A Unified Approach to Robust, Regression-Based Specification Tests

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

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

1980 • 7,455 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Several Tests for Model Specification in the Presence of Alternative Hypotheses

1981 • 1,821 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

A note on studentizing a test for heteroscedasticity

1981 • 567 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

Diagnostic tests as residual analysis

1983 • 436 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

Nonlinear Regression on Cross-Section Data

1980 • 375 citations

Chapter 13 Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 318 citations

Testing for multiplicative heteroskedasticity

1978 • 283 citations

On Optimal Asymptotic Tests of Composite Statistical Hypotheses

1967 • 279 citations

Misspecified models with dependent observations

1982 • 256 citations

Advances in Econometrics

1987 • 232 citations

Quasi-maximum likelihood estimation of dynamic models with time varying covariances

1988 • 168 citations

Specification testing in dynamic models

2008 • 126 citations

Assessing the Variability of Inflation

1983 • 95 citations

Probability and Statistics.

1960 • 88 citations

Heteroskedasticity-Robust Tests in Regression Directions

1985 • 73 citations

A heteroscedasticity-consistent covariance matrix estimator for time series regressions

1983 • 54 citations

Asymptotic properties of econometric estimators

1986 • 29 citations

Probability and Statistics

2014 • 27 citations

EFFICIENT ESTIMATION OF SEMIPARAMETRIC MODELS VIA MOMENT RESTRICTIONS

1990 • 16 citations

Specification Testing and Quasi-Maximum Likelihood Estimation

1987 • 5 citations

A regression based Lagrange Multiplier statistic that is robust in the presence of heteroskedasticity

1987 • 5 citations