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<P>Engle, R.F., and C.W.J. Granger (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55 (March): 251-276.<br><br>首次将协整概念用于研究经济变量的长期关系，极大改变了实证分析的面貌，排名第三。<br><br><br>Johansen, S., and K. Juselius (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics 52, 169-210.<br><br>用一个实证例子推广了协整检验方法，排名第十九。<br><br>注：琼森系哥本哈根大学统计运筹系数理统计学教授。<br><br>恩格尔的另一篇是：Engle, R.F., (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation, Econometrica 50: 987-1008.<br><br>提出条件异方差自回归（ARCH）模型，乃计量经济学上另一里程碑，排名第十。<br><br>注：上面提到的Engle&Granger(1987)和Enlge(1982)两篇文章正是此二位的诺奖获奖论文。<br><br>迪、富二君合作了两篇鸿文，都是关于单位根检验的：<br><br>Dickey, D.A., and W.A. Fuller (1979), Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427-31.<br><br>这是著名的ADF检验，有格兰杰因果就得先有它来保证时间序列的平稳性，排名第六。<br><br>Dickey, D.A., Fuller, W.A., 1981, Likelihocd ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072. <br><br>这篇差不多说的也是一个事吧？排名有第十一，hoho。<br><br>计量经济学的辉煌这才刚刚开始。。。可是我这种对计量“十窍通了九窍”（一窍不通）的人已经体力不支了，有劳admin进行详细点评。这可将会是一堂很生动的计量课啊。<br><br>我找到了MIT计量大牛J.A. Hausman教授给2004年春季学期计量经济学（I）课程开列的书单，其中第5.5周的教学安排是“异方差、自相关和方差的稳健估计”，列出了两篇文献：<br><br>White, H., A Heteroskedasticity - Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity, Econometrica, (May, 1980)<br><br>正是这篇高中榜首。<br><br>Newey, W. and West, K., A Simple, Positive - Definitive Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 1987<br><br>这篇排名十七。<br><br>Hausman教授当然不会忘了把他自己的代表作宣传给他的学生：<br><br>Hausman, J., Specification Tests in Econometrics, Econometrica (1978)<br><br>这是说在估计方程中怎样选择变量吧？排名第八。<br><br>计量的故事还未结束：<br><br>Heckman, J.J. (1979), Sample selection bias as a specification error, Econometrica, 47, 153-161.<br><br>样本选择偏差，一看就知道是个很重要的问题嘛，排名第五，不算亏待。<br><br>Cleveland, W.S., 1979, Robust locally weighted regression and smoothing scatterplots. Journal of the American Statistical Association 74:829-836.<br><br>这篇俺是死活都没听说过了，虽然占据了第九的高位。<br><br>Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, Vol. 50, 4, 1029-1054.<br><br>听说过一般矩估计的大名么？大约就是出自这里了，排名第十二。</P>
<P>排名第七的Johansen, S., (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control 12, 231-254.没有找到，希望有兴趣的牛牛可以上传一下。<br></P>
<P>1975-2000引用率最高的计量经济学参考文献<br>[usemoney=2]</P>
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