The equity premium and the risk-free rate

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.9K citations

Natural Sciences, Mathematics, Probability Theory +15

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

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

Time to Build and Aggregate Fluctuations

Finn E. Kydland, Edward C. Prescott · Econometrica · 1982 · 5.9K citations

Computing, Economics, Financial Economics +5

The equity premium: A puzzle

Rajnish Mehra, Edward C. Prescott · Journal of Monetary Economics · 1985 · 5.8K citations

Business, Economics, Finance +12