Journal of Econometrics

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Initial conditions and moment restrictions in dynamic panel data models

Richard Blundell, Stephen Bond · 1998 · 21.8K citations

Social Sciences, Economics, Causal Inference +15

Another look at the instrumental variable estimation of error-components models

Manuel Arellano, Olympia Bover · 1995 · 19.6K citations

Social Sciences, Biostatistics, Economics +17

Testing for unit roots in heterogeneous panels

Kyung So Im, M. Hashem Pesaran, Yongcheol Shin · 2003 · 15K citations · Full text

Social Sciences, Economics, Causal Inference +9

Unit root tests in panel data: asymptotic and finite-sample properties

Andrew Levin, Chien‐Fu Lin, Chia-Shang James Chu · 2002 · 12.7K citations

Social Sciences, Economics, Econometrics +13