Inference in Nonlinear Econometric Models with Structural Change

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

1987 • 15,268 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 citations

The behavior of maximum likelihood estimates under nonstandard conditions

1967 • 4,602 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Asymptotic Properties of Non-Linear Least Squares Estimators

1969 • 1,334 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Note on the Consistency of the Maximum Likelihood Estimate

1949 • 1,114 citations

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

1988 • 518 citations

A Maximal Inequality and Dependent Strong Laws

1975 • 437 citations

The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model

1977 • 415 citations

The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors

1970 • 411 citations

Non-strong mixing autoregressive processes

1984 • 330 citations

Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables

1988 • 305 citations

A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables

1984 • 293 citations

Misspecified models with dependent observations

1982 • 256 citations

Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers

1987 • 249 citations

New Ways to Prove Central Limit Theorems

1985 • 159 citations

On unification of the asymptotic theory of nonlinear econometric models

1982 • 156 citations

On the Invariance Principle for Nonstationary Mixingales

1977 • 149 citations

Asymptotic Results for Generalized Wald Tests

1987 • 142 citations

Models with Several Regimes and Changes in Exogeneity

1980 • 140 citations

Central Limit Theorems for dependent variables. I

1981 • 136 citations

A Unified Theory of Consistent Estimation for Parametric Models

1985 • 94 citations

Model specification testing of time series regressions

1984 • 93 citations

Inference in Econometric Models with Structural Change

1987 • 39 citations

A large-sample chow test for the linear simultaneous equation

1985 • 29 citations

Two-Stage Least-Squares Estimation with Shifts in the Structural Form

1970 • 19 citations

Asymptotic Theory for Econometricians.

1985 • 18 citations

A nearly independent, but non-strong mixing, triangular array

1985 • 13 citations

A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process

1987 • 11 citations