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How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics
16 references·0 citing·46 second hop
How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics (2015)How Did We Get to Where We Are Now? Refle…Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Estimated Dynamic Stochast…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Empirical Model Building and Response Surfaces (1988)Empirical Model Building and …The equity premium: A puzzle (1985)The equity premium: A puzzleA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Macroeconomics and Reality (1980)Macroeconomics and RealityStochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Capital Mobility and Stabiliz…The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957 1 (1958)The Relation Between Unemploy…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Statistics for Experimenters (1979)Response Surfaces: Designs and Analyses (1997)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Explaining Fixed Effects: Random Effects Modeling of Time-Series Cross-Sectional and Panel Data (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1988Empirical Model Building and Response Surfaces5,235 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area3,519 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1963Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates2,697 cited

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1958
The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957 1
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