Oil price shocks and stock markets: testing for non-linearity

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Tests for Parameter Instability and Structural Change With Unknown Change Point

Donald W. K. Andrews · Econometrica · 1993 · 4.3K citations

Management, Business Economics, Change Measurement +14

Oil and the Macroeconomy since World War II

James D. Hamilton · Journal of Political Economy · 1983 · 3.8K citations

Social Sciences, Economics, Resource Economics +17

A test for independence based on the correlation dimension

W. A. Broock, J. A. Scheinkman, W. Davis Dechert et al. · Econometric Reviews · 1996 · 3.5K citations

Computing, Biostatistics, Econometrics +14

Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis

James B. Ramsey · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1969 · 3.3K citations

Social Sciences, Economics, Econometrics +14