On the application of robust, regression- based diagnostics to models of conditional means and conditional variances

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

1980 • 25,774 citations

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

1982 • 19,770 citations

Specification Tests in Econometrics

1978 • 17,234 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

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

1980 • 7,455 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

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

1969 • 3,017 citations

Several Tests for Model Specification in the Presence of Alternative Hypotheses

1981 • 1,821 citations

Pseudo Maximum Likelihood Methods: Theory

1984 • 1,366 citations

Tests of Separate Families of Hypotheses

1961 • 844 citations

Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables

1978 • 729 citations

Misspecification Tests in Econometrics

1989 • 643 citations

Consistent Autoregressive Spectral Estimates

1974 • 598 citations

A note on studentizing a test for heteroscedasticity

1981 • 567 citations

Estimation, Inference and Specification Analysis.

1996 • 565 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

Nonlinear Regression with Dependent Observations

1984 • 465 citations

Diagnostic tests as residual analysis

1983 • 436 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

Diagnostic tests for models based on individual data: A survey

1989 • 371 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Tests for model specification in the presence of alternative hypotheses

1983 • 355 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

Model specification tests

1982 • 294 citations

Consequences and Detection of Misspecified Nonlinear Regression Models

1981 • 289 citations

Testing for multiplicative heteroskedasticity

1978 • 283 citations

On Optimal Asymptotic Tests of Composite Statistical Hypotheses

1967 • 279 citations

Quasi-maximum likelihood estimation of dynamic models with time varying covariances

1988 • 168 citations

Testing Linear and Log-Linear Regressions for Functional Form

1981 • 141 citations

Probability and Statistics

1959 • 130 citations

Specification testing in dynamic models

2008 • 126 citations

Tests of specification in econometrics

1984 • 120 citations

Heteroskedasticity-Robust Tests in Regressions Directions

1985 • 80 citations

Consequences and Detection of Misspecified Nonlinear Regression Models

1981 • 73 citations

Heteroskedasticity-Robust Tests in Regression Directions

1985 • 73 citations

The Information Matrix Test for the Linear Model

1987 • 61 citations

Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches.

1990 • 52 citations

An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses

1990 • 44 citations

The Robustness of Some Standard Tests for Autocorrelation and Heteroskedasticity when Both Problems Are Present

1977 • 36 citations

A computationally simple heteroskedasticity and serial correlation robust standard error for the linear regression model

1989 • 29 citations

Discriminating Between Autocorrelation and Misspecification in Regression Analysis: An Alternative Test Strategy

1987 • 25 citations

Specification Testing in Dynamic Models

1998 • 20 citations

Specification Testing and Quasi-Maximum Likelihood Estimation

1987 • 5 citations