Jurgen A. Doornik : Citation Profile


Are you Jurgen A. Doornik?

Oxford University

18

H index

21

i10 index

1282

Citations

RESEARCH PRODUCTION:

31

Articles

38

Papers

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 49
   Journals where Jurgen A. Doornik has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 25 (1.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdo59
   Updated: 2021-03-01    RAS profile: 2020-08-23    
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Relations with other researchers


Works with:

Hendry, David (7)

Castle, Jennifer (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jurgen A. Doornik.

Is cited by:

Hendry, David (90)

Koopman, Siem Jan (50)

Castle, Jennifer (41)

Proietti, Tommaso (37)

Ericsson, Neil (35)

Ooms, Marius (24)

Mizon, Grayham (23)

Johansen, Soren (19)

Bos, Charles (19)

Martinez, Andrew (18)

Harvey, Andrew (17)

Cites to:

Hendry, David (88)

Johansen, Soren (35)

Castle, Jennifer (33)

Santos, Carlos (19)

Pretis, Felix (11)

Perron, Pierre (10)

Shephard, Neil (10)

White, Halbert (9)

Krolzig, Hans-Martin (9)

Bai, Jushan (8)

Engle, Robert (8)

Main data


Where Jurgen A. Doornik has published?


Journals with more than one article published# docs
Econometrics3
Oxford Bulletin of Economics and Statistics3
Scandinavian Journal of Statistics3
Journal of Economic Surveys2
Statistica Neerlandica2
Computational Statistics & Data Analysis2
International Journal of Forecasting2
Scottish Journal of Political Economy2

Working Papers Series with more than one paper published# docs
Economics Series Working Papers / University of Oxford, Department of Economics9
Instructional Stata datasets for econometrics / Boston College Department of Economics3
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Working Paper series / Rimini Centre for Economic Analysis2

Recent works citing Jurgen A. Doornik (2021 and 2020)


YearTitle of citing document
2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2020Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2020Bear Markets and Recessions versus Bull Markets and Expansions. (2020). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2009.01343.

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2020Some properties of inflation expectations in the euro area. (2020). Sorić, Petar ; Lolić, Ivana ; Matoec, Marina . In: Metroeconomica. RePEc:bla:metroe:v:71:y:2020:i:1:p:176-203.

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2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. (2020). McAleer, Michael ; Allen, David ; David, Allen ; Shelton, Peiris ; Manabu, Asai . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2.

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2020Persistence and Long Memory in Monetary Policy Spreads. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8664.

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2020Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8674.

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2020Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model. (2020). Luginbuhl, Rob. In: CPB Discussion Paper. RePEc:cpb:discus:409.rdf.

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2020A cointegration model of money and wealth. (2020). Assenmacher, Katrin ; Beyer, Andreas. In: Working Paper Series. RePEc:ecb:ecbwps:20202365.

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2020A multicointegration model of global climate change. (2020). Stern, David ; Csereklyei, Zsuzsanna ; Bruns, Stephan B. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:175-197.

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2020Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions. (2020). Pretis, Felix. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:256-273.

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2020The response of CO2 emissions to the business cycle: New evidence for the U.S.. (2020). Klarl, Torben. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930355x.

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2020Regional heterogeneous drivers of electricity demand in Saudi Arabia: Modeling regional residential electricity demand. (2020). Darandary, Abdulelah ; Mikayilov, Jeyhun I ; Alatawi, Hatem ; al Atawi, Hatem ; Hasanov, Fakhri J ; Alyamani, Ryan. In: Energy Policy. RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520305176.

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2020Solvency II and sovereign credit risk: Additional empirical evidence and some thoughts about implications for regulators and lawmakers. (2020). Basse, Tobias. In: International Review of Law and Economics. RePEc:eee:irlaec:v:64:y:2020:i:c:s0144818820301460.

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2020Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data. (2020). Kurita, Takamitsu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19300910.

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2020Testing normality of data on a multivariate grid. (2020). Horvath, Lajos ; Wang, Shixuan ; Kokoszka, Piotr. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:179:y:2020:i:c:s0047259x20302219.

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2021A study on day-of-week effect of submission: Based on the data of JSFST. (2021). Liu, Tianhao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307792.

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2020Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:308-324.

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2020Forecast Accuracy Matters for Hurricane Damage. (2020). Martinez, Andrew. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:18-:d:357835.

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2020BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl. (2020). Błażejowski, Marcin ; Kufel, Pawe ; Kwiatkowski, Jacek ; Baejowski, Marcin. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:21-:d:361756.

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2020Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size. (2020). Bauer, Dietmar ; Li, Yuanyuan. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:38-:d:415196.

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2020Effects of International Crude Oil Prices on Energy Consumption in China. (2020). Chau, Kwong Wing ; Zou, Gaolu. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3891-:d:391968.

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2020Gasoline Demand Elasticities at the Backdrop of Lower Oil Prices: Fuel-Subsidizing Country Case. (2020). Mukhtarov, Shahriyar ; Mammadov, Jeyhun ; Mikayilov, Jeyhun I. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:24:p:6752-:d:465967.

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2020Elasticity Analysis of Fossil Energy Sources for Sustainable Economies: A Case of Gasoline Consumption in Turkey. (2020). Mukhtarov, Shahriyar ; Aydin, Ridvan ; Yuksel, Serhat ; Diner, Hasan ; Mikayilov, Jeyhun I. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:3:p:731-:d:317837.

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2020Do High Oil Prices Obstruct the Transition to Renewable Energy Consumption?. (2020). Mukhtarov, Shahriyar ; Muradov, Vugar ; Humbatova, Sugra ; Mikayilov, Jeyhun I. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:11:p:4689-:d:368893.

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2020Green Restaurant Consumers’ Pride and Social Healthy Narcissism Influencing Self-Actualization and Self-Transcendence That Drive Customer Citizenship Behavior. (2020). Lee, Bora ; Hwang, Kumju ; Hahn, Juhee. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:24:p:10339-:d:460142.

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2020A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016. (2020). Kohler, Karsten ; Jump, Robert Calvert. In: Greenwich Papers in Political Economy. RePEc:gpe:wpaper:30959.

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2020Forecast Accuracy Matters for Hurricane Damages. (2020). Martinez, Andrew. In: Working Papers. RePEc:gwc:wpaper:2020-003.

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2020Extracting Information from Different Expectations. (2020). Martinez, Andrew. In: Working Papers. RePEc:gwc:wpaper:2020-008.

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2020Industry dynamics and high-growth firms contribution to productivity growth. (2020). Bisztray, Marta ; de Nicola, Francesca ; Murakozy, Balazs. In: CERS-IE WORKING PAPERS. RePEc:has:discpr:2047.

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2020Estimating Non-stationary Common Factors: Implications for Risk Sharing. (2020). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9.

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2020Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother. (2020). Solberger, Martin ; Spnberg, Erik. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09912-z.

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2020Immigration and the Dutch disease A counterfactual analysis of the Norwegian resource boom 2004-2013. (2020). Eika, Torbjorn ; Cappelen, Dne. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:3:d:10.1007_s11079-019-09543-9.

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2020Disclosing ‘masked employees’ in Europe: job control, job demands and job outcomes of ‘dependent self-employed workers’. (2020). Millan, Jose Maria ; Caador-Rodrigues, Leonel ; Mariamillan, Jose. In: Small Business Economics. RePEc:kap:sbusec:v:55:y:2020:i:2:d:10.1007_s11187-019-00245-7.

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2020Finance and Economic Development in Italy, 1870-1913. (2020). Rinaldi, Alberto ; Pistoresi, Barbara ; Incerpi, Andrea. In: Department of Economics. RePEc:mod:depeco:0162.

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2020A Short History of Macro-econometric Modelling. (2020). Hendry, David. In: Economics Papers. RePEc:nuf:econwp:2001.

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2020First in, First out: Econometric Modelling of UK Annual CO_2 Emissions, 1860–2017. (2020). Hendry, David. In: Economics Papers. RePEc:nuf:econwp:2002.

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2020Omnibus test for normality based on the Edgeworth expansion. (2020). Burnecki, Krzysztof ; Iskander, Robert D ; Wyomaska, Agnieszka. In: PLOS ONE. RePEc:plo:pone00:0233901.

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2020Statehood experience and income inequality: A historical perspective. (2020). Vu, Trung. In: MPRA Paper. RePEc:pra:mprapa:100428.

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2020Globalization and socio-economic development in Russia. (2020). Rodionova, Liliya ; Kopnova, Elena. In: Applied Econometrics. RePEc:ris:apltrx:0408.

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2020.

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2020Unfolding the relationship between mortality, economic fluctuations, and health in Italy. (2020). Cavicchioli, Maddalena ; Pistoresi, Barbara. In: The European Journal of Health Economics. RePEc:spr:eujhec:v:21:y:2020:i:3:d:10.1007_s10198-019-01135-1.

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2020EU Consumer Confidence and the New Modesty Hypothesis. (2020). Matoec, Marina ; Imeija, Mirjana ; Sori, Petar. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:152:y:2020:i:3:d:10.1007_s11205-020-02449-x.

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2020Tests for multivariate normality—a critical review with emphasis on weighted $$L^2$$ L 2 -statistics. (2020). Henze, Norbert ; Ebner, Bruno. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:4:d:10.1007_s11749-020-00740-0.

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2020Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors.. (2020). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202006.

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2020Improvement on the LR Test Statistic on the Cointegrating Relations in VAR Models: Bootstrap Methods and Applications.. (2020). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202007.

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Works by Jurgen A. Doornik:


YearTitleTypeCited
2000Reconstructing Aggregate Euro‐zone Data In: Journal of Common Market Studies.
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article24
1998Inference in Cointegrating Models: UK M1 Revisited In: Journal of Economic Surveys.
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article54
1998APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS In: Journal of Economic Surveys.
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article87
2008Encompassing and Automatic Model Selection* In: Oxford Bulletin of Economics and Statistics.
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article28
2008An Omnibus Test for Univariate and Multivariate Normality* In: Oxford Bulletin of Economics and Statistics.
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article218
1996An omnibus test for univariate and multivariate normalit.(1996) In: Economics Papers.
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This paper has another version. Agregated cites: 218
paper
2013Model Selection in Equations with Many ‘Small’ Effects In: Oxford Bulletin of Economics and Statistics.
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article4
2011Model Selection in Equations with Many Small Effects.(2011) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 4
paper
2012Model Selection in Equations with Many Small Effects.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 4
paper
2010Wage Formation and Bargaining Power during the Great Depression* In: Scandinavian Journal of Economics.
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article5
2016An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen In: Scandinavian Journal of Statistics.
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article4
2016Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen In: Scandinavian Journal of Statistics.
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article2
2018Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications In: Scandinavian Journal of Statistics.
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article0
2017Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications.(2017) In: Economics Papers.
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This paper has another version. Agregated cites: 0
paper
1994Modelling Linear Dynamic Econometric Systems. In: Scottish Journal of Political Economy.
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article72
1997The Implications for Econometric Modelling of Forecast Failure In: Scottish Journal of Political Economy.
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article0
2004Identifying, estimating and testing restricted cointegrated systems: An overview In: Statistica Neerlandica.
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article31
2003Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview.(2003) In: Economics Papers.
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This paper has another version. Agregated cites: 31
paper
2006Econometric software development: past, present and future In: Statistica Neerlandica.
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article4
2004A European-type wage equation from an American-style labor market: Evidence from a panel of Norwegian manufacturing industries in the 1930s In: Working Paper.
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paper1
2004A European-type wage equation from an American-style labor market: Evidence from a panel of Norwegian manufacturing industries in the 1930s.(2004) In: Working Paper.
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This paper has another version. Agregated cites: 1
paper
Beyer-Doornik-Hendry In: Instructional Stata datasets for econometrics.
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paper0
Daily DJIA In: Instructional Stata datasets for econometrics.
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paper1
Iris In: Instructional Stata datasets for econometrics.
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paper0
2011Evaluating Automatic Model Selection In: Journal of Time Series Econometrics.
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article52
2010Evaluating Automatic Model Selection.(2010) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 52
paper
2004Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation In: Studies in Nonlinear Dynamics & Econometrics.
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article21
2001Constructing Historical Euro-Zone Data. In: Economic Journal.
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article111
2000Constructing Historical Euro-Zone Data..(2000) In: Economics Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 111
paper
2003The Influence of Var Dimensions on Estimator Biases: Comment In: Econometrica.
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article1
2000Multimodality and the GARCH Likelihood In: Econometric Society World Congress 2000 Contributed Papers.
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paper10
2001Multimodality and the GARCH Likelihood.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
1999Statistical algorithms for models in state space using SsfPack 2.2 In: Econometrics Journal.
[Citation analysis]
article208
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Discussion Paper.
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This paper has another version. Agregated cites: 208
paper
1998Statistical Algorithms for Models in State Space Using SsfPack 2.2.(1998) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 208
paper
2002Numerically stable cointegration analysis In: Computational Statistics & Data Analysis.
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article6
2003Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models In: Computational Statistics & Data Analysis.
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article63
2001Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models.(2001) In: Economics Papers.
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This paper has another version. Agregated cites: 63
paper
2013A Markov-switching model with component structure for US GNP In: Economics Letters.
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article8
2012Model selection when there are multiple breaks In: Journal of Econometrics.
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article61
2008Model Selection when there are Multiple Breaks.(2008) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 61
paper
2008Multimodality in GARCH regression models In: International Journal of Forecasting.
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article35
2003Multimodality in the GARCH Regression Model.(2003) In: Economics Papers.
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This paper has another version. Agregated cites: 35
paper
2020Card forecasts for M4 In: International Journal of Forecasting.
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article0
1999Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation In: Econometric Institute Research Papers.
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paper11
2000Wage Behaviour During the Interwar Years: Are there any Puzzles left? Evidence from a Panel of Norwegian Manufacturing Industries. In: Norwegian School of Economics and Business Administration-.
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paper0
2015Detecting Location Shifts during Model Selection by Step-Indicator Saturation In: Econometrics.
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article50
2017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions In: Econometrics.
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article4
2017Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models In: Econometrics.
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article0
2010Testing the Invariance of Expectations Models of Inflation In: Memorandum.
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paper14
2010Testing the Invariance of Expectations Models of Inflation.(2010) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 14
paper
2005Distribution approximations for cointegration tests with stationary exogenous regressors In: Journal of Applied Econometrics.
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article22
1999Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.(1999) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 22
paper
2001A Wage Curve for the Interwar Labour Market: Evidence from a Panel of Norwegian Manufacturing Industries In: Working Paper Series.
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paper0
2001Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers.
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paper4
2004Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers.
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2005Outlier Detection in GARCH Models In: Economics Papers.
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paper23
2005Outlier Detection in GARCH Models.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 23
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2019Some forecasting principles from the M4 competition In: Economics Papers.
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paper0
2020Robust Discovery of Regression Models In: Economics Papers.
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paper0
2020Short-term forecasting of the Coronavirus Pandemic - 2020-04-27 In: Economics Papers.
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paper0
2000Constructing Historical Euro-Zone Data In: Economics Series Working Papers.
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paper5
2013Step-indicator Saturation In: Economics Series Working Papers.
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paper24
2014Statistical Model Selection with Big Data In: Economics Series Working Papers.
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paper5
2015Statistical model selection with “Big Dataâ€.(2015) In: Cogent Economics & Finance.
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This paper has another version. Agregated cites: 5
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2018Selecting a Model for Forecasting In: Economics Series Working Papers.
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paper0
2020Modelling Non-stationary Big Data In: Economics Series Working Papers.
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paper0
2012Mis-specification Testing: Non-Invariance of Expectations Models of Inflation In: Working Paper series.
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paper9
2014Misspecification Testing: Non-Invariance of Expectations Models of Inflation.(2014) In: Econometric Reviews.
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This paper has another version. Agregated cites: 9
article

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