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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

 
 

Econometric Theory / Cambridge University Press

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), 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
19900.070.096111099700.04
19910.060.09532011056010.020.05
19920.040.08712411144010.010.04
19930.050.09791921246020.030.05
19940.090.17037715013060.090.05
19950.060.121007081499020.020.06
19960.150.168040417025050.060.08
19970.110.2174497180200120.160.08
19980.180.224032715428040.10.09
19990.270.2837335114310100.270.13
20000.510.37463427739090.20.16
20010.470.38432368339080.190.16
20020.470.416241089420200.320.2
20030.50.4374260105520160.220.2
20040.480.496333113665090.140.22
20050.470.5261293137640240.390.24
20060.60.557107124740130.230.23
20070.360.425382118430150.280.19
20080.380.4369159110420370.540.21
20090.520.4381119122630220.270.19
20100.290.36674515044070.10.15
 
 
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

 

Main indicators

Most cited documents in this series:
YearTitleCited
1995Multivariate Simultaneous Generalized ARCH
RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00 [Citation Analysis]
262
1996Which Moments to Match?
RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00 [Citation Analysis]
177
2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20 [Citation Analysis]
158
1997Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995
RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00 [Citation Analysis]
158

RePEc:cup:etheor:v:12:y:1996:i:4:p:657-81 [Citation Analysis]
118
2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19 [Citation Analysis]
112

RePEc:cup:etheor:v:11:y:1995:i:1:p:122-50 [Citation Analysis]
106
1997Estimating Multiple Breaks One at a Time
RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00 [Citation Analysis]
89
1996Markov Chain Monte Carlo Simulation Methods in Econometrics
RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00 [Citation Analysis]
84
1991Asymptotically Efficient Estimation of Cointegration Regressions
RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00 [Citation Analysis]
81
2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05 [Citation Analysis]
72
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY
RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17 [Citation Analysis]
71
1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00 [Citation Analysis]
68
1997Optimal Prediction Under Asymmetric Loss
RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00 [Citation Analysis]
67
1995Inference in Models with Nearly Integrated Regressors
RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00 [Citation Analysis]
66
1999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15 [Citation Analysis]
65
2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18 [Citation Analysis]
64
1986Asymptotic Theory for ARCH Models: Estimation and Testing
RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01 [Citation Analysis]
60
1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS
RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14 [Citation Analysis]
60
1998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14 [Citation Analysis]
59
1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01 [Citation Analysis]
57
2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18 [Citation Analysis]
55
1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator
RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00 [Citation Analysis]
55
1998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES
RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14 [Citation Analysis]
55
1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15 [Citation Analysis]
53

RePEc:cup:etheor:v:12:y:1996:i:3:p:409-31 [Citation Analysis]
52
1993Testing Identifiability and Specification in Instrumental Variable Models
RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00 [Citation Analysis]
51
1989Statistical Inference in Regressions with Integrated Processes: Part 2
RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01 [Citation Analysis]
49
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18 [Citation Analysis]
48
1999THE NONSTATIONARY FRACTIONAL UNIT ROOT
RePEc:cup:etheor:v:15:y:1999:i:04:p:549-582_15 [Citation Analysis]
48
1989Partially Identified Econometric Models
RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01 [Citation Analysis]
48
1995Causality in the Long Run
RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00 [Citation Analysis]
48
1995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00 [Citation Analysis]
48

RePEc:cup:etheor:v:13:y:1997:i:3:p:315-52 [Citation Analysis]
48
1988Statistical Inference in Regressions with Integrated Processes: Part 1
RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01 [Citation Analysis]
47
1997Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
RePEc:cup:etheor:v:13:y:1997:i:06:p:818-848_00 [Citation Analysis]
46
1995Nonparametric Kernel Estimation for Semiparametric Models
RePEc:cup:etheor:v:11:y:1995:i:03:p:560-586_00 [Citation Analysis]
43
1989Testing for Unit Roots in Time Series Data
RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01 [Citation Analysis]
43

RePEc:cup:etheor:v:13:y:1997:i:6:p:808-17 [Citation Analysis]
42
1999THE SIZE DISTORTION OF BOOTSTRAP TESTS
RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15 [Citation Analysis]
40
2001ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
RePEc:cup:etheor:v:17:y:2001:i:04:p:686-710_17 [Citation Analysis]
39
1995An LM Test for a Unit Root in the Presence of a Structural Change
RePEc:cup:etheor:v:11:y:1995:i:02:p:359-368_00 [Citation Analysis]
38
2004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20 [Citation Analysis]
36
2001ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES
RePEc:cup:etheor:v:17:y:2001:i:02:p:451-470_17 [Citation Analysis]
36

RePEc:cup:etheor:v:10:y:1994:i:1:p:95-115 [Citation Analysis]
36

RePEc:cup:etheor:v:11:y:1995:i:5:p:1131-47 [Citation Analysis]
35

RePEc:cup:etheor:v:7:y:1991:i:1:p:1-21 [Citation Analysis]
35
1994Testing for Second-Order Stochastic Dominance of Two Distributions
RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00 [Citation Analysis]
33
1995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
RePEc:cup:etheor:v:11:y:1995:i:05:p:984-1014_00 [Citation Analysis]
33
1994Kernel Estimation of Partial Means and a General Variance Estimator
RePEc:cup:etheor:v:10:y:1994:i:02:p:1-21_00 [Citation Analysis]
32

Citing documents used to compute impact factor 44:
YearTitleSee
2010Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
RePEc:ptu:wpaper:w201030
[Citation Analysis]
2010Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility
RePEc:dgr:umamet:2010015
[Citation Analysis]
2010Robust methods for detecting multiple level breaks in autocorrelated time series
RePEc:not:notgts:10/01
[Citation Analysis]
2010Bootstrap union tests for unit roots in the presence of nonstationary volatility
RePEc:not:notgts:10/03
[Citation Analysis]
2010Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation
RePEc:pra:mprapa:25204
[Citation Analysis]
2010Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging
RePEc:rio:texdis:570
[Citation Analysis]
2010Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
RePEc:not:notgts:10/04
[Citation Analysis]
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
RePEc:aah:create:2010-07
[Citation Analysis]
2010The effect of foreign ownership on SMEs performance: An efficiency analysis perspective
RePEc:kap:jproda:v:34:y:2010:i:2:p:167-180
[Citation Analysis]
2010Higher Order Improvements for Approximate Estimators
RePEc:clu:wpaper:0910-15
[Citation Analysis]
2010Higher Order Improvements for Approximate Estimators
RePEc:kud:kuieca:2010_04
[Citation Analysis]
2010GDP nowcasting with ragged-edge data: a semi-parametric modeling
RePEc:hal:cesptp:halshs-00460461
[Citation Analysis]
2010Large Bayesian vector auto regressions
RePEc:jae:japmet:v:25:y:2010:i:1:p:71-92
[Citation Analysis]
2010Fiscal Foresight and the Effects of Goverment Spending
RePEc:cpr:ceprdp:7840
[Citation Analysis]
2010Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
RePEc:cpr:ceprdp:7692
[Citation Analysis]
2010Parameter estimation in nonlinear AR–GARCH models
RePEc:koc:wpaper:1002
[Citation Analysis]
2010Optimal predictions of powers of conditionally heteroskedastic processes
RePEc:pra:mprapa:22155
[Citation Analysis]
2010Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
RePEc:hal:psewpa:halshs-00564897
[Citation Analysis]
2010What can we learn from primary commodity prices series which is useful to policymakers in resource-rich countries?
RePEc:qub:wpaper:0001
[Citation Analysis]
2010QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
RePEc:pra:mprapa:20779
[Citation Analysis]
2010X-Differencing and Dynamic Panel Model Estimation
RePEc:cwl:cwldpp:1747
[Citation Analysis]
2010Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
RePEc:ptu:wpaper:w201030
[Citation Analysis]
2010Persistence-robust Granger causality testing
RePEc:gue:guelph:2010-11.
[Citation Analysis]
2010Parameter estimation in nonlinear AR–GARCH models
RePEc:koc:wpaper:1002
[Citation Analysis]
2010Downsizing in the German chemical manufacturing industry during the 1990s. Why is small beautiful?
RePEc:kap:sbusec:v:34:y:2010:i:4:p:413-431
[Citation Analysis]
2010On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
RePEc:zbw:bubdp1:201008
[Citation Analysis]
2010Further evidence regarding nonlinear trend reversion of real GDP and the CPI
RePEc:pra:mprapa:24962
[Citation Analysis]
2010The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
RePEc:ptu:wpaper:w201011
[Citation Analysis]
2010Likelihood inference for a nonstationary fractional autoregressive model
RePEc:qed:wpaper:1172
[Citation Analysis]
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
RePEc:tky:fseres:2010cf706
[Citation Analysis]
2010Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
RePEc:cbt:econwp:10/19
[Citation Analysis]
2010Ranking Multivariate GARCH Models by Problem Dimension
RePEc:cfi:fseres:cf219
[Citation Analysis]
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
RePEc:dgr:eureir:1765018043
[Citation Analysis]
2010Ranking multivariate GARCH models by problem dimension
RePEc:dgr:eureir:1765019447
[Citation Analysis]
2010Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
RePEc:dgr:eureir:1765020160
[Citation Analysis]
2010Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study
RePEc:hal:psewpa:halshs-00564897
[Citation Analysis]
2010Fractionally integrated time varying GARCH model
RePEc:spr:stmapp:v:19:y:2010:i:3:p:399-430
[Citation Analysis]
2010Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
RePEc:cwl:cwldpp:1746
[Citation Analysis]
2010Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility
RePEc:dgr:umamet:2010015
[Citation Analysis]
2010Bootstrap union tests for unit roots in the presence of nonstationary volatility
RePEc:not:notgts:10/03
[Citation Analysis]
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
RePEc:aah:create:2010-07
[Citation Analysis]
2010Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
RePEc:lrk:eeaart:28_3_2
[Citation Analysis]
2010The nature of regional unemployment in Italy
RePEc:spr:empeco:v:39:y:2010:i:3:p:877-895
[Citation Analysis]
2010HEGY Tests in the Presence of Moving Averages
RePEc:ubi:deawps:42
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee
2010Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
RePEc:aah:create:2010-71
[Citation Analysis]
2010Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
RePEc:cwl:cwldpp:1665r
[Citation Analysis]
2010On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis
RePEc:eca:wpaper:2013/57649
[Citation Analysis]
2010The mysteries of the trade: employment effects of urban interindustry spillovers
RePEc:iab:iabdpa:201015
[Citation Analysis]
2010Identification and Estimation of Distributional Impacts of Interventions Using Changes in Inequality Measures
RePEc:iza:izadps:dp4841
[Citation Analysis]
2010Confidence sets for some partially identified parameters
RePEc:pra:mprapa:37149
[Citation Analysis]
2010Fostering the potential endogenous development of European regions: a spatial dynamic panel data analysis of the Cohesion Policy on regional convergence over the period 1980-2005
RePEc:tep:teppwp:wp1017
[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Co-integration Rank Testing under Conditional Heteroskedasticity
RePEc:aah:create:2009-22
[Citation Analysis]
2009Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
RePEc:aah:create:2009-37
[Citation Analysis]
2009Semiparametric Modelling and Estimation: A Selective Overview
RePEc:aah:create:2009-44
[Citation Analysis]
2009Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
RePEc:adl:wpaper:2009-26
[Citation Analysis]
2009A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component
RePEc:bos:wpaper:wp2009-005
[Citation Analysis]
2009Dynamic Misspecification in Nonparametric Cointegrating Regression
RePEc:cwl:cwldpp:1700
[Citation Analysis]
2009Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
RePEc:cwl:cwldpp:1702
[Citation Analysis]
2009Detrending Bootstrap Unit Root Tests
RePEc:dgr:umamet:2009056
[Citation Analysis]
2009A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
RePEc:eca:wpaper:2009_023
[Citation Analysis]
2009Three Cycles: Housing, Credit, and Real Activity
RePEc:imf:imfwpa:09/231
[Citation Analysis]
2009Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]
RePEc:not:notgts:09/01
[Citation Analysis]
2009The impact of the initial condition on robust tests for a linear trend
RePEc:not:notgts:09/03
[Citation Analysis]
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
RePEc:not:notgts:09/05
[Citation Analysis]
2009A quarterly post-World War II real GDP series for New Zealand
RePEc:nzb:nzbdps:2009/12
[Citation Analysis]
2009Estimating Semiparametric Panel Data Models by Marginal Integration
RePEc:pra:mprapa:18850
[Citation Analysis]
2009Regressions with Asymptotically Collinear Regressor
RePEc:pra:mprapa:31315
[Citation Analysis]
2009Exploring the effect of countries’ economic prosperity on their biodiversity performance
RePEc:pra:mprapa:32102
[Citation Analysis]
2009Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
RePEc:ptu:wpaper:w200902
[Citation Analysis]
2009Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors
RePEc:stn:sotoec:0918
[Citation Analysis]
2009Set Identified Linear Models
RePEc:tse:wpaper:22272
[Citation Analysis]
2009Contemporaneous-Threshold Smooth Transition GARCH Models
RePEc:udt:wpecon:2009-06
[Citation Analysis]
2009Avoiding extinction: equal treatment of the present and the future
RePEc:zbw:ifweej:200932
[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
RePEc:aah:create:2008-37
[Citation Analysis]
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
RePEc:aah:create:2008-50
[Citation Analysis]
2008Likelihood based testing for no fractional cointegration
RePEc:aah:create:2008-52
[Citation Analysis]
2008Maximum likelihood estimation of fractionally cointegrated systems
RePEc:aah:create:2008-53
[Citation Analysis]
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
RePEc:aah:create:2008-62
[Citation Analysis]
2008Testing for Breaks in Coefficients and Error Variance: Simulations and Applications
RePEc:bos:wpaper:wp2008-010
[Citation Analysis]
2008Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
RePEc:bos:wpaper:wp2008-011
[Citation Analysis]
2008GMM Redundancy Results for General Missing Data Problems
RePEc:crd:wpaper:08003
[Citation Analysis]
2008Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
RePEc:dgr:eureir:1765013780
[Citation Analysis]
2008The ten commandments for optimizing value-at-risk and daily capital charges
RePEc:dgr:eureir:1765013910
[Citation Analysis]
2008Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests
RePEc:dgr:umamet:2008048
[Citation Analysis]
2008Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar
RePEc:eab:financ:22571
[Citation Analysis]
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
RePEc:eui:euiwps:eco2008/24
[Citation Analysis]
2008Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
RePEc:hit:ccesdp:6
[Citation Analysis]
2008Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
RePEc:hst:ghsdps:gd08-006
[Citation Analysis]
2008Persistence in Airline Accidents
RePEc:ise:isegwp:wp182008
[Citation Analysis]
2008Specification Tests for the Distribution of Errors in Nonoarametric Regression: A Martingale Approach
RePEc:ivi:wpasad:2008-11
[Citation Analysis]
2008Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
RePEc:kof:wpskof:08-189
[Citation Analysis]
2008Inferring Welfare Maximizing Treatment Assignment under Budget Constraints
RePEc:nbr:nberwo:14447
[Citation Analysis]
2008Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing
RePEc:nbs:wpaper:2008/12
[Citation Analysis]
2008Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling.
RePEc:ner:maastr:urn:nbn:nl:ui:27-22287
[Citation Analysis]
2008Unit Root Testing with Unstable Volatility
RePEc:nuf:econwp:0806
[Citation Analysis]
2008Parameter estimation in nonlinear AR-GARCH models
RePEc:oxf:wpaper:396
[Citation Analysis]
2008Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
RePEc:pad:wpaper:0064
[Citation Analysis]
2008Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation
RePEc:pra:mprapa:11988
[Citation Analysis]
2008Now, whose schools are really better (or weaker) than Germanys? A multiple testing approach
RePEc:pra:mprapa:12008
[Citation Analysis]
2008On the distribution of the adaptive LASSO estimator
RePEc:pra:mprapa:6913
[Citation Analysis]
2008Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar
RePEc:sca:scaewp:0805
[Citation Analysis]
2008Testing for Common Values in Canadian Treasury Bill Auctions
RePEc:sip:dpaper:07-053
[Citation Analysis]
2008Bias correction for the regression-based LM fractional integration test
RePEc:spr:alstar:v:92:y:2008:i:1:p:91-99
[Citation Analysis]
2008Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling
RePEc:spr:testjl:v:17:y:2008:i:3:p:461-471
[Citation Analysis]
2008Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations
RePEc:ssb:dispap:539
[Citation Analysis]
2008Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience
RePEc:uct:uconnp:2008-49
[Citation Analysis]
2008Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems
RePEc:wrk:warwec:876
[Citation Analysis]
2008An intersection test for panel unit roots
RePEc:zbw:sfb475:200811
[Citation Analysis]
2008Robust Performance Hypothesis Testing with the Sharpe Ratio
RePEc:zur:iewwpx:320
[Citation Analysis]
2008Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling
RePEc:zur:iewwpx:337
[Citation Analysis]

Recent citations received in: 2007

YearTitleSee
2007A Statistical Programme Assignment Model
RePEc:aah:aarhec:2007-16
[Citation Analysis]
2007ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS
RePEc:cmf:wpaper:wp2007_0713
[Citation Analysis]
2007Theory and inference for a Markov switching GARCH model
RePEc:ctl:louvec:2007033
[Citation Analysis]
2007Transition Modeling and Econometric Convergence Tests
RePEc:cwl:cwldpp:1595
[Citation Analysis]
2007Long-term Outcomes of Vocational Rehabilitation Programs: Labor Market Transitions and Job Durations for Immigrants
RePEc:hhs:osloec:2007_010
[Citation Analysis]
2007Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions
RePEc:hhs:osloec:2007_013
[Citation Analysis]
2007Theory and inference for a Markov switching Garch model.
RePEc:iea:carech:0709
[Citation Analysis]
2007Detecting Misspecifications in Autoregressive Conditional Duration Models
RePEc:inu:caeprp:2007019
[Citation Analysis]
2007Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions
RePEc:iza:izadps:dp2877
[Citation Analysis]
2007A Statistical Programme Assignment Model
RePEc:iza:izadps:dp3165
[Citation Analysis]
2007Theory and Inference for a Markov-Switching GARCH Model
RePEc:lvl:lacicr:0733
[Citation Analysis]
2007Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]
RePEc:not:notgts:06/03
[Citation Analysis]
2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition
RePEc:not:notgts:07/03
[Citation Analysis]
2007Specification testing in discretized diffusion models: Theory and practice
RePEc:pra:mprapa:11980
[Citation Analysis]
2007A Gravity approach to evaluate the significance of trade liberalization in vertically-related goods in the presence of non-tariff barriers
RePEc:pra:mprapa:2744
[Citation Analysis]

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