Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Engineering, Data Science, Financial Time Series Analysis +9

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.5K citations

Mean Growth Rate, Tractable Approach, Macroeconomic Forecasting +17

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 5.9K citations

Econometric Model, Overall Tests, Engineering +11

A test for independence based on the correlation dimension

W. A. Broock, J. A. Scheinkman, W. Davis Dechert et al. · Econometric Reviews · 1996 · 3.4K citations

Engineering, Statistical Foundation, Time Series Econometrics +17

Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

Bruce E. Hansen · Econometrica · 1996 · 2.3K citations

Conditional Probability Measure, Mathematical Statistic, Standard Test Statistics +16