On the Presence of Speculative Bubbles in Stock Prices

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Specification Tests in Econometrics

1978 • 17,234 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis

1969 • 3,017 citations

The Determination of the Order of an Autoregression

1979 • 2,841 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

The Present-Value Relation: Tests Based on Implied Variance Bounds

1981 • 1,402 citations

Stock Prices and Social Dynamics

1984 • 851 citations

Explosive Rational Bubbles in Stock Prices

1988 • 714 citations

The Determinants of the Variability of Stock Market Prices

1981 • 624 citations

Variance Bounds Tests and Stock Price Valuation Models

1986 • 497 citations

A Specification Test for Speculative Bubbles

1987 • 475 citations

Dividend variability and variance bounds tests for the rationality of stock market prices

1983 • 456 citations

Rational Expectations and Econometric Practice

1984 • 380 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation

1988 • 295 citations

The observable implications of self-fulfilling expectations

1985 • 262 citations

Formulating Wald Tests of Nonlinear Restrictions

1985 • 241 citations

A Remark on Hausman's Specification Test

1982 • 164 citations

On the Formulation of Wald Tests of Nonlinear Restrictions

1988 • 161 citations

Some Properties of Tests for Specification Error in a Linear Regression Model

1977 • 139 citations

Asset Price Volatility, Bubbles, and Process Switching

1986 • 103 citations

The Bonferroni and the Scheffe Multiple Comparison Procedures

1980 • 89 citations

On Testing for Self-Fulfilling Speculative Price Bubbles

1986 • 88 citations

Obtaining any Wald statistic you want

1986 • 85 citations

Differencing as a Test of Specification

1982 • 84 citations

The Great Bull Markets 1924-29 and 1982-87: Speculative Bubbles or Economic Fundamentals?

1987 • 51 citations

A Simplified Version of the Differencing Test

1985 • 41 citations

A Comparison of Several Specification Error Tests for a General Alternative

1989 • 27 citations

Comparing specification tests and classical tests

1980 • 25 citations

Bubbles and Stock-Price Volatility

1990 • 5 citations