| # | Title | Journal | Year | Citations |
|---|
|
| 1 | Prospect Theory: An Analysis of Decision under Risk | Econometrica | 1979 | 36,064 |
| 2 | Co-Integration and Error Correction: Representation, Estimation, and Testing | Econometrica | 1987 | 21,027 |
| 3 | Sample Selection Bias as a Specification Error | Econometrica | 1979 | 20,131 |
| 4 | A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity | Econometrica | 1980 | 19,831 |
| 5 | Investigating Causal Relations by Econometric Models and Cross-spectral Methods | Econometrica | 1969 | 16,228 |
| 6 | Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation | Econometrica | 1982 | 14,716 |
| 7 | A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | Econometrica | 1987 | 14,065 |
| 8 | Specification Tests in Econometrics | Econometrica | 1978 | 12,456 |
| 9 | Nonparametric Tests Against Trend | Econometrica | 1945 | 11,230 |
| 10 | Regression Quantiles | Econometrica | 1978 | 10,229 |
| 11 | Large Sample Properties of Generalized Method of Moments Estimators | Econometrica | 1982 | 9,720 |
| 12 | Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root | Econometrica | 1981 | 9,324 |
| 13 | The Impact of Trade on Intra-Industry Reallocations and Aggregate Industry Productivity | Econometrica | 2003 | 8,995 |
| 14 | Macroeconomics and Reality | Econometrica | 1980 | 8,122 |
| 15 | Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models | Econometrica | 1991 | 7,483 |
| 16 | Continuous Auctions and Insider Trading | Econometrica | 1985 | 7,354 |
| 17 | Conditional Heteroskedasticity in Asset Returns: A New Approach | Econometrica | 1991 | 7,192 |
| 18 | A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle | Econometrica | 1989 | 6,583 |
| 19 | A Theory of the Term Structure of Interest Rates | Econometrica | 1985 | 6,202 |
| 20 | The Bargaining Problem | Econometrica | 1950 | 6,119 |
| 21 | Biases in Dynamic Models with Fixed Effects | Econometrica | 1981 | 5,860 |
| 22 | Instrumental Variables Regression with Weak Instruments | Econometrica | 1997 | 5,734 |
| 23 | The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis | Econometrica | 1989 | 5,313 |
| 24 | A Model of Growth Through Creative Destruction | Econometrica | 1992 | 5,058 |
| 25 | An Intertemporal Capital Asset Pricing Model | Econometrica | 1973 | 5,036 |
| 26 | Estimation of Relationships for Limited Dependent Variables | Econometrica | 1958 | 4,806 |
| 27 | Tests of Equality Between Sets of Coefficients in Two Linear Regressions | Econometrica | 1960 | 4,806 |
| 28 | Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses | Econometrica | 1989 | 4,470 |
| 29 | Efficient Tests for an Autoregressive Unit Root | Econometrica | 1996 | 4,315 |
| 30 | Risk Aversion in the Small and in the Large | Econometrica | 1964 | 4,158 |
| 31 | Estimating and Testing Linear Models with Multiple Structural Changes | Econometrica | 1998 | 4,096 |
| 32 | Perfect Equilibrium in a Bargaining Model | Econometrica | 1982 | 4,001 |
| 33 | The Dynamics of Productivity in the Telecommunications Equipment Industry | Econometrica | 1996 | 3,938 |
| 34 | Time to Build and Aggregate Fluctuations | Econometrica | 1982 | 3,851 |
| 35 | Rational Expectations and the Theory of Price Movements | Econometrica | 1961 | 3,837 |
| 36 | The Impact of Uncertainty Shocks | Econometrica | 2009 | 3,832 |
| 37 | Asset Prices in an Exchange Economy | Econometrica | 1978 | 3,651 |
| 38 | Maximum Likelihood Estimation of Misspecified Models | Econometrica | 1982 | 3,563 |
| 39 | A Simple Test for Heteroscedasticity and Random Coefficient Variation | Econometrica | 1979 | 3,502 |
| 40 | On the Pooling of Time Series and Cross Section Data | Econometrica | 1978 | 3,487 |
| 41 | Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure | Econometrica | 2006 | 3,415 |
| 42 | Automobile Prices in Market Equilibrium | Econometrica | 1995 | 3,312 |
| 43 | Equilibrium in a Capital Asset Market | Econometrica | 1966 | 3,255 |
| 44 | A Class of Decomposable Poverty Measures | Econometrica | 1984 | 3,244 |
| 45 | Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework | Econometrica | 1989 | 3,211 |
| 46 | A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems | Econometrica | 1993 | 3,180 |
| 47 | Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine | Econometrica | 1953 | 3,132 |
| 48 | Strategic Information Transmission | Econometrica | 1982 | 3,127 |
| 49 | Existence of an Equilibrium for a Competitive Economy | Econometrica | 1954 | 3,111 |
| 50 | Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation | Econometrica | 1991 | 3,076 |
