Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

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What do Economists Know? An Empirical Study of Experts' Expectations

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Two-step two-stage least squares estimation in models with rational expectations

1983 • 259 citations

Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

1992 • 240 citations

Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments

1983 • 214 citations

A Variance Bounds Test of the Linear Quadratic Inventory Model

1986 • 145 citations

A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model

1996 • 44 citations

Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors

1996 • 28 citations

A generalized variance bounds test with an application to the Holt et al. inventory model

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A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model

1996 • 15 citations