two time series variables

1976 • 102 citations

Judging the Performance of Econometric Models of the U.S. Economy

1975 • 97 citations

The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey

1975 • 91 citations

Systems simulation for regional analysis: an application to river-basin planning.

1969 • 89 citations

Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency

1980 • 88 citations

Econometric Models of Cyclical Behavior.

1975 • 79 citations

Exogeneity and Causal Ordering in Macroeconomic Models

1976 • 76 citations

Forecasting aggregates of independent Arima processes

1977 • 76 citations

Studies in Bayesian Econometrics and Statistics. In Honor of Leonard J. Savage.

1976 • 73 citations

A Statistical Analysis of Provisional Estimates of Gross National Product and its Components, of Selected National Income Components, and of Personal Saving

1958 • 73 citations

Time Series versus Structural Models: A Case Study of Canadian Manufacturing Inventory Behavior

1975 • 72 citations

Price-Level Stickiness and the Feasibility of Monetary Stabilization Policy with Rational Expectations

1977 • 71 citations

Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency

1973 • 68 citations

Rational Expectations and the Estimation of Econometric Models

1975 • 66 citations

Forecasting Daily Hog Prices and Quantities: A Study of Alternative Forecasting Techniques

1970 • 62 citations

Conflict Among Testing Procedures in a Linear Regression Model with Autoregressive Disturbances

1976 • 59 citations

Stochastic Specification in an Aggregate Demand Model of the United Kingdom

2000 • 56 citations

A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data

1971 • 55 citations

Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models

1979 • 49 citations

Studies in Bayesian Econometrics and Statistics, In honor of Leonard J. Savage

1976 • 47 citations

Asymptotic Expansions of the Distributions of Estimates in Simultaneous Equations for Alternative Parameter Sequences

1977 • 47 citations

Rational expectations and the econometric modeling of markets subject to uncertainty

1975 • 47 citations

Finite Sample Monte Carlo Studies: An Autoregressive Illustration

1967 • 44 citations

Posterior and Predictive Densities for Simultaneous Equation Models

1973 • 42 citations

A Test of an Econometric Model for the United States, 1921-1947

1951 • 40 citations

Time-Series Analysis of the German Hyperinflation

1978 • 39 citations

Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods

1973 • 39 citations

On univariate time series methods and simultaneous equation econometric models

1977 • 36 citations

Econometrics and Decision Theory

1972 • 35 citations

Seasonal Adjustment and Multiple Time Series Analysis

1978 • 34 citations

On the existence of moments of the partially restricted reduced-form estimators from a simultaneous-equation model

1977 • 34 citations

The mean square error of a combined estimator and numerical comparison with the TSLS estimator

1973 • 34 citations

The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model

1978 • 33 citations

Bayesian theory of identification in simultaneous equations models

1974 • 32 citations

Alternative Investment Models for Firms in the Electric Utilities Industry

1974 • 32 citations

Econometrics and decision theory

1987 • 31 citations

Time series and structural analysis of monetary models of the U.S. economy

1975 • 31 citations

Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts

1977 • 30 citations

Bayesian Full Information Structural Analysis

1971 • 27 citations

Bayesian Estimation of Box–Jenkins Transfer Function-Noise Models

1973 • 27 citations

Some Aspects of the Aggregation Problem in the Dividend-Earnings Relationship

1972 • 27 citations

Bayesian Full Information Analysis of Simultaneous Equations

1976 • 26 citations

Some Comments on “Bayes” Estimators

1973 • 25 citations

Finite Sample Analysis of Misspecification in Simultaneous Equation Models

1980 • 25 citations

Posterior Odds for the Hypothesis of Independence between Stochastic Regressors and Disturbances

1982 • 24 citations

The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series

1978 • 22 citations

A Statistical Analysis of Provisional Estimates of Gross National Product and its Components, of Selected National Income Components, and of Personal Saving

1958 • 20 citations

A classified bibliography of Monte Carlo studies in econometrics

1973 • 18 citations

Finite Sample Analysis of Misspecification in Simultaneous Equation Models

1980 • 18 citations

Forecasting Daily Hog Prices and Quantities: A Study of Alternative Forecasting Techniques

1970 • 15 citations

Testing the dynamic specification of an econometric model with an application to Belgian data

1976 • 13 citations

Some Comments on "Bayes" Estimators

1973 • 13 citations

A Note on the Relationship of Minimum Expected Loss (MELO) and Other Structural Coefficient Estimates

1980 • 12 citations

Causality Characterizations: Bivariate, Trivariate, and Multivariate Propositions

1976 • 12 citations

Simultaneous equations : a Bayesian approach

1971 • 10 citations

On testing hypothesis in simultaneous equation models

1974 • 7 citations

BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo

1976 • 2 citations

A TIME-SERIES TEST OF THE NATURAL-RATE HYPOTHESIS

1980 • 2 citations