References

• 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
• 2012The Econometrics of Financial Markets5,875 cited
• 1997The Econometrics of Financial Markets5,007 cited
• 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
• 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
• 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
• 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
• 1988Permanent and Temporary Components of Stock Prices3,036 cited
• 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
• 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
• 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
• 1984Stock Prices and Social Dynamics1,615 cited
• 1999Predictive regressions1,614 cited
• 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
• 2006Stock Return Predictability: Is it There?1,295 cited