Econometric Evaluation of Asset Pricing Models

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

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Convex Analysis

1970 • 9,645 citations

Robust Statistics

1981 • 6,585 citations

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

1989 • 5,821 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Martingale Limit Theory and its Application.

1984 • 2,982 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

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

1991 • 1,765 citations

A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

1989 • 1,675 citations

Simulation and the Asymptotics of Optimization Estimators

1989 • 1,536 citations

Core and Equilibria of a Large Economy.

1975 • 1,275 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

Arbitrage and equilibrium in economies with infinitely many commodities

1981 • 513 citations

Martingales and Arbitrage in Securities Markets with Transaction Costs

1995 • 458 citations

On the functional central limit theorem for stationary processes

2000 • 423 citations

An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications

1995 • 423 citations

Simulation estimation of time-series models

1991 • 418 citations

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

1991 • 292 citations

On the central limit theorem for stationary processes

1974 • 256 citations

Analog estimation methods in econometrics

1988 • 243 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Measurement of Market Integration and Arbitrage

1995 • 206 citations

A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

1985 • 184 citations

New Ways to Prove Central Limit Theorems

1985 • 159 citations

Economic equilibrium with costly marketing

1970 • 156 citations

The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

1991 • 139 citations

Topics in Regression Analysis.

1970 • 131 citations

A Simple Econometric Approach for Utility‐Based Asset Pricing Models

1985 • 128 citations

Asset Pricing Explorations for Macroeconomics

1992 • 111 citations

Diagnosing Asset Pricing Models Using the Distribution of Asset Returns

1991 • 103 citations

Concavity and Estimation

1989 • 89 citations

Using Generalized Method of Moments to Test Mean-Variance Efficiency

1991 • 77 citations

Valuation of Risky Assets in Arbitrage Free Economies with Frictions

1986 • 72 citations

Hansen–Jagannathan Bounds as Classical Tests of Asset-Pricing Models

1994 • 71 citations

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

1994 • 66 citations

Viable prices in financial markets with solvency constraints

1995 • 56 citations

A Simple Econometric Approach for Utility-Based Asset Pricing Models

1985 • 32 citations

Diagnosing Asset Pricing Models Using the Distribution of Asset Returns

1991 • 28 citations

Market Frictions and Consumption-Based Asset Pricing

1994 • 26 citations

Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models

1994 • 19 citations