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

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Sample Selection Bias as a Specification Error

1979 • 27,564 citations

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

1980 • 25,774 citations

Estimation and Inference in Econometrics.

1994 • 5,846 citations

Large sample estimation and hypothesis testing

1986 • 2,387 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

Estimation and Inference in Two-Step Econometric Models

2002 • 1,315 citations

Elements of Econometrics.

1988 • 1,255 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Regression with MissingX's: A Review

1992 • 997 citations

Unanticipated Money Growth and Unemployment in the United States

1977 • 841 citations

Introductory econometrics with applications

1989 • 550 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

Realized Volatility: A Review

2008 • 518 citations

The limits to rational expectations

1989 • 505 citations

Recursive estimation of mixed autoregressive-moving average order

1982 • 491 citations

Term-structure forecasts of interest rates, inflation and real returns

1990 • 464 citations

Diagnostic tests as residual analysis

1983 • 436 citations

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

1977 • 382 citations

Misspecification tests in econometrics

1988 • 378 citations

The econometric analysis of models with risk terms

1988 • 374 citations

A method of moments interpretation of sequential estimators

1984 • 337 citations

Asymptotic Covariance Matrices of Two-Stage Probit and Two-Stage Tobit Methods for Simultaneous Equations Models with Selectivity

1980 • 291 citations

Federal Taxes and Homeownership: Evidence from Time Series

1980 • 233 citations

The Asymptotic Effect of Substituting Estimators for Parameters in Certain Types of Statistics

1982 • 231 citations

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

1974 • 217 citations

ECONOMETRIC ISSUES IN MACROECONOMIC MODELS WITH GENERATED REGRESSORS

1993 • 158 citations

Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure

1976 • 139 citations

A note on a heteroscedastic model

1977 • 131 citations

Persistence, cointegration, and aggregation

1993 • 126 citations

Generalized Least Squares with an Estimated Variance Covariance Matrix

1971 • 93 citations

On the Problem of Missing Data in Linear Models

1981 • 92 citations

A GENERALIZED LEAST‐SQUARES APPROACH FOR ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS

1990 • 76 citations

MICROFIT 3.0. An Interactive Econometric Software Package.

1993 • 75 citations

The identification of ARMA models

1990 • 58 citations

When are two step estimators efficient?

1991 • 54 citations

Asymptotic prediction mean squared error for vector autoregressive models

1979 • 52 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

Two-Step Estimation of Linear Models With Ordinal Unobserved Variables: The Case of Corporate Bonds

1990 • 47 citations

Lagged Endogenous Variables and the Cochrane-Orcutt Procedure

1981 • 44 citations

UNANTICIPATED MONEY GROWTH AND OUTPUT FLUCTUATIONS

1979 • 42 citations

FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS

1989 • 40 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

An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model

1992 • 37 citations

The Efficiency of the Two-Step Estimator

1972 • 36 citations

Secondary Data Analysis when there are Missing Observations

1992 • 35 citations

Properties of ordinary least squares estimators in regression models with nonspherical disturbances

1992 • 34 citations

The Asymptotic Distribution of Dynamic Multipliers

1973 • 34 citations

Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors

1981 • 33 citations

The Cochrane-Orcutt procedure numerical examples of multiple admissible minima

1980 • 24 citations

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

1989 • 24 citations

Efficient Estimation: The Rao‐Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares*

1992 • 23 citations

Imputing a continuous income variable from a bracketed income variable with special attention to missing observations

1991 • 18 citations

The Relationship Between Wage Inflation and Excess Demand — New Estimates Using Optimal Extrapolative Wage Expectations*

1977 • 17 citations

An introduction to econometrics

1987 • 17 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

On the robustness of Barro's new classical unemployment model

1993 • 12 citations

Estimation in a linear model with serially correlated errors when observations are missing

1997 • 10 citations

Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations

1991 • 10 citations

Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations

1998 • 9 citations

SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS

1990 • 8 citations

Recursive estimation and generated regressors

1992 • 8 citations

AN ECONOMETRIC ANALYSIS OF A CAPITAL GAINS TAX ON LAND

1987 • 7 citations

Estimation of a simple class of multivariate rational expectations models: A test of the new classical model at a sectoral level

1991 • 6 citations

A note on estimating regression coefficients with missing data

1992 • 5 citations

Two-Step and Related Estimators in Contemporary Rational-Expectations Models: An Analysis of Small-Sample Properties

1991 • 5 citations

The properties of some two step estimators of ARMA Models

1997 • 4 citations

Computation of the GLS estimator of a model with anticipated and unanticipated effects

1994 • 3 citations

The performance of alternative estimators in models with generated regressors when the expectations equation has reduced explanatory power

1995 • 2 citations