The econometric analysis of models with risk terms

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

1987 • 30,456 citations

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

1980 • 25,774 citations

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

1982 • 19,770 citations

Specification Tests in Econometrics

1978 • 17,234 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Expected stock returns and volatility

1987 • 4,291 citations

On Estimating Regression

1964 • 3,307 citations

The Estimation of Economic Relationships using Instrumental Variables

1958 • 3,174 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Smooth Regression Analysis

1964 • 2,671 citations

Inference in Linear Time Series Models with some Unit Roots

1990 • 2,567 citations

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

1987 • 2,510 citations

Some International Evidence on Output-Inflation Tradeoffs.

1973 • 2,466 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Saving and Uncertainty: The Precautionary Demand for Saving

1968 • 1,324 citations

Multiple Time Series Regression with Integrated Processes

1986 • 857 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

1983 • 574 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Estimates of the Variance of U. S. Inflation Based upon the ARCH Model

1983 • 474 citations

The Economics of Exchange Rates

2004 • 394 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

1987 • 299 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

Kernel estimators of regression functions

2008 • 270 citations

The Efficient Estimation of Econometric Models with Rational Expectations

1982 • 251 citations

Adapting for Heteroscedasticity in Linear Models

1982 • 239 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

Differential Inflationary Expectations and the Variability of the Rate of Inflation: Theory and Evidence

1979 • 196 citations

Long- and short-term interest rates in a risky world

1983 • 190 citations

Uniform Consistency of Kernel Estimators of a Regression Function under Generalized Conditions

1983 • 136 citations

Testing the Efficiency of the Canadian‐U.S. Exchange Market under the Assumption of no Risk Premium

1981 • 130 citations

The Capital Formation Problem in the United States

1979 • 124 citations

The Demand for Quality-adjusted Cash Balances: Price Uncertainty in the U.S. Demand for Money Function

1977 • 117 citations

Non-Parametric Estimation of Econometric Functionals

1988 • 114 citations

Money and the Dispersion of Relative Prices

1981 • 108 citations

Assessing the Variability of Inflation

1983 • 95 citations

Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest: A Reply

1981 • 80 citations

Interest Rates, Inflation, and the Aggregate Consumption Function

1981 • 79 citations

Portfolio Crowding-Out, Empirically Estimated

1985 • 70 citations

Rational Expectations and the Estimation of Econometric Models

1975 • 66 citations

Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest

1979 • 65 citations

Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium

1981 • 64 citations

Aggregate economic activity and the variance of inflation

1985 • 50 citations

Nonparametric Policy Analysis

1989 • 48 citations

Consistency tests for heteroskedastic and risk models

1992 • 26 citations

Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression

1985 • 23 citations

Asymptotic Theory for Econometricians.

1985 • 18 citations

Rational expectations, supply shocks and the stability of the inflation-output tradeoff

1983 • 13 citations

PRICE UNPREDICTABILITY AND MONETARY STANDARDS: A COMMENT ON KLEIN'S MEASURE OF PRICE UNCERTAINTY

1978 • 13 citations

Portfolio Crowding-Out, Empirically Estimated

1985 • 12 citations

Nonparametric Methods in Specification

1986 • 7 citations

Support for rational expectations models with U.S. data

1983 • 2 citations