Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

Estimating the Dimension of a Model

1978 • 43,634 citations

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

1987 • 15,268 citations

The equity premium: A puzzle

1985 • 5,686 citations

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

1989 • 4,242 citations

Survey of current business

1921 • 2,225 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Specification Searches: Ad Hoc Inference with Non-Experimental Data.

1981 • 1,125 citations

The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

1987 • 1,016 citations

Semi-Nonparametric Maximum Likelihood Estimation

1987 • 926 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

Modeling the term structure of interest rates under non-separable utility and durability of goods

1986 • 315 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

1990 • 98 citations

Estimating the Continuous-Time Consumption-Based Asset-Pricing Model

1987 • 88 citations

Solving Nonlinear Rational Expectations Models: A Stochastic Equilibrium Model of Interest Rates

1990 • 31 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics.

1993 • 26 citations

Habit formation: a resolution of the equity premium puzzle

1990 • 20 citations

International Evidence on Monetary Factors in Macroeconomic Fluctuations

1980 • 14 citations

Empirical tests of the utility-based asset pricing model using temporally aggregated twentieth century data

1988 • 3 citations