ECONOMETRIC ISSUES IN MACROECONOMIC MODELS WITH GENERATED REGRESSORS

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

1987 • 15,268 citations

Frontiers in Econometrics

1975 • 8,241 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 citations

Expectations and the neutrality of money

1972 • 4,734 citations

Techniques for Testing the Constancy of Regression Relationships Over Time

1975 • 4,552 citations

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

1951 • 3,595 citations

Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence

1978 • 3,343 citations

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

1969 • 3,017 citations

Theory of the Consumption Function

1957 • 2,616 citations

Some International Evidence on Output-Inflation Tradeoffs.

1973 • 2,466 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

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

1975 • 2,222 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Several Tests for Model Specification in the Presence of Alternative Hypotheses

1981 • 1,821 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 1,730 citations

Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

1978 • 1,361 citations

Estimation and Inference in Two-Step Econometric Models

2002 • 1,315 citations

Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables

1970 • 1,179 citations

An Equilibrium Model of the Business Cycle

1975 • 1,045 citations

Real Wages, Employment, and Inflation

1969 • 1,020 citations

Unanticipated Money Growth and Unemployment in the United States

1977 • 841 citations

Unanticipated Money, Output, and the Price Level in the United States

1978 • 669 citations

Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s

1981 • 488 citations

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. I

1950 • 488 citations

Estimation and Inference in Two-Step Econometric Models

1985 • 448 citations

The Limits to Rational Expectations.

1988 • 417 citations

A Rational Expectations Approach to Macroeconometrics

1983 • 409 citations

What Economics Is Most Important to Teach: The Hansen Committee Report

1977 • 382 citations

Does Anticipated Monetary Policy Matter? An Econometric Investigation

1982 • 294 citations

Two Stage and Related Estimators and Their Applications

1985 • 270 citations

Alternative procedures and associated tests of significance for non-nested hypotheses

1981 • 241 citations

Tests of non-nested regression models

1983 • 209 citations

The Macroeconomics of DR Pangloss A Critical Survey of the New Classical Macroeconomics

1980 • 202 citations

Price Inertia and Policy Ineffectiveness in the United States, 1890-1980

1982 • 201 citations

Interpreting econometric evidence

1981 • 181 citations

The role of money supply shocks in the short-run demand for money

1981 • 163 citations

Surprises in the Consumption Function

1983 • 146 citations

Alternative procedures for converting qualitative response data to quantitative expectations: An application to Australian manufacturing

1995 • 120 citations

The Business Test of the IFO-Institute for Economic Research, Munich, and Its Theoretical Model

1952 • 119 citations

On the Time Shape of Economic Microvariables and the Munich Business Test

1952 • 118 citations

The Estimation of "Surprise" Models and the "Surprise" Consumption Function

1986 • 117 citations

On the Time Shape of Economic Microvariables and the Munich Business Test

1992 • 115 citations

Inflation Uncertainty and the Phillips Curve: Some Empirical Evidence

1980 • 108 citations

Unemployment, Industrial Production, and Inflation Uncertainty in the United States

1980 • 108 citations

Macroeconometric testing of the rational expectations and structural neutrality hypotheses for the United States

1980 • 86 citations

Anticipated Money, Inflation Uncertainity and Real Economic Activity

1982 • 85 citations

A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis

1982 • 83 citations

Rational Expectations and Economic Policy.

1981 • 79 citations

On Efficient Estimation and Correct Inference in Models with Generated Regressors: a General Approach

1997 • 79 citations

Relative efficiency of count of sign changes for assessing residual autoregression in least squares regression

1970 • 72 citations

Macroeconomic Analysis: Essays in macroeconomics and econometrics

2015 • 55 citations

Monetary anticipations and the demand for money

1984 • 54 citations

When are two step estimators efficient?

1991 • 54 citations

Tests of rationality, neutrality and market efficiency

1984 • 52 citations

Two-Step Generalized Least Squares Estimators in Multi-Equation Generated Regressor Models

1987 • 51 citations

Unanticipated monetary growth, output and the price level: U.K. 1946–1977

1981 • 48 citations

A quarterly model of unanticipated monetary growth, output and the price level in the U.K. 1963–1978

1981 • 46 citations

Wage stickiness and the non-neutrality of money

1987 • 44 citations

UNANTICIPATED MONEY GROWTH AND OUTPUT FLUCTUATIONS

1979 • 42 citations

An Econometric Investigation of the Monetary Neutrality and Rationality Propositions from an International Perspective

1982 • 39 citations

Newey–West covariance matrix estimates for models with generated regressors

1994 • 38 citations

Cointegration and direct tests of the rational expectations hypothesis

1994 • 38 citations

Monetary anticipations and the demand for money: Reply to MacKinnon and Milbourne

1985 • 37 citations

SOME TESTS OF THE RATIONAL EXPECTATIONS HYPOTHESIS IN THE FOREIGN EXCHANGE MARKET

1983 • 36 citations

On the Policy Ineffectiveness Proposition and a Keynesian Alternative

1988 • 29 citations

Keynesian and New Classical Models of Unemployment Revisited

1991 • 28 citations

Is the Distinction between Anticipated and Unanticipated Money Growth Relevant in Explaining Aggregate Output

1987 • 27 citations

TESTS OF EFFICIENCY AND THE IMPACT OF ‘NEWS’ IN THREE FOREIGN EXCHANGE MARKETS: THE EXPERIENCE OF THE 1920's

1983 • 25 citations

Money and output in Latin America

1984 • 25 citations

ANTICIPATED AND UNANTICIPATED VARIABLES IN THE DEMAND FOR Ml IN THE U.K. *

1989 • 24 citations

On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder

1988 • 23 citations

Unexpected monetary disturbances during the gold standard era

1985 • 23 citations

Monetary anticipation and the demand for money in the U.K.: Testing rationality in the Shock‐Absorber hypothesis

1986 • 22 citations

Supply-Side Macro-Economics

1986 • 18 citations

Money, Anticipated Changes, and Policy Effectiveness

1985 • 15 citations

ON THE EFFECTS OF MISSPECIFICATION ERRORS IN MODELS WITH GENERATED REGRESSORS†

1994 • 15 citations

Monetary anticipations and the demand for money: Some evidence for the U.K.

1987 • 14 citations

The generated regressor correction: Impacts upon inferences in hypothesis testing

1989 • 12 citations

Unanticipated Inflation and Real Output: The Canadian Evidence

1985 • 12 citations

New Results in Support of the Fiscal Policy Ineffectiveness Proposition

1990 • 11 citations

Unanticipated Monetary Policy and Real Output — Some evidence from the Uk Economy

1988 • 11 citations

Output and Unanticipated Money in the Dependent Economy Model

1987 • 11 citations

Unanticipated monetary growth, output, and the price level in Latin America

1989 • 11 citations

Unanticipated Money Growth, Interest Rate Volatility, and Unemployment in the United States

1987 • 10 citations

Recursive estimation and generated regressors

1992 • 8 citations

‘News’ and the 1920's experience with floating exchange rates

1985 • 8 citations

Unanticipated inflation and economic activity

1982 • 7 citations

Anticipated monetary policy and real output: evidence from Latin American countries

1991 • 7 citations

The policy ineffectiveness proposition

1987 • 6 citations

The effects on output of anticipated and unanticipated money growth: a case study of an oil-producing country

1991 • 5 citations

Non-nested tests of new classical versus Keynesian models: further evidence

1991 • 5 citations

DO PRICES LEAD MONEY? A REEXAMINATION OF THE NEUTRALITY HYPOTHESIS

1989 • 4 citations

Comment

1991 • 4 citations

The Singapore dollar: tests of the efficient markets hypothesis and the role of ‘news’

1987 • 4 citations

Unanticipated Money Growth, Unemployment, Output and the Price Level in the United Kingdom: 1946-1977

1982 • 3 citations

Contemporary macroeconomic modelling

1985 • 3 citations

Money and disaggregate supply in the United States, 1950–1982

1987 • 3 citations

Anticipated Money and Real Output in Italy: Some Tests of a Rational Expectation Approach

1985 • 3 citations

Unanticipated Money Growth and Unemployment: Post-Sample Forecasts

1986 • 3 citations

A non-nested test of the new classical neutrality proposition for Canada

1986 • 2 citations

Comment: Cross-Country Tests of the Lucas Proposition Revisited

1991 • 2 citations