Specification testing in Markov-switching time-series models

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

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

1980 • 7,455 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Analysis of time series subject to changes in regime

1990 • 1,948 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties

1985 • 1,446 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

1990 • 1,006 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

A Markov model for switching regressions

1973 • 810 citations

An Analysis of the Real Interest Rate Under Regime Shifts

1996 • 798 citations

Large sample tests of statistical hypotheses concerning several parameters with applications to problems of estimation

1948 • 696 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

Maximum-Likelihood Estimation of Parameters Subject to Restraints

1958 • 596 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models.

1988 • 518 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

Advances in Econometrics

1987 • 232 citations

An introduction to stochastic processes and their applications

1993 • 200 citations

On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships

1986 • 199 citations

Monte carlo experimentation in econometrics

1984 • 196 citations

The Hamilton model with a general autoregressive component: estimation and comparison with other models of economic time series

1990 • 164 citations

Computer Generation of Normal Random Variables

1976 • 162 citations

An Introduction to Stochastic Processes and Their Applications.

1994 • 153 citations

A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions

1991 • 150 citations

Testing Linear and Log-Linear Regressions for Functional Form

1981 • 141 citations

The small-sample performance of the information-matrix test

1990 • 133 citations

Specification testing in dynamic models

2008 • 126 citations

Serial correlation in latent discrete variable models

1985 • 109 citations

Variable Addition and Lagrange Multiplier Tests for Linear and Logarithmic Regression Models

1988 • 94 citations

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

1989 • 89 citations

Small sample properties of alternative forms of the Lagrange Multiplier test

1983 • 70 citations

A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions

1991 • 58 citations

THE CALCULATION OF THE INFORMATION MATRIX TEST FOR BINARY DATA MODELS

1988 • 54 citations

Computer Generation of Normal Random Variables

1976 • 44 citations

Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations

2016 • 43 citations

Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses

1991 • 32 citations

Business cycles, financial crises, and stock volatility

1989 • 24 citations

IMF policy advice, market volatility, commodity price rules, and other essays

1989 • 14 citations