An efficient two-step estimator for the dynamic adjustment model with autoregressive errors

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Time Series Analysis, Forecasting and Control.

1971 • 2,995 citations

Maximum likelihood identification of Gaussian autoregressive moving average models

1973 • 1,183 citations

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

1970 • 1,179 citations

The Fitting of Time-Series Models

1960 • 1,043 citations

Linear statistical inference and its applications

1966 • 750 citations

The asymptotic theory of linear time-series models

1973 • 414 citations

On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix

1963 • 379 citations

EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS

1959 • 370 citations

Distributed Lags: Problems of Estimation and Formulation

1983 • 219 citations

Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series

1964 • 190 citations

The Statistical Analysis of Time Series

1994 • 190 citations

Efficient Estimation of Simultaneous Equation Systems

1964 • 183 citations

Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach

1973 • 166 citations

On Limit Theorems for Quadratic Functions of Discrete Time Series

2010 • 134 citations

On Limit Theorems for Quadratic Functions of Discrete Time Series

1972 • 134 citations

Central limit theorems for time series regression

1973 • 127 citations

Lagged Dependent Variables and Serially Correlated Errors: A Reappraisal of Three-Pass Least Squares

1967 • 123 citations

Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study

1972 • 117 citations

The Role of Approximate Prior Restrictions in Distributed Lag Estimation

1972 • 113 citations

The estimation of mixed moving average autoregressive systems

1969 • 112 citations

Tests for Serial Correlation in Regression Models with Lagged Dependent Variables and Serially Correlated Errors

1973 • 101 citations

Generalized Least Squares with an Estimated Variance Covariance Matrix

1971 • 93 citations

Consistent Estimation of Distributed Lags

1963 • 91 citations

Least squares estimation in dynamic-disturbance time series models

1972 • 84 citations

A Comparative Study of Alternative Estimators in a Distributed Lag Model

1967 • 70 citations

The Role of Approximate Prior Restrictions in Distributed Lag Estimation

1972 • 63 citations

Three-Pass Least Squares: A Method for Estimating Models with a Lagged Dependent Variable

1964 • 52 citations

The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models

1972 • 45 citations

On the Asymptotic Properties of the Maximum-Likelihood Estimate Obtained from Dependent Observations

1971 • 43 citations

The Efficiency of the Two-Step Estimator

1972 • 36 citations

Multiple Equation Systems with Stationary Errors

1973 • 36 citations

On the Asymptotic Properties of Some Two-Step Procedures for Estimating Distributed Lag Models

1972 • 34 citations