The size and power of the variance ratio test in finite samples

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

1980 • 25,774 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 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

Testing for a unit root in time series regression

1988 • 17,004 citations

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

1987 • 15,268 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1979 • 8,550 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

Spectral Analysis and Time Series

1983 • 5,140 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

Expected stock returns and volatility

1987 • 4,291 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence

1978 • 3,343 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

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

1970 • 2,117 citations

How Big Is the Random Walk in GNP?

1988 • 1,326 citations

Stock Prices and Social Dynamics

1984 • 1,274 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 1,071 citations

On a Measure of Lack of Fit in Time Series Models

1978 • 926 citations

Optimal Properties of Exponentially Weighted Forecasts

1960 • 888 citations

Are Output Fluctuations Transitory?

1987 • 771 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

Tests for Unit Roots: A Monte Carlo Investigation

1989 • 640 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Nonlinear Regression with Dependent Observations

1984 • 465 citations

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

1983 • 456 citations

An empirical investigation of the long-run behavior of real exchange rates

1987 • 422 citations

Testing For Unit Roots: 1

1981 • 406 citations

Testing the random walk hypothesis

1985 • 362 citations

Regression Theory for Near-Integrated Time Series

1988 • 359 citations

The Use of Volatility Measures in Assessing Market Efficiency*

1981 • 347 citations

Does the Stock Market Rationally Reflect Fundamental Values?

1986 • 336 citations

Optimal Properties of Exponentially Weighted Forecasts

1960 • 272 citations

Testing for Unit Roots: 2

1984 • 255 citations

Testing the adequacy of a time series model

1979 • 175 citations

The Use of Volatility Measures in Assessing Market Efficiency

1981 • 117 citations

Some robust exact results on sample autocorrelations and tests of randomness

1985 • 105 citations

The Stochastic Structure of the Velocity of Money

1974 • 75 citations

Testing the autoregressive parameter with the t statistic

1985 • 73 citations

The Calculation of the Limiting Distribution of the Least Squares Estimator of the Parameter in a Random Walk Model

1981 • 54 citations

Estimating the Variances of Autocorrelations Calculated from Financial Time Series

1984 • 33 citations

Tests of Joint Hypotheses for Time Series Regression with a Unit Root

1986 • 12 citations

Regression Theory for Near-Integrated Time Series

1987 • 10 citations

Deviations from random-walk behavior: tests based on the variance-time function

1987 • 3 citations