Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

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

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.16 0 0 0 0.08 1997 0.17 17 20 0 0 1 0.06 0.09 1998 0.06 0.2 10 23 17 1 0 0.11 1999 0.15 0.3 2 0 27 4 0 0.19 2000 0.17 0.39 22 59 12 2 0 8 0.36 0.21 2001 0.17 0.36 12 49 24 4 50 2 0.17 0.19 2002 0.38 0.41 7 5 34 13 0 0.2 2003 0.37 0.42 12 32 19 7 28.6 1 0.08 0.21 2004 0.58 0.47 6 1 19 11 0 1 0.17 0.26 2005 0.22 0.46 10 16 18 4 25 2 0.2 0.29 2006 0.19 0.53 13 10 16 3 33.3 4 0.31 0.28
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:cep:stiecm:/2000/391 Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) (2000).
Cited: 20 times.

(2) RePEc:cep:stiecm:/2000/386 The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions (2000).
Cited: 19 times.

(3) RePEc:cep:stiecm:/2001/420 Semiparametric Fractional Cointegration Analysis (2001).
Cited: 19 times.

(4) RePEc:cep:stiecm:/2001/421 Narrow-Band Analysis of Nonstationary Processes (2001).
Cited: 15 times.

(5) RePEc:cep:stiecm:/2003/450 Estimation of Semiparametric Models when the Criterion Function is not Smooth (2003).
Cited: 13 times.

(6) RePEc:cep:stiecm:/2001/410 The Memory of Stochastic Volatility Models (2001).
Cited: 11 times.

(7) RePEc:cep:stiecm:/1997/328 The Method of Simulated Scores for the Estimation of LDV Models (1997).
Cited: 11 times.

(8) RePEc:cep:stiecm:/1998/359 Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.) (1998).
Cited: 10 times.

(9) RePEc:cep:stiecm:/2001/423 Determination of Cointegrating Rank in Fractional Systems (2001).
Cited: 8 times.

(10) RePEc:cep:stiecm:/2001/424 Gaussian Estimation of Parametric Spectral Density with Unknown Pole (2001).
Cited: 6 times.

(11) RePEc:cep:stiecm:/2000/402 Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income (2000).
Cited: 6 times.

(12) RePEc:cep:stiecm:/2003/451 Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (2003).
Cited: 6 times.

(13) RePEc:cep:stiecm:/2006/509 Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError (2006).
Cited: 6 times.

(14) RePEc:cep:stiecm:/1998/365 Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.) (1998).
Cited: 6 times.

(15) RePEc:cep:stiecm:/2000/408 The Averaged Periodogram for Nonstationary Vector Time Series (2000).
Cited: 5 times.

(16) RePEc:cep:stiecm:/1998/357 Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.) (1998).
Cited: 5 times.

(17) RePEc:cep:stiecm:/2005/482 Distribution Free Goodness-of-Fit Tests for Linear Processes (2005).
Cited: 5 times.

(18) RePEc:cep:stiecm:/1997/340 Some Practical Issues in Maximum Simulated Likelihood (1997).
Cited: 5 times.

(19) RePEc:cep:stiecm:/2003/453 Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods (2003).
Cited: 4 times.

(20) RePEc:cep:stiecm:/2002/433 Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002).
Cited: 4 times.

(21) RePEc:cep:stiecm:/2003/455 Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos (2003).
Cited: 4 times.

(22) RePEc:cep:stiecm:/2000/400 Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems (2000).
Cited: 4 times.

(23) RePEc:cep:stiecm:/2005/483 The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives (2005).
Cited: 3 times.

(24) RePEc:cep:stiecm:/2003/463 A Quantilogram Approach to Evaluating Directional Predictability (2003).
Cited: 2 times.

(25) RePEc:cep:stiecm:/2000/380 On Intercept Estimation in the Sample Selection Model (2000).
Cited: 2 times.

(26) RePEc:cep:stiecm:/2005/492 Modified Whittle Estimation of Multilateral Models on a Lattice (2005).
Cited: 2 times.

(27) RePEc:cep:stiecm:/2005/485 Testable Implications of Forecast Optimality (2005).
Cited: 2 times.

(28) RePEc:cep:stiecm:/2005/486 A Parametric Bootstrap Test for Cycles (2005).
Cited: 2 times.

(29) RePEc:cep:stiecm:/1997/323 Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in Journal of Time Series Analysis, 18 (1997), pp.49-60.) (1997).
Cited: 2 times.

(30) RePEc:cep:stiecm:/2003/452 An Alternative Bootstrap to Moving Blocks for Time Series Regression Models (2003).
Cited: 2 times.

(31) RePEc:cep:stiecm:/2005/481 Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole (2005).
Cited: 2 times.

(32) RePEc:cep:stiecm:/2002/438 Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory (2002).
Cited: 1 times.

(33) RePEc:cep:stiecm:/2006/499 ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION (2006).
Cited: 1 times.

(34) RePEc:cep:stiecm:/1997/329 Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices (1997).
Cited: 1 times.

(35) RePEc:cep:stiecm:/2007/523 Inference about Realized Volatility using Infill Subsampling (2007).
Cited: 1 times.

(36) RePEc:cep:stiecm:/1997/326 Semiparametric Estimation of a Sample Selection Model: A Simulation Study (1997).
Cited: 1 times.

(37) RePEc:cep:stiecm:/2007/519 Fractional Cointegration In StochasticVolatility Models (2007).
Cited: 1 times.

(38) RePEc:cep:stiecm:/1998/360 Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.) (1998).
Cited: 1 times.

(39) RePEc:cep:stiecm:/06/499 ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION (2006).
Cited: 1 times.

(40) RePEc:cep:stiecm:/2000/397 Nonparametric Estimation with Aggregated Data (2000).
Cited: 1 times.

(41) RePEc:cep:stiecm:/2001/416 Parametric Estimation under Long-Range Dependence (2001).
Cited: 1 times.

(42) RePEc:cep:stiecm:/2000/392 Semi-Parametric Indirect Inference (2000).
Cited: 1 times.

(43) RePEc:cep:stiecm:/2003/449 Cointegration in Fractional Systems with Unkown Integration Orders (2003).
Cited: 1 times.

(44) RePEc:cep:stiecm:/2006/503 Nonparametric Transformation to White Noise (2006).
Cited: 1 times.

(45) RePEc:cep:stiecm:/2004/474 Nonparametric Inference for Unbalanced Time Series Data (2004).
Cited: 1 times.

(46) RePEc:cep:stiecm:/2007/525 Multiple Local Whittle Estimation in StationarySystems (2007).
Cited: 1 times.

(47) RePEc:cep:stiecm:/2006/497 Consistent estimation of the memory parameterfor nonlinear time series (2006).
Cited: 1 times.

(48) RePEc:cep:stiecm:/2000/406 Whittle Estimation of ARCH Models (2000).
Cited: 1 times.

(49) RePEc:cep:stiecm:/2007/522 DIAGNOSTIC TESTING FOR COINTEGRATION (2007).
Cited: 1 times.

(50) RePEc:cep:stiecm:/2007/517 Estimation of Nonlinear Error CorrectionModels (2007).
Cited: 1 times.

Recent citations received in: | 2006 | 2005 | 2004 | 2003

Recent citations received in: 2006

(1) RePEc:cep:stiecm:/2006/500 Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions (2006). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(2) RePEc:nuf:econwp:0603 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(3) RePEc:nuf:econwp:0610 Subsampling realised kernels (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(4) RePEc:oxf:wpaper:264 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). University of Oxford, Department of Economics / Economics Series Working Papers

Recent citations received in: 2005

(1) RePEc:cep:stiecm:/2005/481 Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole (2005). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(2) RePEc:cep:stiecm:/2005/486 A Parametric Bootstrap Test for Cycles (2005). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

Recent citations received in: 2004

(1) RePEc:cwl:cwldpp:1469 Automated Discovery in Econometrics (2004). Cowles Foundation, Yale University / Cowles Foundation Discussion Papers

Recent citations received in: 2003

(1) RePEc:qut:dpaper:167 Statistical Tests for Lyapunov Exponents of Deterministic Systems (2003). School of Economics and Finance, Queensland University of Technology / School of Economics and Finance Discussion Papers and Working Papers Series

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Source data used to compute the impact factor of RePEc series.