Title	Publication Date	Language	Citations
Time series analysis and simultaneous equation econometric models	1974/05/01	English	320
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities	2011/01/01	English	319
Jump-robust volatility estimation using nearest neighbor truncation	2012/07/01	English	318
Doubly robust difference-in-differences estimators	2020/11/01	English	314
A spatio-temporal model of house prices in the USA	2010/09/01	English	312
Semiparametric analysis of discrete response	1985/03/01	English	312
A generalization of the beta distribution with applications	1995/03/01	English	306
Selection of estimation window in the presence of breaks	2007/03/01	English	304
Identification of the long-run and the short-run structure an application to the ISLM model	1994/07/01	English	304
Testing the null hypothesis of stationarity against the alternative of a unit root	1992/10/01	English	303
Jackknife model averaging	2012/03/01	English	302
Estimating long-run relationships from dynamic heterogeneous panels	1995/07/01	English	301
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading	2011/06/01	English	301
Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?	2008/10/01	English	300
Estimating panel data models in the presence of endogeneity and selection	2010/08/01	English	300
Interpreting the evidence on money-income causality	1989/01/01	English	297
Econometric duration analysis	1984/01/01	English	295
A consistent test of functional form via nonparametric estimation techniques	1996/12/01	English	295
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series	2016/07/01	English	294
Quantile cointegration in the autoregressive distributed-lag modeling framework	2015/09/01	English	294
An exact likelihood analysis of the multinomial probit model	1994/09/01	English	293
Instrumental variable quantile regression: A robust inference approach	2008/01/01	English	292
Dynamic panels with threshold effect and endogeneity	2016/12/01	English	292
Testing the adequacy of smooth transition autoregressive models	1996/09/01	English	291
Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis	2006/11/01	English	291
Non-parametric analysis of a generalized regression model	1987/07/01	English	290
Stochastic volatility with leverage: Fast and efficient likelihood inference	2007/10/01	English	286
Exploiting the errors: A simple approach for improved volatility forecasting	2016/05/01	English	283
A simple multiple variance ratio test	1993/08/01	English	282
Limit theory for moderate deviations from a unit root	2007/01/01	English	275