Two-step two-stage least squares estimation in models with rational expectations

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

Macroeconomics and Reality

1980 • 12,249 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Formulating and estimating dynamic linear rational expectations models

1980 • 845 citations

Estimation and Control of a Macroeconomic Model with Rational Expectations

1979 • 645 citations

Consistent Autoregressive Spectral Estimates

1974 • 598 citations

Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates

1976 • 449 citations

Economic Forecasts and Policy

1962 • 437 citations

Econometric Implications of the Rational Expectations Hypothesis

1980 • 436 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

The nonlinear two-stage least-squares estimator

1974 • 361 citations

Instrumental Variables Regression with Independent Observations

1982 • 339 citations

What do Economists Know? An Empirical Study of Experts' Expectations

1981 • 313 citations

Econometrics: Statistical Foundations and Applications

1972 • 287 citations

The Estimation of Partial Adjustment Models with Rational Expectations

1979 • 275 citations

The Efficient Estimation of Econometric Models with Rational Expectations

1982 • 251 citations

Econometrics: Statistical Foundations and Applications.

1971 • 239 citations

Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments

1983 • 214 citations

Economic Forecasts and Policy.

1960 • 186 citations

Central limit theorems for time series regression

1973 • 127 citations

Instrumental variables procedures for estimating linear rational expectations models

1982 • 108 citations

Dynamic factor demand schedules for labor and capital under rational expectations

1980 • 82 citations

On the Efficiency of Three-Stage Least-Squares Estimation

1964 • 79 citations

On the structure of moving average processes

1977 • 65 citations

A pitfall in estimation of models with rational expectations

1980 • 43 citations

Analysis of Regressions Containing Serially Correlated and Serially Uncorrelated Error Components

1980 • 17 citations

Estimation of Macroeconometric Models Under Rational Expectations: A Survey

1980 • 6 citations