17 Generalized method of moments: Econometric applications

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations

1991 • 30,298 citations

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

1980 • 25,774 citations

Specification Tests in Econometrics

1978 • 17,234 citations

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

The equity premium: A puzzle

1985 • 5,686 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Estimating Vector Autoregressions with Panel Data

1988 • 4,029 citations

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

1978 • 3,343 citations

The Estimation of Economic Relationships using Instrumental Variables

1958 • 3,174 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

Estimation of Dynamic Models with Error Components

1981 • 2,290 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Habit Formation: A Resolution of the Equity Premium Puzzle

1990 • 2,223 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

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

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

Simulation and the Asymptotics of Optimization Estimators

1989 • 1,536 citations

Intertemporal Substitution in Consumption

1988 • 1,533 citations

Asymptotic Theory for Econometricians.

1988 • 1,473 citations

Multivariate regression models for panel data

1982 • 1,231 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

1992 • 1,119 citations

Canonical Cointegrating Regressions

1992 • 1,081 citations

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

1991 • 1,054 citations

Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations

1990 • 954 citations

International Evidence on the Historical Properties of Business Cycles

1991 • 856 citations

Formulating and estimating dynamic linear rational expectations models

1980 • 845 citations

Unanticipated Money Growth and Unemployment in the United States

1977 • 841 citations

Asymptotic efficiency in estimation with conditional moment restrictions

1987 • 761 citations

Statistical Inference in Regressions with Integrated Processes: Part 1

1988 • 703 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

Generalized method of moments specification testing

1985 • 624 citations

A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

1988 • 621 citations

Estimation of Dynamic Labor Demand Schedules under Rational Expectations

1978 • 611 citations

Asymptotic Theory for Econometricians

1984 • 602 citations

Money and Interest in a Cash-in-Advance Economy

1987 • 567 citations

Testing the Rationality of Price Forecasts: New Evidence from Panel Data

1990 • 528 citations

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

1988 • 518 citations

A Specification Test for Speculative Bubbles

1987 • 475 citations

Labor Hoarding and the Business Cycle

1993 • 468 citations

Rational expectations and econometric practice

1982 • 458 citations

An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications

1995 • 423 citations

Simulation estimation of time-series models

1991 • 418 citations

An Empirical Analysis of Life Cycle Fertility and Female Labor Supply

1988 • 410 citations

Exchange rates and international macroeconomics

1984 • 403 citations

Dynamic Factor Demands and the Effects of Energy Price Shocks

1983 • 384 citations

Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

1994 • 376 citations

The Distribution of the Instrumental Variables Estimator and Its $t$-Ratio When the Instrument is a Poor One

1990 • 363 citations

Dividend Innovations and Stock Price Volatility

1988 • 363 citations

The nonlinear two-stage least-squares estimator

1974 • 361 citations

Habit persistence and durability in aggregate consumption

1991 • 350 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

Intertemporal Substitution in Macroeconomics

1985 • 341 citations

Efficient Instrumental Variables Estimation of Nonlinear Models

1990 • 339 citations

A method of moments interpretation of sequential estimators

1984 • 337 citations

Hall's consumption hypothesis and durable goods

1982 • 316 citations

Modeling the term structure of interest rates under non-separable utility and durability of goods

1986 • 315 citations

Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data

1986 • 313 citations

Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

1987 • 299 citations

On the Estimation of Panel-Data Models With Serial Correlation When Instruments Are Not Strictly Exogenous

1992 • 285 citations

Two Stage and Related Estimators and Their Applications

1985 • 270 citations

Inflation and Asset Returns in a Monetary Economy

1992 • 266 citations

The Interaction Between Time-Nonseparable Preferences and Time Aggregation

1993 • 256 citations

Risk premiums in the term structure

1989 • 251 citations

Formulating Wald Tests of Nonlinear Restrictions

1985 • 241 citations

Additive Preferences

1960 • 241 citations

Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

1992 • 222 citations

The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data

1985 • 216 citations

On tests of representative consumer asset pricing models

1990 • 215 citations

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

1983 • 214 citations

Inference in Nonlinear Econometric Models with Structural Change

1988 • 214 citations

Comment: Sequential Moment Restrictions in Panel Data

1992 • 213 citations

Household Choices in Equilibrium

1990 • 209 citations

The Seasonal Cycle and the Business Cycle

1989 • 208 citations

A Method of Generating Best Asymptotically Normal Estimates with Application to the Estimation of Bacterial Densities

1958 • 207 citations

Rational Expectations, Econometric Exogeneity, and Consumption

1978 • 190 citations

Intertemporal Preferences and Labor Supply

1988 • 189 citations

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

1985 • 184 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

The Demand for Money during Hyperinflations under Rational Expectations: I

1977 • 176 citations

On the Formulation of Wald Tests of Nonlinear Restrictions

1988 • 161 citations

Linear Rational Expectations Models for Dynamically Interrelated Variables

1980 • 159 citations

Seasonality and Consumption‐Based Asset Pricing

1992 • 156 citations

The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives

1989 • 156 citations

Rational Expectations Econometrics

2019 • 154 citations

Econometric issues in the analysis of equilibrium business cycle models

1988 • 150 citations

Life-Cycle Labor Supply with Human Capital Accumulation

1989 • 145 citations

Multiperiod Probit Models and Orthogonality Condition Estimation

1983 • 141 citations

Adaptive estimation of regression models via moment restrictions

1988 • 137 citations

Engel's Law and Cointegration

1992 • 135 citations

On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous

1992 • 133 citations

A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator

1990 • 117 citations

The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities

1983 • 111 citations

Instrumental variables procedures for estimating linear rational expectations models

1982 • 108 citations

The Permanent Income Hypothesis Revisited

1991 • 105 citations

Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data

1990 • 103 citations

Comment: Sequential Moment Restrictions in Panel Data

1992 • 103 citations

Rational expectations and the smoothing properties of inventories of finished goods

1984 • 101 citations

Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations

1977 • 100 citations

Asset Pricing Explorations for Macroeconomics

1992 • 94 citations

Managerial Compensation and the Cost of Moral Hazard

2000 • 93 citations

Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions

1988 • 78 citations

Are consumption-based intertemporal capital asset pricing models structural?

1990 • 78 citations

The production-smoothing model is alive and well

1989 • 78 citations

On the economics and econometrics of seasonality

2008 • 77 citations

Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption

1986 • 72 citations

Estimating the Continuous-Time Consumption-Based Asset-Pricing Model

1987 • 68 citations

A note on Wiener-Kolmogorov prediction formulas for rational expectations models

1981 • 64 citations

Testing specifications of economic agents' intertemporal optimum problems in the presence of alternative models

1985 • 60 citations

15 Some aspects of generalized method of moments estimation

1993 • 59 citations

Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models

1991 • 57 citations

Intertemporal asset-pricing relationships in barter and monetary economies An empirical analysis

1990 • 57 citations

Efficient Estimation of Nonlinear Simultaneous Equations with Additive Disturbances

1974 • 54 citations

On Regular Best Asymptotically Normal Estimates

1956 • 51 citations

Seigniorage and the welfare cost of inflation

1992 • 50 citations

Money in the Utility Function: An Empirical Implementation

1986 • 47 citations

On the Economic and Econometrics of Seasonality

1990 • 46 citations

PRACTITIONERS CORNER: Post‐Sample Prediction Tests for Generalized Method of Moments Estimators

1989 • 42 citations

Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics

1991 • 39 citations

Inference in Econometric Models with Structural Change

1987 • 39 citations

Nonlinear Statistical Models

1988 • 36 citations

Dynamic Models with Fixed Effects

1984 • 36 citations

Deep Structral Excavation? A Critique of Euler Equation Methods

1983 • 36 citations

Seigniorage and the Welfare Cost of Inflation: Evidence from an Intertemporal Model of Money and Consumption

1991 • 35 citations

Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns

1998 • 34 citations

Seemingly Unrelated Canonical Cointegrating Regressions

1991 • 32 citations

Unit Roots in Macroeconometrics: A Survey

1993 • 28 citations

Aggregation Over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time

1983 • 24 citations

On Cash-in-Advance Models of Money Demand and Asset Pricing

1991 • 22 citations

Testing nonnested Euler conditions with quadrature-based methods of approximation

1990 • 21 citations

Hypothesis Testing and Finite Sample Properties of Generalized Method of Moments Estimators: A Monte Carlo Study

1990 • 19 citations

Testing between Competing Models of Real Business Cycles

1991 • 16 citations

18 Testing for heteroskedasticity

1993 • 16 citations

Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption: A Correction

1989 • 14 citations

Estimation of linear rational expectations models, in the presence of deterministic terms

1989 • 14 citations

Testing for Heteroskedasticity

1991 • 13 citations

Human Capital, Aggregate Shocks, and Panel Data Estimation

1991 • 12 citations

Efficiency bound calculations for a time series model, with conditional heteroskedasticity

1991 • 9 citations

On Formulating Wald Tests of Nonlinear Restrictions

1984 • 8 citations

Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns

1996 • 6 citations

Exchange-Rate Dynamics with Sticky Prices: The Deutsche Mark, 1974-1982

1989 • 6 citations

Generalized Predictive Tests and Structural Change Analysis in Econometrics

1992 • 5 citations

An econometric analysis of the intertemporal general-equilibrium approach to exchange rate and current account determination

1989 • 5 citations

The Permanent Income Hypothesis When the Bliss Point is Stochastic

1991 • 3 citations

Comment

1992 • 2 citations