Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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

1980 • 25,774 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Aspects of Multivariate Statistical Theory

1984 • 3,514 citations

Martingale Limit Theory and its Application.

1984 • 2,982 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Time Series: Data Analysis and Theory.

1976 • 2,796 citations

The Statistical Analysis of Time Series.

1995 • 2,128 citations

Multiple time series

1970 • 1,885 citations

Non-Parametric Estimation of a Multivariate Probability Density

1969 • 1,717 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

The Commutation Matrix: Some Properties and Applications

1979 • 533 citations

A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models.

1988 • 518 citations

Nonlinear Regression with Dependent Observations

1984 • 465 citations

On Consistent Estimates of the Spectrum of a Stationary Time Series

1957 • 365 citations

Automatic Smoothing of the Log Periodogram

1980 • 239 citations

Limit Theorems for Regressions with Unequal and Dependent Errors

1967 • 238 citations

Inference in Nonlinear Econometric Models with Structural Change

1988 • 214 citations

Testing for cointegration using principal components methods

1988 • 188 citations

DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE

1987 • 142 citations

Basic Considerations in the Estimation of Spectra

1962 • 84 citations

A data-based algorithm for choosing the window width when estimating the density at a point

1983 • 84 citations

Asymptotically Optimum Kernels for Density Estimation at a Point

1981 • 77 citations

A remark on serial correlation in maximum likelihood

1983 • 43 citations

Estimation of the Covariance Matrix of the Least-Squares Regression Coefficients When the Disturbance Covariance Matrix Is of Unknown Form

1991 • 28 citations

Efficient estimation of tail-area probabilities in sampling experiments

1981 • 16 citations

AN AUTOMATIC NON‐PARAMETRIC SPECTRUM ESTIMATOR

1987 • 7 citations

A note on consistent estimation of heteroskedastic and autocorrelated covariance matrices

1988 • 3 citations