Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model

Forecasting, Structural Time Series Models and the Kalman Filter

1991 • 5,040 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1990 • 3,965 citations

Time Series: Data Analysis and Theory.

1976 • 2,796 citations

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

1994 • 2,512 citations

Detrending, stylized facts and the business cycle

1993 • 1,209 citations

Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes

1960 • 1,112 citations

Tests for Parameter Instability in Regressions with 1(1) Processes

1992 • 984 citations

Testing for the Constancy of Parameters over Time

1989 • 827 citations

Handbook of Econometrics.

1985 • 815 citations

Time Series: Data Analysis and Theory.

1982 • 661 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

Tests for Parameter Instability in Regressions with I(1) Processes

1992 • 534 citations

Handbook of Econometrics.

1987 • 510 citations

Unit roots, structural breaks and trends

1986 • 472 citations

Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series

1991 • 434 citations

Optimal changepoint tests for normal linear regression

1996 • 310 citations

Estimation in the Presence of Stochastic Parameter Variation

1976 • 308 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 300 citations

Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative

1988 • 198 citations

Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model

1983 • 183 citations

Evidence on Structural Instability in Macroeconomic Time Series Relations

1996 • 179 citations

Some identification and estimation results for regression models with stochastically varying coefficients

1980 • 161 citations

Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model

1985 • 136 citations

An Adaptive Regression Model

1973 • 134 citations

Testing for a Moving Average Unit Root

1990 • 131 citations

Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle

1983 • 129 citations

ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL

1990 • 104 citations

A Bayesian Approach To Estimation Of Time-Varying Regression Coefficients

1973 • 94 citations

Random and changing coefficient models

1984 • 92 citations

Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary

1991 • 76 citations

Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle

1996 • 71 citations

16 Varying coefficient regression

1985 • 65 citations

Tests of an Adaptive Regression Model

1973 • 60 citations

Testing for deterministic trend and seasonal components in time series models

1983 • 58 citations

AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL

1988 • 57 citations

Point Optimal Tests for Testing the Order of Differencing in ARIMA Models

1993 • 57 citations

The Estimation of Stationary Stochastic Regression Parameters Reexamined

1972 • 42 citations

Tests for Seasonal Moving Average Unit Root in ARIMA Models

1997 • 41 citations

Distribution of the ML Estimator of an MA(1) and a local level model

1993 • 25 citations

Reinterpreting a Temporally Aggregated Consumption CAP Model

1991 • 11 citations

Reinterpreting a Temporally Aggregated Consumption CAP Model

1991 • 5 citations

Deleted Work

1955 • 0 citations