Title	Publication Date	Language	Citations
Multivariate Simultaneous Generalized ARCH	1995/02/01	English	407
PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS	2004/06/01	English	261
TESTING FOR TREND	2007/09/06	English	192
Which Moments to Match?	1996/10/01	English	143
Testing Identifiability and Specification in Instrumental Variable Models	1993/04/01	English	131
Stationarity and Persistence in the GARCH(1,1) Model	1990/09/01	English	92
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL	2003/01/31	English	86
Asymptotically Efficient Estimation of Cointegration Regressions	1991/03/01	English	80
Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator	1994/03/01	English	78
UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES	1999/12/01	English	70
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS	2002/02/01	English	70
Inference in Models with Nearly Integrated Regressors	1995/10/01	English	59
TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS	2002/05/15	English	56
Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity	1997/04/01	English	55
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY	2005/02/01	English	53
Estimating Multiple Breaks One at a Time	1997/06/01	English	51
UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA	2008/02/26	English	45
MODEL SELECTION AND INFERENCE: FACTS AND FICTION	2005/02/01	English	44
STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS	1998/02/01	English	43
Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data	1988/08/01	English	41
Markov Chain Monte Carlo Simulation Methods in Econometrics	1996/08/01	English	41
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION	2009/06/01	English	40
GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS	2000/12/01	English	37
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS	2009/10/01	English	37
VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES	2009/06/01	English	36
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES	1999/06/01	English	35
Convergence to Stochastic Integrals for Dependent Heterogeneous Processes	1992/12/01	English	35
CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE	1998/06/01	English	35
Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables	1988/12/01	English	34
Optimal Prediction Under Asymmetric Loss	1997/12/01	English	33