A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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

1987 • 30,456 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

1981 • 2,374 citations

The Statistical Analysis of Time Series.

1995 • 2,128 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Threshold Models in Non-linear Time Series Analysis

1983 • 1,541 citations

Are Economic Time Series Asymmetric over the Business Cycle?

1984 • 960 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

Univariate detrending methods with stochastic trends

1986 • 873 citations

A Markov model for switching regressions

1973 • 810 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Trends and Cycles in Macroeconomic Time Series

1985 • 561 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

Is the business cycle characterized by deterministic chaos?

1988 • 421 citations

Life-Cycle Models of Consumption: Is the Evidence Consistent with the Theory?

1986 • 270 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 266 citations

Historical Causes of Postwar Oil Shocks and Recessions

1985 • 260 citations

Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study

1983 • 258 citations

Optimal prediction of cyclical downturns

1982 • 215 citations

An introduction to stochastic processes and their applications

1993 • 200 citations

Output and unemployment dynamics in the United States: 1950–1985

1989 • 197 citations

Measuring Business Cycle Time

1987 • 134 citations

Predicting the Turning Points of a Time Series

1979 • 122 citations

Optimization of Stochastic Systems: Topics in Discrete-Time Dynamics

1989 • 109 citations

Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative

1985 • 96 citations

Time-series segmentation: A model and a method

1983 • 60 citations