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 Updated May, 1 2008 147.392 documents processed, 3.154.300 references and 1.403.701 citations

 

 
 

Journal of Econometrics

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Latest citations and documents published in this series in EconPapers.

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19960.340.171031345166570240.230.08
19970.310.2107988186580110.10.08
19980.320.231111264210680170.150.1
19990.460.32536222181000210.40.16
20000.960.43855501641580370.440.19
20010.670.3991674138920260.290.17
20020.590.42977131761030440.450.2
20031.040.47957671881950680.720.22
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CIT: Number of citations to the series in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
IdI: Immediacy Index: CiY / Documents.
 
AII: Average Immediacy Index for series in RePEc in year y
 
Impact Factor:
 
Immediacy Index:
 
Documents published:
 
Citations received:
 

 

Most cited documents in this series:

(1) RePEc:eee:econom:v:31:y:1986:i:3:p:307-327 Generalized autoregressive conditional heteroskedasticity (1986). Journal of Econometrics
Cited: 589 times.

(2) RePEc:eee:econom:v:87:y:1998:i:1:p:115-143 Initial conditions and moment restrictions in dynamic panel data models (1998). Journal of Econometrics
Cited: 469 times.

(3) RePEc:eee:econom:v:6:y:1977:i:1:p:21-37 Formulation and estimation of stochastic frontier production function models (1977). Journal of Econometrics
Cited: 277 times.

(4) RePEc:eee:econom:v:2:y:1974:i:2:p:111-120 Spurious regressions in econometrics (1974). Journal of Econometrics
Cited: 267 times.

(5) RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178 Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root? (1992). Journal of Econometrics
Cited: 259 times.

(6) RePEc:eee:econom:v:115:y:2003:i:1:p:53-74 Testing for unit roots in heterogeneous panels (2003). Journal of Econometrics
Cited: 254 times.

(7) RePEc:eee:econom:v:32:y:1986:i:3:p:385-397 Random group effects and the precision of regression estimates (1986). Journal of Econometrics
Cited: 249 times.

(8) RePEc:eee:econom:v:52:y:1992:i:1-2:p:5-59 ARCH modeling in finance : A review of the theory and empirical evidence (1992). Journal of Econometrics
Cited: 249 times.

(9) RePEc:eee:econom:v:68:y:1995:i:1:p:29-51 Another look at the instrumental variable estimation of error-components models (1995). Journal of Econometrics
Cited: 247 times.

(10) RePEc:eee:econom:v:68:y:1995:i:1:p:79-113 Estimating long-run relationships from dynamic heterogeneous panels (1995). Journal of Econometrics
Cited: 237 times.

(11) RePEc:eee:econom:v:18:y:1982:i:1:p:47-82 Formulation and estimation of dynamic models using panel data (1982). Journal of Econometrics
Cited: 199 times.

(12) RePEc:eee:econom:v:31:y:1986:i:1:p:93-118 Errors in variables in panel data (1986). Journal of Econometrics
Cited: 188 times.

(13) RePEc:eee:econom:v:108:y:2002:i:1:p:1-24 Unit root tests in panel data: asymptotic and finite-sample properties (2002). Journal of Econometrics
Cited: 186 times.

(14) RePEc:eee:econom:v:4:y:1976:i:2:p:115-145 Exact and superlative index numbers (1976). Journal of Econometrics
Cited: 163 times.

(15) RePEc:eee:econom:v:16:y:1981:i:1:p:155-155 Panel data and unobservable individual effects (1981). Journal of Econometrics
Cited: 161 times.

(16) RePEc:eee:econom:v:74:y:1996:i:1:p:119-147 Impulse response analysis in nonlinear multivariate models (1996). Journal of Econometrics
Cited: 157 times.

(17) RePEc:eee:econom:v:30:y:1985:i:1-2:p:239-267 Alternative methods for evaluating the impact of interventions : An overview (1985). Journal of Econometrics
Cited: 147 times.

(18) RePEc:eee:econom:v:80:y:1997:i:2:p:355-385 Further evidence on breaking trend functions in macroeconomic variables (1997). Journal of Econometrics
Cited: 138 times.

(19) RePEc:eee:econom:v:61:y:1994:i:1:p:5-21 On discrimination and the decomposition of wage differentials (1994). Journal of Econometrics
Cited: 135 times.

(20) RePEc:eee:econom:v:33:y:1986:i:3:p:311-340 Understanding spurious regressions in econometrics (1986). Journal of Econometrics
Cited: 134 times.

(21) RePEc:eee:econom:v:44:y:1990:i:1-2:p:215-238 Seasonal integration and cointegration (1990). Journal of Econometrics
Cited: 132 times.

(22) RePEc:eee:econom:v:18:y:1982:i:1:p:83-114 The use of time series processes to model the error structure of earnings in a longitudinal data analysis (1982). Journal of Econometrics
Cited: 129 times.

(23) RePEc:eee:econom:v:73:y:1996:i:1:p:5-59 Long memory processes and fractional integration in econometrics (1996). Journal of Econometrics
Cited: 124 times.

(24) RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238 On the estimation of technical inefficiency in the stochastic frontier production function model (1982). Journal of Econometrics
Cited: 118 times.

(25) RePEc:eee:econom:v:14:y:1980:i:2:p:227-238 Long memory relationships and the aggregation of dynamic models (1980). Journal of Econometrics
Cited: 118 times.

(26) RePEc:eee:econom:v:45:y:1990:i:1-2:p:39-70 Analysis of time series subject to changes in regime (1990). Journal of Econometrics
Cited: 118 times.

(27) RePEc:eee:econom:v:53:y:1992:i:1-3:p:211-244 Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992). Journal of Econometrics
Cited: 110 times.

(28) RePEc:eee:econom:v:60:y:1994:i:1-2:p:203-233 Five alternative methods of estimating long-run equilibrium relationships (1994). Journal of Econometrics
Cited: 109 times.

(29) RePEc:eee:econom:v:16:y:1981:i:1:p:121-130 Some properties of time series data and their use in econometric model specification (1981). Journal of Econometrics
Cited: 108 times.

(30) RePEc:eee:econom:v:39:y:1988:i:3:p:347-366 Limited information estimators and exogeneity tests for simultaneous probit models (1988). Journal of Econometrics
Cited: 108 times.

(31) RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211 Some recent development in a concept of causality (1988). Journal of Econometrics
Cited: 108 times.

(32) RePEc:eee:econom:v:74:y:1996:i:1:p:3-30 Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996). Journal of Econometrics
Cited: 104 times.

(33) RePEc:eee:econom:v:64:y:1994:i:1-2:p:307-333 Autoregressive conditional heteroskedasticity and changes in regime (1994). Journal of Econometrics
Cited: 103 times.

(34) RePEc:eee:econom:v:31:y:1986:i:3:p:255-274 The frequency of price adjustment : A study of the newsstand prices of magazines (1986). Journal of Econometrics
Cited: 102 times.

(35) RePEc:eee:econom:v:74:y:1996:i:1:p:59-75 Testing the adequacy of smooth transition autoregressive models (1996). Journal of Econometrics
Cited: 101 times.

(36) RePEc:eee:econom:v:90:y:1999:i:1:p:1-44 Spurious regression and residual-based tests for cointegration in panel data (1999). Journal of Econometrics
Cited: 101 times.

(37) RePEc:eee:econom:v:53:y:1992:i:1-3:p:165-188 Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992). Journal of Econometrics
Cited: 100 times.

(38) RePEc:eee:econom:v:70:y:1996:i:1:p:99-126 Residual-based tests for cointegration in models with regime shifts (1996). Journal of Econometrics
Cited: 97 times.

(39) RePEc:eee:econom:v:68:y:1995:i:1:p:5-27 Efficient estimation of models for dynamic panel data (1995). Journal of Econometrics
Cited: 97 times.

(40) RePEc:eee:econom:v:30:y:1985:i:1-2:p:109-126 Panel data from time series of cross-sections (1985). Journal of Econometrics
Cited: 95 times.

(41) RePEc:eee:econom:v:71:y:1996:i:1-2:p:161-173 Interpreting tests of the convergence hypothesis (1996). Journal of Econometrics
Cited: 92 times.

(42) RePEc:eee:econom:v:45:y:1990:i:1-2:p:267-290 Alternative models for conditional stock volatility (1990). Journal of Econometrics
Cited: 88 times.

(43) RePEc:eee:econom:v:18:y:1982:i:1:p:115-168 New methods for analyzing structural models of labor force dynamics (1982). Journal of Econometrics
Cited: 86 times.

(44) RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250 Statistical inference in vector autoregressions with possibly integrated processes (1995). Journal of Econometrics
Cited: 86 times.

(45) RePEc:eee:econom:v:52:y:1992:i:3:p:389-402 Cointegration in partial systems and the efficiency of single-equation analysis (1992). Journal of Econometrics
Cited: 85 times.

(46) RePEc:eee:econom:v:38:y:1988:i:3:p:387-399 Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data (1988). Journal of Econometrics
Cited: 84 times.

(47) RePEc:eee:econom:v:68:y:1995:i:1:p:53-78 On bias, inconsistency, and efficiency of various estimators in dynamic panel data models (1995). Journal of Econometrics
Cited: 83 times.

(48) RePEc:eee:econom:v:105:y:2001:i:1:p:85-110 Tests of equal forecast accuracy and encompassing for nested models (2001). Journal of Econometrics
Cited: 83 times.

(49) RePEc:eee:econom:v:29:y:1985:i:3:p:229-256 Generalized method of moments specification testing (1985). Journal of Econometrics
Cited: 82 times.

(50) RePEc:eee:econom:v:60:y:1994:i:1-2:p:1-22 Dynamic linear models with Markov-switching (1994). Journal of Econometrics
Cited: 81 times.

Latest citations received in: | 2003 | 2002 | 2001 | 2000

Latest citations received in: 2003

(1) RePEc:bon:bonedp:bgse27_2003 Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates (2003). University of Bonn, Germany / Bonn Econ Discussion Papers

(2) RePEc:bri:uobdis:03/552 Sibling Death Clustering in India: Genuine Scarring vs Unobserved Heterogeneity (2003). Department of Economics, University of Bristol, UK / Bristol Economics Discussion Papers

(3) RePEc:cam:camdae:0346 A Simple Panel Unit Root Test in the Presence of Cross Section Dependence (2003). Faculty of Economics (formerly DAE), University of Cambridge / Cambridge Working Papers in Economics

(4) RePEc:cam:camdae:0347 On The Panel Unit Root Tests Using Nonlinear Instrumental Variables (2003). Faculty of Economics (formerly DAE), University of Cambridge / Cambridge Working Papers in Economics

(5) RePEc:ces:ceswps:_1030 Relationship Between Maternal Behavior During Pregnancy, Birth Outcome, and Early Childhood Development: An Exploratory Study (2003). CESifo GmbH / CESifo Working Paper Series

(6) RePEc:ces:ceswps:_1111 Intra-and International Risk-Sharing in the Short Run and the Long Run (2003). CESifo GmbH / CESifo Working Paper Series

(7) RePEc:cfs:cfswop:wp200335 Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (2003). Center for Financial Studies / CFS Working Paper Series

(8) RePEc:chb:bcchwp:215 Purchasing Power Parity in an Emerging Market Economy: A Long-Span Study for Chile. (2003). Central Bank of Chile / Working Papers Central Bank of Chile

(9) RePEc:cin:ucecwp:2003-06 An Improved Panel Unit Root Test Using GLS-Detrending (2003). University of Cincinnati, Department of Economics / University of Cincinnati, Economics Working Papers Series

(10) RePEc:cir:cirwor:2003s-02 Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions (2003). CIRANO / CIRANO Working Papers

(11) RePEc:cir:cirwor:2003s-11 Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes (2003). CIRANO / CIRANO Working Papers

(12) RePEc:cir:cirwor:2003s-26 There is a Risk-Return Tradeoff After All (2003). CIRANO / CIRANO Working Papers

(13) RePEc:cir:cirwor:2003s-38 News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns (2003). CIRANO / CIRANO Working Papers

(14) RePEc:cir:cirwor:2003s-50 Option Valuation with Conditional Skewness (2003). CIRANO / CIRANO Working Papers

(15) RePEc:cpr:ceprdp:4102 The European Phillips Curve: Does the NAIRU Exist? (2003). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(16) RePEc:crr:crrwps:2003-10 Becoming Oldest-Old: Evidence From Historical U.S. Data (2003). Center for Retirement Research / Working Papers, Center for Retirement Research at Boston College

(17) RePEc:cte:wsrepe:ws035212 GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS (2003). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(18) RePEc:cte:wsrepe:ws036313 DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY. (2003). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(19) RePEc:dgr:uvatin:20030081 Misspecification in Linear Spatial Regression Models (2003). Tinbergen Institute / Tinbergen Institute Discussion Papers

(20) RePEc:diw:diwwpp:dp391 International Migration to Germany : Estimation of a Time-Series Model and Inference in Panel Cointegration (2003). DIW Berlin, German Institute for Economic Research / Discussion Papers of DIW Berlin

(21) RePEc:emo:wp2003:0326 Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure (2003). Department of Economics, Emory University (Atlanta) / Emory Economics

(22) RePEc:erm:papers:0317 Health Status and Socio-Economic Inequalities : A Review of the French Litterature (2003). ERMES, University Paris 2 / Working Papers ERMES

(23) RePEc:ese:iserwp:2003-02 The Impact of Atypical Employment on Individual Wellbeing: evidence from a panel of British Workers (2003). Institute for Social and Economic Research / ISER working papers

(24) RePEc:fip:fedgfe:2003-32 Itô conditional moment generator and the estimation of short rate processes (2003). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(25) RePEc:fip:fedgif:768 What happens after a technology shock? (2003). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(26) RePEc:fip:fedgif:774 How do Canadian hours worked respond to a technology shock? (2003). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(27) RePEc:fip:fedkpr:y:2003:p:9-56 Has the business cycle changed? (2003). Proceedings

(28) RePEc:hhs:rbnkwp:0156 Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs (2003). Sveriges Riksbank (Central Bank of Sweden) / Working Paper Series

(29) RePEc:ide:wpaper:1034 Non Parametric Instrumental Regression (2003). Institut d'Économie Industrielle (IDEI), Toulouse / IDEI Working Papers

(30) RePEc:iec:inveco:v:27:y:2003:i:3:p:423-458 Discrete choices with panel data (2003). Investigaciones Economicas

(31) RePEc:ifs:ifsewp:03/22 Consequences and predictors of new health events (2003). Institute for Fiscal Studies / IFS Working Papers

(32) RePEc:ind:isipdp:03-05 Awareness and the demand for environmental quality: Drinking water in urban India (2003). Indian Statistical Institute, New Delhi, India / Indian Statistical Institute, Planning Unit, New Delhi Discussion Papers

(33) RePEc:iza:izadps:dp851 Treatment Effect Heterogeneity in Theory and Practice (2003). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(34) RePEc:iza:izadps:dp876 The European Phillips Curve: Does the NAIRU Exist? (2003). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(35) RePEc:kud:kuieca:2003_10 Testing for unit roots in panels by using a mixture model (2003). University of Copenhagen. Institute of Economics. Centre for Applied Microeconometrics / CAM Working Papers

(36) RePEc:kud:kuieca:2003_12 Estimating Consumption Economies of Scale, Adult Equivalence Scales, and Household Bargaining Power (2003). University of Copenhagen. Institute of Economics. Centre for Applied Microeconometrics / CAM Working Papers

(37) RePEc:kud:kuieca:2003_13 Unit root inference in panel data models where the time-series dimension is fixed: A comparison of different tests (2003). University of Copenhagen. Institute of Economics. Centre for Applied Microeconometrics / CAM Working Papers

(38) RePEc:lec:leecon:04/17 Bayesian Semiparametric Inference in Multiple Equation Models (2003). Department of Economics, University of Leicester / Discussion Papers in Economics

(39) RePEc:lvl:lagrcr:0312 Are New Keynesian Phillips Curved Identified? (2003).

(40) RePEc:mcm:qseprr:387 Socioeconomic Influence on the Health of Older People: Estimates Based on Two Longitudinal Surveys (2003). McMaster University / Quantitative Studies in Economics and Population Research Reports

(41) RePEc:mcm:sedapp:112 Socioeconomic Influence on the Health of Older People: Estimates Based on Two Longitudinal Surveys (2003). McMaster University / Social and Economic Dimensions of an Aging Population Research Papers

(42) RePEc:msh:ebswps:2003-17 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter (2003). Monash University, Department of Econometrics and Business Statistics / Monash Econometrics and Business Statistics Working Papers

(43) RePEc:nbr:nberwo:10063 Consequences and Predictors of New Health Events (2003). National Bureau of Economic Research, Inc / NBER Working Papers

(44) RePEc:nbr:nberwo:9708 Treatment Effect Heterogeneity in Theory and Practice (2003). National Bureau of Economic Research, Inc / NBER Working Papers

(45) RePEc:nbr:nberwo:9819 What Happens After a Technology Shock? (2003). National Bureau of Economic Research, Inc / NBER Working Papers

(46) RePEc:nbr:nberwo:9933 Becoming Oldest-Old: Evidence from Historical U.S. Data (2003). National Bureau of Economic Research, Inc / NBER Working Papers

(47) RePEc:nbr:nberwo:9944 Trade Disruptions and Americas Early Industrialization (2003). National Bureau of Economic Research, Inc / NBER Working Papers

(48) RePEc:nsr:niesrd:216 The Determinants of International Migration into the UK: A Panel Based Modelling Approach (2003). National Institute of Economic and Social Research / NIESR Discussion Papers

(49) RePEc:qed:wpaper:1014 Technology Adoption Under Relative Factor Price Uncertainty: The Putty-Clay Investment Model (2003). Queen's University, Department of Economics / Working Papers

(50) RePEc:rpi:rpiwpe:0302 The Rise and Fall of the Environmental Kuznets Curve (2003). Rensselaer Polytechnic Institute, Department of Economics / Rensselaer Working Papers in Economics

(51) RePEc:rut:rutres:200317 Predicting Inflation: Does The Quantity Theory Help? (2003). Rutgers University, Department of Economics / Departmental Working Papers

(52) RePEc:taf:apeclt:v:10:y:2003:i:10:p:627-631 The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power (2003). Applied Economics Letters

(53) RePEc:taf:applec:v:35:y:2003:i:9:p:1043-1051 Analysing the effects of labour standards on US export performance. A time series approach with structural change (2003). Applied Economics

(54) RePEc:upf:upfgen:711 Measurement and Explanation of Socioeconomic Inequality in Health with Longitudinal Data (2003). Department of Economics and Business, Universitat Pompeu Fabra / Economics Working Papers

(55) RePEc:upf:upfses:711 Measurement and Explanation of Socioeconomic Inequality in Health with Longitudinal Data (2003). Department of Economics and Business, Universitat Pompeu Fabra / Working Papers, Research Center on Health and Economics

(56) RePEc:wbk:wbrwps:3166 On Measuring Aggregate “Social Efficiency” (2003). The World Bank / Policy Research Working Paper Series

(57) RePEc:wdi:papers:2003-615 Initial Conditions, Institutional Dynamics and Economic Performance: Evidence from the American States (2003). William Davidson Institute at the University of Michigan Stephen M. Ross Business School / William Davidson Institute Working Papers Series

(58) RePEc:wdi:papers:2003-625 Generalizing the Causal Effect of Fertility on Female Labor Supply (2003). William Davidson Institute at the University of Michigan Stephen M. Ross Business School / William Davidson Institute Working Papers Series

(59) RePEc:wly:hlthec:v:12:y:2003:i:10:p:803-819 Measuring income related inequality in health: standardisation and the partial concentration index (2003). Health Economics

(60) RePEc:wpa:wuwpem:0311005 Panel Stationarity Tests with Cross-sectional Dependence (2003). EconWPA / Econometrics

(61) RePEc:wpa:wuwpfi:0308002 Testing for Non-Linearity in ASEAN Financial Markets (2003). EconWPA / Finance

(62) RePEc:wpa:wuwpfi:0311001 Consistent Estimation of Pricing Kernels from Noisy Price Data (2003). EconWPA / Finance

(63) RePEc:wpa:wuwpif:0308001 The Validity of PPP Revisited: An Application of Non-linear Unit Root Test (2003). EconWPA / International Finance

(64) RePEc:wpa:wuwpif:0311014 Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia (2003). EconWPA / International Finance

(65) RePEc:wpa:wuwpif:0312001 Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia (2003). EconWPA / International Finance

(66) RePEc:wpa:wuwpla:0310002 Generalizing the Causal Effect of Fertility on Female Labor Supply (2003). EconWPA / Labor and Demography

(67) RePEc:wpa:wuwpma:0309016 Turbulence, Heterogeneity, and Wage Earnings Inequality (2003). EconWPA / Macroeconomics

(68) RePEc:wpe:papers:wpechco Quand un et un ne font plus deux: calcul déchelles déquivalence intra-familiales au moyen dun modèle collectif (2003).

Latest citations received in: 2002

(1) RePEc:aah:aarhec:2002-18 Multivariate Lagrange Multiplier Tests for Fractional Integration (2002). Department of Economics, University of Aarhus / Department of Economics, Working Papers

(2) RePEc:aah:aarhec:2002-6 Efficient Inference in Multivariate Fractionally Integrated Time Series Models (2002). Department of Economics, University of Aarhus / Department of Economics, Working Papers

(3) RePEc:aah:aarhec:2002-8 Local Whittle Analysis of Stationary Fractional Cointegration (2002). Department of Economics, University of Aarhus / Department of Economics, Working Papers

(4) RePEc:cir:cirwor:2002s-85 Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach (2002). CIRANO / CIRANO Working Papers

(5) RePEc:cir:cirwor:2002s-90 Analytic Evaluation of Volatility Forecasts (2002). CIRANO / CIRANO Working Papers

(6) RePEc:cir:cirwor:2002s-91 Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (2002). CIRANO / CIRANO Working Papers

(7) RePEc:cir:cirwor:2002s-92 ARMA Representation of Two-Factor Models (2002). CIRANO / CIRANO Working Papers

(8) RePEc:cir:cirwor:2002s-93 ARMA Representation of Integrated and Realized Variances (2002). CIRANO / CIRANO Working Papers

(9) RePEc:cpd:pd2002:a4-1 Aggregate vs Disaggregate Data Analysis - A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy (2002). International Conferences on Panel Data / 10th International Conference on Panel Data, Berlin, July 5-6, 2002

(10) RePEc:cpd:pd2002:a5-2 Panel VAR Models with Spatial Dependence (2002). International Conferences on Panel Data / 10th International Conference on Panel Data, Berlin, July 5-6, 2002

(11) RePEc:cpd:pd2002:d3-1 Statistical Measurement of Income Polarization. A cross-national comparison (2002). International Conferences on Panel Data / 10th International Conference on Panel Data, Berlin, July 5-6, 2002

(12) RePEc:cpr:ceprdp:3671 In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2002). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(13) RePEc:cte:wsrepe:ws025414 ESTIMATION METHODS FOR STOCHASTIC VOLATILITY MODELS: A SURVEY (2002). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(14) RePEc:cvs:starer:02-02 Wavelets in Economics and Finance: Past and Future (2002). C.V. Starr Center for Applied Economics, New York University / Working Papers

(15) RePEc:dgr:eureir:2002295 Bayes estimates of Markov trends in possibly cointegrated series (2002). Erasmus University Rotterdam, Econometric Institute / Econometric Institute Report

(16) RePEc:ecb:ecbwps:20020125 Duration: volume and volatility impact of trades. (2002). European Central Bank / Working Paper Series

(17) RePEc:ecj:econjl:v:112:y:2002:i:478:p:c97-c116 Patents, Real Options and Firm Performance (2002). Economic Journal

(18) RePEc:eeg:euroeg:16 The Euro-Dollar exchange rate: Is it fundamental'DONE' (2002). European Economy Group / European Economy Group Working Papers

(19) RePEc:fir:econom:wp2002_20 Labor-Cost Effects on Relative Prices between Regions of a Monetary Union: Implications for the EMU (2002). Universita' degli Studi di Firenze, Dipartimento di Statistica G. Parenti / Econometrics Working Papers Archive

(20) RePEc:fpr:tmddps:102 HIV/AIDS and labor markets in Tanzania (2002). International Food Policy Research Institute (IFPRI) / Working papers

(21) RePEc:ham:qmwops:20203 An information-theoretic extension to structural VAR modelling (2002). Hamburg University, Department of Economics / Quantitative Macroeconomics Working Papers

(22) RePEc:iae:iaewps:wp2002n24 Estimation of Labour Supply Models for Four Separate Groups in the Australian Population (2002). Melbourne Institute of Applied Economic and Social Research, The University of Melbourne / Melbourne Institute Working Paper Series

(23) RePEc:ihs:ihsesp:121 Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration (2002). Institute for Advanced Studies / Economics Series

(24) RePEc:iza:izadps:dp444 Benefit Entitlement and the Labor Market: Evidence from a Large-Scale Policy Change (2002). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(25) RePEc:jae:japmet:v:17:y:2002:i:5:p:425-446 New frontiers for arch models (2002). Journal of Applied Econometrics

(26) RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508 A theoretical comparison between integrated and realized volatility (2002). Journal of Applied Econometrics

(27) RePEc:jae:japmet:v:17:y:2002:i:5:p:509-534 Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence (2002). Journal of Applied Econometrics

(28) RePEc:msh:ebswps:2002-17 A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options (2002). Monash University, Department of Econometrics and Business Statistics / Monash Econometrics and Business Statistics Working Papers

(29) RePEc:msh:ebswps:2002-9 Statistical Inference on Changes in Income Inequality in Australia (2002). Monash University, Department of Econometrics and Business Statistics / Monash Econometrics and Business Statistics Working Papers

(30) RePEc:mtl:montde:2002-17 Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach (2002). Universite de Montreal, Departement de sciences economiques / Cahiers de recherche

(31) RePEc:mtl:montde:2002-21 Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (2002). Universite de Montreal, Departement de sciences economiques / Cahiers de recherche

(32) RePEc:mtl:montec:17-2002 Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach (2002). Centre interuniversitaire de recherche en économie quantitative, CIREQ / Cahiers de recherche

(33) RePEc:mtl:montec:18-2002 Testing for a Unit Root in Panels with Dynamic Factors (2002). Centre interuniversitaire de recherche en économie quantitative, CIREQ / Cahiers de recherche

(34) RePEc:mtl:montec:21-2002 Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities (2002). Centre interuniversitaire de recherche en économie quantitative, CIREQ / Cahiers de recherche

(35) RePEc:roc:rocher:495 Pairwise Comparison Estimation of Censored Transformation Models (2002). University of Rochester - Center for Economic Research (RCER) / RCER Working Papers

(36) RePEc:taf:emetrv:v:21:y:2002:i:4:p:419-429 FAST DOUBLE BOOTSTRAP TESTS OF NONNESTED LINEAR REGRESSION MODELS (2002). Econometric Reviews

(37) RePEc:tud:ddpiec:115 Residual Log-Periodogram Inference for Long-Run Relationships (2002). Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology) / Darmstadt Disc

(38) RePEc:ube:dpvwib:dp0210 A Comparison of Johansens, Bierens and the Subspace Algorithm Method for Cointegration Analysis (2002). Universitat Bern, Volkswirtschaftliches Institut / Diskussionsschriften

(39) RePEc:una:unccee:wp0902 Multivariate Tests of Fractionally Integrated Hypotheses (2002). School of Economics and Business Administration, University of Navarra / Faculty Working Papers

(40) RePEc:wdi:papers:2002-498 Understanding Czech Long-Term Unemployment (2002). William Davidson Institute at the University of Michigan Stephen M. Ross Business School / William Davidson Institute Working Papers Series

(41) RePEc:wop:pennin:02-27 Parametric and Nonparametric Volatility Measurement (2002). Wharton School Center for Financial Institutions, University of Pennsylvania / Center for Financial Institutions Working Papers

(42) RePEc:wpa:wuwpem:0203005 An information-theoretic extension to structural VAR modelling (2002). EconWPA / Econometrics

(43) RePEc:wrk:warwec:654 TESTING FOR COINTEGRATION RANK USING BAYES FACTORS (2002). University of Warwick, Department of Economics / The Warwick Economics Research Paper Series (TWERPS)

(44) RePEc:xrs:sfbmaa:02-35 Bracketing effects in categorized survey questions and the measurement of economic quantities (2002). Sonderforschungsbereich 504, University of Mannheim / Sonderforschungsbereich 504 Publications

Latest citations received in: 2001

(1) RePEc:aah:aarhec:2001-4 Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data (2001). Department of Economics, University of Aarhus / Department of Economics, Working Papers

(2) RePEc:bro:econwp:2001-06 An Unbiased and Powerful Test for Superior Predictive Ability (2001). Brown University, Department of Economics / Working Papers

(3) RePEc:cir:cirwor:2001s-70 An Eigenfunction Approach for Volatility Modeling (2001). CIRANO / CIRANO Working Papers

(4) RePEc:cpr:ceprdp:2999 UK Inflation in the 1970s and 1980s: The Role of Output Gap Mismeasurement (2001). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(5) RePEc:cte:wsrepe:ws010704 OUTLIERS AND CONDITIONAL AUTOREGRESSIVE HETEROSCEDASTICITY IN TIME SERIES (2001). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(6) RePEc:dgr:eureir:2001230 Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry (2001). Erasmus University Rotterdam, Econometric Institute / Econometric Institute Report

(7) RePEc:dgr:eureri:2001111 Methodological Advances in Dea (2001). Erasmus Research Institute of Management (ERIM), RSM Erasmus University / Research Paper

(8) RePEc:dgr:kubcen:200137 On the harm that pretesting does (2001). Tilburg University, Center for Economic Research / Discussion Paper

(9) RePEc:fip:fedawp:2001-24 Minimum-variance kernels, economic risk premia, and tests of multi-beta models (2001). Federal Reserve Bank of Atlanta / Working Paper

(10) RePEc:fip:fedawp:2001-26 The price of inflation and foreign exchange risk in international equity markets (2001). Federal Reserve Bank of Atlanta / Working Paper

(11) RePEc:fip:fedcwp:0106 Maximum likelihood in the frequency domain: the importance of time-to-plan (2001). Federal Reserve Bank of Cleveland / Working Paper

(12) RePEc:fip:fedgfe:2001-28 Jump-diffusion term structure and Ito conditional moment generator (2001). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(13) RePEc:fip:fedgfe:2001-49 Estimating stochastic volatility diffusion using conditional moments of integrated volatility (2001). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(14) RePEc:fip:fedgif:710 Testing optimality in job search models (2001). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(15) RePEc:fip:fedhwp:wp-01-15 Recovering risk aversion from options (2001). Federal Reserve Bank of Chicago / Working Paper Series

(16) RePEc:fip:fedkrw:rwp01-14 Evaluating long-horizon forecasts (2001). Federal Reserve Bank of Kansas City / Research Working Paper

(17) RePEc:gen:geneem:2001.02 Robust Inference Based on Quasi-likelihoods for Genralized Linear Models and Longitudinal Data (2001). Département d'Econométrie, Université de Genève / Cahiers du Département d'Econométrie

(18) RePEc:hhs:gunwpe:0054 Stochastic Production and Heterogeneous Risk Preferences: Commercial Fishers’ Gear Choices (2001). Göteborg University, Department of Economics / Working Papers in Economics

(19) RePEc:iza:izadps:dp400 The Predictive Value of Subjective Labour Supply Data: A Dynamic Panel Data Model with Measurement Error (2001). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(20) RePEc:jae:japmet:v:16:y:2001:i:5:p:563-576 Model uncertainty in cross-country growth regressions (2001). Journal of Applied Econometrics

(21) RePEc:lsu:lsuwpp:2001-11 Maximum Entropy Estimation in Economic Models with Linear Inequality Restrictions (2001). Department of Economics, Louisiana State University / Departmental Working Papers

(22) RePEc:lsu:lsuwpp:2006-01 Initial Conditions, European Colonialism and Africas Growth (2001). Department of Economics, Louisiana State University / Departmental Working Papers

(23) RePEc:nbr:nberwo:8636 The Curse of Non-Investment Grade Countries (2001). National Bureau of Economic Research, Inc / NBER Working Papers

(24) RePEc:wpa:wuwpem:0110002 Model uncertainty in cross-country growth regressions (2001). EconWPA / Econometrics

(25) RePEc:wpa:wuwpem:9903003 Model uncertainty in cross-country growth regressions (2001). EconWPA / Econometrics

(26) RePEc:wpa:wuwpur:0110002 Spatial Analysis of Regional Income Inequality (2001). EconWPA / Urban/Regional

Latest citations received in: 2000

(1) RePEc:boc:bocoec:479 Asymptotic Trimming for Bounded Density Plug-in Estimators (2000). Boston College Department of Economics / Boston College Working Papers in Economics

(2) RePEc:cam:camdae:0003 Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration (2000). Faculty of Economics (formerly DAE), University of Cambridge / Cambridge Working Papers in Economics

(3) RePEc:cam:camdae:0004 Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy (2000). Faculty of Economics (formerly DAE), University of Cambridge / Cambridge Working Papers in Economics

(4) RePEc:cep:stiecm:/2000/389 Nonparametric Censored and Truncated Regression (2000). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(5) RePEc:cep:stiecm:/2000/392 Semi-Parametric Indirect Inference (2000). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(6) RePEc:ces:ceswps:_345 Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy (2000). CESifo GmbH / CESifo Working Paper Series

(7) RePEc:cla:penntw:cae679cdc2e020f74d692ae73e6d291c Utilizing Artificial Neural Network Model to Predict Stock Markets (2000). UCLA Department of Economics / Penn CARESS Working Papers

(8) RePEc:dgr:eureir:2000200 Smooth transition autoregressive models - A survey of recent developments (2000). Erasmus University Rotterdam, Econometric Institute / Econometric Institute Report

(9) RePEc:dgr:eureir:2000206 On the variation of hedging decisions in daily currency risk management (2000). Erasmus University Rotterdam, Econometric Institute / Econometric Institute Report

(10) RePEc:dgr:kubcen:200028 A maximum likelyhood estimator based on first difference for a panel data tobit model with individual specific effects (2000). Tilburg University, Center for Economic Research / Discussion Paper

(11) RePEc:diw:diwwpp:dp204 Money Demand in Europe : Evidence from the Past (2000). DIW Berlin, German Institute for Economic Research / Discussion Papers of DIW Berlin

(12) RePEc:ecm:wc2000:0312 Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(13) RePEc:ecm:wc2000:0319 Tests of Equal Forecast Accuracy and Encompassing for Nested Models (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(14) RePEc:ecm:wc2000:0364 Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(15) RePEc:ecm:wc2000:0561 Distributions of Error Correction Tests for Cointegration (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(16) RePEc:ecm:wc2000:1094 On Measuring the Welfare Cost of Business Cycles (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(17) RePEc:ecm:wc2000:1381 Bayesian Analysis of Switching ARCH Models (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(18) RePEc:ecm:wc2000:1567 Identification and SQRT N Efficient Estimation of Semiparametric Panel Data Models with Binary Dependent Variables and a Latent Factor (2000). Econometric Society / Econometric Society World Congress 2000 Contributed Papers

(19) RePEc:fip:fedgif:685 Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns (2000). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(20) RePEc:fth:nystfi:99-014 Empirical Pricing Kernels (2000). New York University, Leonard N. Stern School of Business- / New York University, Leonard N. Stern School Finance Department Working Paper Seires

(21) RePEc:hhs:gunwpe:0031 Compensatory inter vivos gifts (2000). Göteborg University, Department of Economics / Working Papers in Economics

(22) RePEc:ivi:wpasad:2000-25 SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE (2000). Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) / Working Papers. Serie AD

(23) RePEc:iza:izadps:dp141 The Effects of Public Sector Sponsored Training on Individual Employment Performance in East Germany (2000). Institute for the Study of Labor (IZA) / IZA Discussion Papers

(24) RePEc:jae:japmet:v:15:y:2000:i:6:p:625-644 Econometric applications of maxmin expected utility (2000). Journal of Applied Econometrics

(25) RePEc:jae:japmet:v:15:y:2000:i:6:p:645-670 Loss function-based evaluation of DSGE models (2000). Journal of Applied Econometrics

(26) RePEc:lev:wrkpap:319 Compensatory inter vivos gifts (2000). Levy Economics Institute, The / Economics Working Paper Archive

(27) RePEc:nbr:nberte:0263 Using Studies of Treatment Response to Inform Treatment Choice in Heterogeneous Populations (2000). National Bureau of Economic Research, Inc / NBER Technical Working Papers

(28) RePEc:nbr:nberte:0264 Long Memory and Regime Switching (2000). National Bureau of Economic Research, Inc / NBER Technical Working Papers

(29) RePEc:taf:jitecd:v:9:y:2000:i:4:p:445-470 Export-led growth: a survey of the empirical literature and some non-causality results. Part 2 (2000). Journal of International Trade & Economic Development

(30) RePEc:uwo:uwowop:200018 Evaluating Profiling as a Means of Allocating Government Services (2000). University of Western Ontario, Department of Economics / UWO Department of Economics Working Papers

(31) RePEc:van:wpaper:0044 A Simple Cointegrating Rank Test Without Vector Autoregression (2000). Department of Economics, Vanderbilt University / Working Papers

(32) RePEc:vic:vicewp:0002 Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2 (2000). Department of Economics, University of Victoria / Econometrics Working Papers

(33) RePEc:wop:humbsf:2000-10 Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift (2000). Humboldt Universitaet Berlin / Sonderforschungsbereich 373

(34) RePEc:wop:humbsf:2000-35 Money Demand in Europe: Evidence from the Past (2000). Humboldt Universitaet Berlin / Sonderforschungsbereich 373

(35) RePEc:wop:humbsf:2000-83 Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process (2000). Humboldt Universitaet Berlin / Sonderforschungsbereich 373

(36) RePEc:wpa:wuwpem:0004007 A Multivariate GARCH Model with Time-Varying Correlations (2000). EconWPA / Econometrics

(37) RePEc:wpa:wuwpem:0004010 A Multivariate GARCH Model with Time-Varying correlations (2000). EconWPA / Econometrics

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©2008 Jose Manuel Barrueco | mail: barrueco@uv.es