Two-step two-stage least squares estimation in models with rational expectations

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

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

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

Computing, Economics, Econometrics +15

Specification Tests in Econometrics

Jerry A. Hausman · Econometrica · 1978 · 18.4K citations

Social Sciences, Economics, Causal Inference +15

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.9K citations

Natural Sciences, Mathematics, Probability Theory +15

Macroeconomics and Reality

Christopher A. Sims · Econometrica · 1980 · 12.7K citations

Social Sciences, Economics, Econometrics +8