American Economic Review

Stock Price Volatility:  Tests Based on the Geometric Random Walk, with Stephen F. LeRoy, 82 (1992), 981-992.  

Annals of Statistics

Pseudo Maximum Likelihood Estimation:  The Asymptotic Distribution, 14 (1986), 355-357.

Econometrica

An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models, 50 (1982), 81-95.

Asymptotic Likelihood-Based Prediction Functions, with Thomas F. Cooley, 58 (1990), 1215-1234.

International Economic Review

Two Modified FIML Estimators for Use in Small Samples, 27 (1986), 465-481.

Journal of Applied Econometrics

Macroeconometric Model Comparison and Evaluation Techniques:  A Practical Appraisal, 2 (1987), 133-144.

Journal of Econometrics

Full-Information Estimates of a Nonlinear Macroeconomic Model, with Ray C. Fair, 13 (1980), 269-291.

Likelihood and Other Approaches to Prediction in Dynamic Models, with Thomas F. Cooley, 35 (1987), 119-142.

Predictive Efficiency for Simple Nonlinear Models, with Thomas F. Cooley and Siddhartha Chib, 40 (1989), 33-44.

Journal of Economic Dynamics and Control

An Evolutionary Game Theory Explanation of ARCH Effects,  with George Waters, 31(2007), 2234-2262.

Journal of Money, Credit, and Banking

The Operations of the Bank of England:  1890-1908, with Nurhan Davutyan, 27 (1995), 1099-1112.

Review of Economics and Statistics

What is Fractional Integration?, 81 (1999), 632-638.