| # | Title | Journal | Year | Citations |
|---|
| 1 | Prospect Theory: An Analysis of Decision under Risk | Econometrica | 1979 | 34,915 |
| 2 | Co-Integration and Error Correction: Representation, Estimation, and Testing | Econometrica | 1987 | 20,545 |
| 3 | Sample Selection Bias as a Specification Error | Econometrica | 1979 | 19,570 |
| 4 | A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity | Econometrica | 1980 | 19,519 |
| 5 | Initial conditions and moment restrictions in dynamic panel data models | Journal of Econometrics | 1998 | 15,755 |
| 6 | Investigating Causal Relations by Econometric Models and Cross-spectral Methods | Econometrica | 1969 | 15,664 |
| 7 | Generalized autoregressive conditional heteroskedasticity | Journal of Econometrics | 1986 | 15,494 |
| 8 | Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation | Econometrica | 1982 | 14,413 |
| 9 | A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | Econometrica | 1987 | 13,653 |
| 10 | Another look at the instrumental variable estimation of error-components models | Journal of Econometrics | 1995 | 12,990 |
| 11 | Specification Tests in Econometrics | Econometrica | 1978 | 12,087 |
| 12 | Bounds testing approaches to the analysis of level relationships | Journal of Applied Econometrics | 2001 | 11,119 |
| 13 | Nonparametric Tests Against Trend | Econometrica | 1945 | 10,545 |
| 14 | Testing for unit roots in heterogeneous panels | Journal of Econometrics | 2003 | 9,755 |
| 15 | Regression Quantiles | Econometrica | 1978 | 9,744 |
| 16 | Large Sample Properties of Generalized Method of Moments Estimators | Econometrica | 1982 | 9,456 |
| 17 | Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root | Econometrica | 1981 | 9,036 |
| 18 | Testing the null hypothesis of stationarity against the alternative of a unit root | Journal of Econometrics | 1992 | 8,906 |
| 19 | The Impact of Trade on Intra-Industry Reallocations and Aggregate Industry Productivity | Econometrica | 2003 | 8,680 |
| 20 | Unit root tests in panel data: asymptotic and finite-sample properties | Journal of Econometrics | 2002 | 8,238 |
| 21 | Macroeconomics and Reality | Econometrica | 1980 | 7,925 |
| 22 | Technical Change and the Aggregate Production Function | Review of Economics and Statistics | 1957 | 7,378 |
| 23 | Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models | Econometrica | 1991 | 7,344 |
| 24 | Continuous Auctions and Insider Trading | Econometrica | 1985 | 7,185 |
| 25 | Conditional Heteroskedasticity in Asset Returns: A New Approach | Econometrica | 1991 | 7,020 |
| 26 | A simple panel unit root test in the presence of cross-section dependence | Journal of Applied Econometrics | 2007 | 7,020 |
| 27 | Formulation and estimation of stochastic frontier production function models | Journal of Econometrics | 1977 | 6,772 |
| 28 | A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle | Econometrica | 1989 | 6,454 |
| 29 | A Theory of the Term Structure of Interest Rates | Econometrica | 1985 | 6,131 |
| 30 | The Bargaining Problem | Econometrica | 1950 | 6,016 |
| 31 | The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets | Review of Economics and Statistics | 1965 | 6,014 |
| 32 | Biases in Dynamic Models with Fixed Effects | Econometrica | 1981 | 5,638 |
| 33 | Instrumental Variables Regression with Weak Instruments | Econometrica | 1997 | 5,553 |
| 34 | The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis | Econometrica | 1989 | 5,222 |
| 35 | An Intertemporal Capital Asset Pricing Model | Econometrica | 1973 | 4,955 |
| 36 | A Model of Growth Through Creative Destruction | Econometrica | 1992 | 4,889 |
| 37 | Tests of Equality Between Sets of Coefficients in Two Linear Regressions | Econometrica | 1960 | 4,717 |
| 38 | Estimation of Relationships for Limited Dependent Variables | Econometrica | 1958 | 4,676 |
| 39 | The Pure Theory of Public Expenditure | Review of Economics and Statistics | 1954 | 4,668 |
| 40 | Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses | Econometrica | 1989 | 4,366 |
| 41 | Spurious regressions in econometrics | Journal of Econometrics | 1974 | 4,250 |
| 42 | Efficient Tests for an Autoregressive Unit Root | Econometrica | 1996 | 4,159 |
| 43 | Risk Aversion in the Small and in the Large | Econometrica | 1964 | 4,093 |
| 44 | The Log of Gravity | Review of Economics and Statistics | 2006 | 4,056 |
| 45 | A finite sample correction for the variance of linear efficient two-step GMM estimators | Journal of Econometrics | 2005 | 4,043 |
| 46 | Estimating and Testing Linear Models with Multiple Structural Changes | Econometrica | 1998 | 3,989 |
| 47 | Perfect Equilibrium in a Bargaining Model | Econometrica | 1982 | 3,954 |
| 48 | Computation and analysis of multiple structural change models | Journal of Applied Econometrics | 2003 | 3,803 |
| 49 | Statistical inference in vector autoregressions with possibly integrated processes | Journal of Econometrics | 1995 | 3,788 |
| 50 | Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case | Review of Economics and Statistics | 1969 | 3,787 |
| 51 | Time to Build and Aggregate Fluctuations | Econometrica | 1982 | 3,785 |
| 52 | Rational Expectations and the Theory of Price Movements | Econometrica | 1961 | 3,771 |
| 53 | The Dynamics of Productivity in the Telecommunications Equipment Industry | Econometrica | 1996 | 3,693 |
| 54 | Asset Prices in an Exchange Economy | Econometrica | 1978 | 3,600 |
| 55 | The Impact of Uncertainty Shocks | Econometrica | 2009 | 3,596 |
| 56 | PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS | Econometric Theory | 2004 | 3,556 |
| 57 | Estimating long-run relationships from dynamic heterogeneous panels | Journal of Econometrics | 1995 | 3,555 |
| 58 | ARCH modeling in finance | Journal of Econometrics | 1992 | 3,530 |
| 59 | Propensity Score-Matching Methods for Nonexperimental Causal Studies | Review of Economics and Statistics | 2002 | 3,487 |
| 60 | Maximum Likelihood Estimation of Misspecified Models | Econometrica | 1982 | 3,460 |
| 61 | Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data | Review of Economics and Statistics | 1998 | 3,442 |
| 62 | On the Pooling of Time Series and Cross Section Data | Econometrica | 1978 | 3,387 |
| 63 | Spurious regression and residual-based tests for cointegration in panel data | Journal of Econometrics | 1999 | 3,377 |
| 64 | A Simple Test for Heteroscedasticity and Random Coefficient Variation | Econometrica | 1979 | 3,350 |
| 65 | Impulse response analysis in nonlinear multivariate models | Journal of Econometrics | 1996 | 3,253 |
| 66 | Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | Econometrica | 2006 | 3,230 |
| 67 | Automobile Prices in Market Equilibrium | Econometrica | 1995 | 3,223 |
| 68 | Multivariate Simultaneous Generalized ARCH | Econometric Theory | 1995 | 3,198 |
| 69 | A Class of Decomposable Poverty Measures | Econometrica | 1984 | 3,188 |
| 70 | Equilibrium in a Capital Asset Market | Econometrica | 1966 | 3,181 |
| 71 | Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework | Econometrica | 1989 | 3,135 |
| 72 | Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine | Econometrica | 1953 | 3,089 |
| 73 | A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems | Econometrica | 1993 | 3,065 |
| 74 | Strategic Information Transmission | Econometrica | 1982 | 3,045 |
| 75 | Existence of an Equilibrium for a Competitive Economy | Econometrica | 1954 | 3,041 |
| 76 | Selection and the Evolution of Industry | Econometrica | 1982 | 3,021 |
| 77 | Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation | Econometrica | 1991 | 3,014 |
| 78 | Tests for Parameter Instability and Structural Change With Unknown Change Point | Econometrica | 1993 | 2,997 |
| 79 | Bootstrap-Based Improvements for Inference with Clustered Errors | Review of Economics and Statistics | 2008 | 2,965 |
| 80 | Econometric methods for fractional response variables with an application to 401(k) plan participation rates | Journal of Applied Econometrics | 1996 | 2,909 |
| 81 | Modeling and Forecasting Realized Volatility | Econometrica | 2003 | 2,908 |
| 82 | Identification and Estimation of Local Average Treatment Effects | Econometrica | 1994 | 2,886 |
| 83 | Threshold effects in non-dynamic panels: Estimation, testing, and inference | Journal of Econometrics | 1999 | 2,875 |
| 84 | Mixed MNL models for discrete response | Journal of Applied Econometrics | 2000 | 2,844 |
| 85 | LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power | Econometrica | 2001 | 2,830 |
| 86 | Technology, Geography, and Trade | Econometrica | 2002 | 2,757 |
| 87 | Determining the Number of Factors in Approximate Factor Models | Econometrica | 2002 | 2,753 |
| 88 | A Theory of Auctions and Competitive Bidding | Econometrica | 1982 | 2,708 |
| 89 | Estimating Vector Autoregressions with Panel Data | Econometrica | 1988 | 2,704 |
| 90 | Testing slope homogeneity in large panels | Journal of Econometrics | 2008 | 2,666 |
| 91 | Manipulation of the running variable in the regression discontinuity design: A density test | Journal of Econometrics | 2008 | 2,650 |
| 92 | Econometric Models for Count Data with an Application to the Patents-R & D Relationship | Econometrica | 1984 | 2,645 |
| 93 | Regression discontinuity designs: A guide to practice | Journal of Econometrics | 2008 | 2,617 |
| 94 | On the network topology of variance decompositions: Measuring the connectedness of financial firms | Journal of Econometrics | 2014 | 2,572 |
| 95 | Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model | Review of Economics and Statistics | 1990 | 2,564 |
| 96 | Transform Analysis and Asset Pricing for Affine Jump-diffusions | Econometrica | 2000 | 2,542 |
| 97 | Teachers, Schools, and Academic Achievement | Econometrica | 2005 | 2,480 |
| 98 | The Economic Theory of Index Numbers and the Measurement of Input, Output, and Productivity | Econometrica | 1982 | 2,453 |
| 99 | Incentives in Teams | Econometrica | 1973 | 2,439 |
| 100 | Two-Person Cooperative Games | Econometrica | 1953 | 2,434 |
