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Small-Sample Properties of GMM-Based Wald Tests
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References

  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1985Indivisible labor and the business cycle2,011 cited
  • 1986Theory ahead of business-cycle measurement1,663 cited
  • 1990Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations978 cited
  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • 1994Factor Hoarding and the Propagation of Business Cycles Shocks330 cited
  • 1988Why does inventory investment fluctuate so much?311 cited
  • 1986Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data305 cited
  • 1989Time-to-Build and Aggregate Fluctuations: Some New Evidence261 cited
  • 1990On tests of representative consumer asset pricing models205 cited
  • 1995Estimating the linear-quadratic inventory model maximum likelihood versus generalized method of moments149 cited
  • 1994Toward a Modern Macroeconomic Model Usable for Policy Analysis

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Cited by

  • 1998Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region‐Specific, and Industry‐Specific Shocks109 cited
  • 2003Small sample properties of the GMM specification test based on the Hansen–Jagannathan distance72 cited
  • 2010Estimation of DSGE models when the data are persistent65 cited
  • 2002Connections between entropic and linear projections in asset pricing estimation62 cited
  • 1996Small-Sample Properties of GMM for Business-Cycle Analysis55 cited
  • 2005The Transmission of Monetary Policy in a Multi-Sector Economy52 cited
  • 1999Finite-sample properties of tests for equal forecast accuracy51 cited
  • 2008Habit Formation, Incomplete Markets, and the Significance of Regional Risk for Expected Returns49 cited
  • 2001Estimating and testing rational expectations models when the trend specification is uncertain46 cited
  • 2001Expectations Hypotheses Tests38 cited
  • 2011Predicting dividends in log-linear present value models38 cited
  • 2004Assessing Generalized Method-of-Moments Estimates of the Federal Reserve Reaction Function36 cited
  • 1999Small Sample Properties of the Model Specification Test Based on the Hansen-Jagannathan Distance33 cited
  • 2003Macroeconomic fluctuations: Demand or supply, permanent or temporary?21 cited
  • 2009Estimation of DSGE Models When the Data are Persistent21 cited
  • 1998Putty-Clay and Investment: A Business Cycle Analysis18 cited