Evidence on Structural Instability in Macroeconomic Time Series Relations

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

1980 • 25,774 citations

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1990 • 3,965 citations

The Federal funds rate and the channels of monetary transmission

1992 • 2,837 citations

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

1994 • 2,512 citations

The accuracy of extrapolation (time series) methods: Results of a forecasting competition

1982 • 1,444 citations

The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds

1996 • 1,174 citations

Stochastic Complexity and Modeling

1986 • 959 citations

Policy Analysis with Econometric Models

1982 • 714 citations

The Cusum Test with Ols Residuals

1992 • 593 citations

Tests for Parameter Instability in Regressions with I(1) Processes

1992 • 534 citations

Unit roots, structural breaks and trends

1986 • 472 citations

Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates

1993 • 324 citations

Optimal changepoint tests for normal linear regression

1996 • 310 citations

Estimation in the Presence of Stochastic Parameter Variation

1976 • 308 citations

Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

1960 • 258 citations

Testing for the Constancy of Parameters Over Time

1989 • 214 citations

Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures

1996 • 204 citations

Forecasting and conditional projection using realistic prior distributions

1983 • 150 citations

Forecasting turning points in international output growth rates using Bayesian exponentially weighted autoregression, time-varying parameter, and pooling techniques

1991 • 150 citations

Dynamic Specification

2000 • 137 citations

An Adaptive Regression Model

1973 • 134 citations

A Nine Variable Probabilistic Macroeconomic Forecasting Model

1989 • 128 citations

A Bayesian Approach To Estimation Of Time-Varying Regression Coefficients

1973 • 94 citations

Recursive forecasting, smoothing and seasonal adjustment of non‐stationary environmental data

1991 • 93 citations

Random and changing coefficient models

1984 • 92 citations

Economic structural change: Analysis and forecasting

1992 • 85 citations

A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series

1984 • 77 citations

16 Varying coefficient regression

1985 • 65 citations

Tests of an Adaptive Regression Model

1973 • 60 citations

A Nine-Variable Probabilistic Macroeconomic Forecasting Model

1993 • 42 citations

Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model

1996 • 40 citations

A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series

1984 • 32 citations

The combining of forecasts using recursive techniques with non‐stationary weights

1989 • 28 citations

A comparison of adaptive structural forecasting methods for electricity sales

1988 • 26 citations

A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES

1986 • 19 citations

The Estimation of Stationary Stochastic Regression Parameters Reexamined

1972 • 17 citations

Estimation and prediction under structural instability: The case of the U.S. pulp and paper market

1984 • 9 citations

On predictive least squares principles

1993 • 8 citations

Stability Analysis Using Kalman Filtering, Scoring, EM, and an Adaptive EM method

1991 • 7 citations

Statistical Analysis of “Structural Change”: An Annotated Bibliography

1989 • 7 citations

Fixed versus time‐varying transfer functions for modelling business cycles

1993 • 6 citations