Citation Profile: Econometrics Journal / Econometrics Journal

Most cited documents in this series:

Year Title Cited
2000 Testing for stationarity in heterogeneous panel data
RePEc:ect:emjrnl:v:3:y:2000:i:2:p:148-161 [Citation Analysis] 143
1999 Some tests for parameter constancy in cointegrated VAR-models
RePEc:ect:emjrnl:v:2:y:1999:i:2:p:306-333 [Citation Analysis] 120
1999 Statistical algorithms for models in state space using SsfPack 2.2
RePEc:ect:emjrnl:v:2:y:1999:i:1:p:107-160 [Citation Analysis] 108
2000 Cointegration analysis in the presence of structural breaks in the deterministic trend
RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249 [Citation Analysis] 95
2003 Dynamic panel estimation and homogeneity testing under cross section dependence
RePEc:ect:emjrnl:v:6:y:2003:i:1:p:217-259 [Citation Analysis] 82
1999 Data mining reconsidered: encompassing and the general-to-specific approach to specification search
RePEc:ect:emjrnl:v:2:y:1999:i:2:p:167-191 [Citation Analysis] 74
2004 Some cautions on the use of panel methods for integrated series of macroeconomic data
RePEc:ect:emjrnl:v:7:y:2004:i:2:p:322-340 [Citation Analysis] 71
2004 Pooling of forecasts
RePEc:ect:emjrnl:v:7:y:2004:i:1:p:1-31 [Citation Analysis] 61
2001 Likelihood-based cointegration tests in heterogeneous panels
RePEc:ect:emjrnl:v:4:y:2001:i:1:p:41 [Citation Analysis] 59
2002 Distributions of error correction tests for cointegration
RePEc:ect:emjrnl:v:5:y:2002:i:2:p:285-318 [Citation Analysis] 51
2005 Breaking the panels: An application to the GDP per capita
RePEc:ect:emjrnl:v:8:y:2005:i:2:p:159-175 [Citation Analysis] 51
2004 Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations
RePEc:ect:emjrnl:v:7:y:2004:i:1:p:272-306 [Citation Analysis] 50
2003 Critical values for multiple structural change tests
RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78 [Citation Analysis] 45
1999 Improving on Data mining reconsidered by K.D. Hoover and S.J. Perez
RePEc:ect:emjrnl:v:2:y:1999:i:2:p:202-219 [Citation Analysis] 39
2002 Model selection tests for nonlinear dynamic models
RePEc:ect:emjrnl:v:5:y:2002:i:1:p:1-39 [Citation Analysis] 38
1998 A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP
RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c47-c75 [Citation Analysis] 35
1998 Bayesian inference on GARCH models using the Gibbs sampler
RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c23-c46 [Citation Analysis] 31
1999 Cointegration rank inference with stationary regressors in VAR models
RePEc:ect:emjrnl:v:2:y:1999:i:1:p:76-91 [Citation Analysis] 30
1998 Simulation-based finite sample normality tests in linear regressions
RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c154-c173 [Citation Analysis] 28
2000 Signal extraction and the formulation of unobserved components models
RePEc:ect:emjrnl:v:3:y:2000:i:1:p:84-107 [Citation Analysis] 25
2001 Fiscal forecasting: The track record of the IMF, OECD and EC
RePEc:ect:emjrnl:v:4:y:2001:i:1:p:s20-s36 [Citation Analysis] 24
2004 The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
RePEc:ect:emjrnl:v:7:y:2004:i:1:p:98-119 [Citation Analysis] 24
2004 Forecasting in dynamic factor models using Bayesian model averaging
RePEc:ect:emjrnl:v:7:y:2004:i:2:p:550-565 [Citation Analysis] 23
2000 Non-monotonic hazard functions and the autoregressive conditional duration model
RePEc:ect:emjrnl:v:3:y:2000:i:1:p:16-38 [Citation Analysis] 23
1999 Inference for Lorenz curve orderings
RePEc:ect:emjrnl:v:2:y:1999:i:1:p:49-75 [Citation Analysis] 21
2002 Exact interpretation of dummy variables in semilogarithmic equations
RePEc:ect:emjrnl:v:5:y:2002:i:1:p:149-159 [Citation Analysis] 20
2003 Econometric inflation targeting
RePEc:ect:emjrnl:v:6:y:2003:i:2:p:430-461 [Citation Analysis] 19
2003 Tests for a change in persistence against the null of difference-stationarity
RePEc:ect:emjrnl:v:6:y:2003:i:2:p:291-311 [Citation Analysis] 16
2004 Cointegration analysis in the presence of outliers
RePEc:ect:emjrnl:v:7:y:2004:i:1:p:249-271 [Citation Analysis] 15
2004 Testing linearity in cointegrating smooth transition regressions
RePEc:ect:emjrnl:v:7:y:2004:i:2:p:341-365 [Citation Analysis] 15
2002 Modelling methodology and forecast failure
RePEc:ect:emjrnl:v:5:y:2002:i:2:p:319-344 [Citation Analysis] 14
2001 Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
RePEc:ect:emjrnl:v:4:y:2001:i:2:p:8 [Citation Analysis] 14
2005 Temporal disaggregation using multivariate structural time series models
RePEc:ect:emjrnl:v:8:y:2005:i:2:p:214-234 [Citation Analysis] 14
2004 Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques
RePEc:ect:emjrnl:v:7:y:2004:i:1:p:143-167 [Citation Analysis] 14
2005 Testing for stationarity in heterogeneous panel data where the time dimension is finite
RePEc:ect:emjrnl:v:8:y:2005:i:1:p:55-69 [Citation Analysis] 13
2003 Modelling sample selection using Archimedean copulas
RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123 [Citation Analysis] 13
2001 Are apparent findings of nonlinearity due to structural instability in economic time series?
RePEc:ect:emjrnl:v:4:y:2001:i:1:p:38 [Citation Analysis] 13
2004 Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts
RePEc:ect:emjrnl:v:7:y:2004:i:2:p:566-584 [Citation Analysis] 12
2002 An investigation of tests for linearity and the accuracy of likelihood based inference using random fields
RePEc:ect:emjrnl:v:5:y:2002:i:2:p:263-284 [Citation Analysis] 12
2006 Unit root tests in three-regime SETAR models
RePEc:ect:emjrnl:v:9:y:2006:i:2:p:252-278 [Citation Analysis] 12
1999 Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application
RePEc:ect:emjrnl:v:2:y:1999:i:1:p:29-48 [Citation Analysis] 11
2005 Measurement of aggregate risk with copulas
RePEc:ect:emjrnl:v:8:y:2005:i:3:p:428-454 [Citation Analysis] 11
1999 Nonparametric bounds on employment and income effects of continuous vocational training in East Germany
RePEc:ect:emjrnl:v:2:y:1999:i:1:p:1-28 [Citation Analysis] 11
2004 A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error
RePEc:ect:emjrnl:v:7:y:2004:i:2:p:585-617 [Citation Analysis] 11
2007 Robust estimators for the fixed effects panel data model
RePEc:ect:emjrnl:v:10:y:2007:i:3:p:521-540 [Citation Analysis] 11
2004 Oil prices and exchange rates: Norwegian evidence
RePEc:ect:emjrnl:v:7:y:2004:i:2:p:476-504 [Citation Analysis] 11
2009 On the impact of error cross-sectional dependence in short dynamic panel estimation
RePEc:ect:emjrnl:v:12:y:2009:i:1:p:62-81 [Citation Analysis] 10
2002 Bounds for inference with nuisance parameters present only under the alternative
RePEc:ect:emjrnl:v:5:y:2002:i:2:p:494-519 [Citation Analysis] 10
2003 A full-factor multivariate GARCH model
RePEc:ect:emjrnl:v:6:y:2003:i:2:p:312-334 [Citation Analysis] 10
1998 The relation between conditionally heteroskedastic factor models and factor GARCH models
RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:1-9 [Citation Analysis] 10

Citing documents used to compute impact factor 24:

Year Title See
2010 Efficient Bayesian estimation and combination of GARCH-type models
RePEc:pra:mprapa:22919 [Citation Analysis]
2010 Forecasting with Factor-augmented Error Correction Models
RePEc:cpr:ceprdp:7677 [Citation Analysis]
2010 Archimedean Copulas and Temporal Dependence
RePEc:cdl:ucsdec:1549539 [Citation Analysis]
2010 Archimedean Copulas and Temporal Dependence
RePEc:cdl:ucsdec:qt0xh8q1g3 [Citation Analysis]
2010 Convex Treatment Response and Treatment Selection
RePEc:soz:wpaper:1001 [Citation Analysis]
2010 An empirical analysis of the counterfactual: a merger and divestiture in the Australian cigarette industry
RePEc:pra:mprapa:26713 [Citation Analysis]
2010 Do Peers Affect Student Achievement? Evidence from Canada Using Group Size Variation
RePEc:cir:cirwor:2010s-08 [Citation Analysis]
2010 Do Peers Affect Student Achievement? Evidence from Canada Using Group Size Variation
RePEc:iza:izadps:dp4723 [Citation Analysis]
2010 Do Peers Affect Student Achievement? Evidence from Canada Using Group Size Variation
RePEc:lvl:lacicr:1007 [Citation Analysis]
2010 QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
RePEc:pra:mprapa:20779 [Citation Analysis]
2010 Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
RePEc:arx:papers:1004.4956 [Citation Analysis]
2010 Testing the validity of the neoclassical migration model: Overall and age-group specific estimation results for German spatial planning regions
RePEc:pra:mprapa:23616 [Citation Analysis]
2010 Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity
RePEc:pra:mprapa:24053 [Citation Analysis]
2010 Cross-sectional Dependence in Panel Data Analysis
RePEc:pra:mprapa:20367 [Citation Analysis]
2010 Do spillovers matter when estimating private returns to R&D?
RePEc:ris:eibefr:2010_001 [Citation Analysis]
2010 IV Estimation of Panels with Factor Residuals
RePEc:pra:mprapa:26166 [Citation Analysis]
2010 Labor Market Entry and Earnings Dynamics: Bayesian Inference Using Mixtures-of-Experts Markov Chain Clustering
RePEc:jku:nrnwps:2010_14 [Citation Analysis]
2010 Are we spending too many years in school? Causal evidence of the impact of shortening secondary school duration
RePEc:zbw:zewdip:10011 [Citation Analysis]
2010 Are We Spending Too Many Years in School? Causal Evidence of the Impact of Shortening Secondary School Duration
RePEc:mag:wpaper:100008 [Citation Analysis]
2010 A test for multimodality of regression derivatives with application to nonparametric growth regressions
RePEc:jae:japmet:v:25:y:2010:i:3:p:458-480 [Citation Analysis]
2010 Evaluating the German (New Keynesian) Phillips curve
RePEc:eee:ecofin:v:21:y:2010:i:2:p:145-164 [Citation Analysis]
2010 Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM
RePEc:cie:wpaper:1005 [Citation Analysis]
2010 Trend extraction with a judgement-augmented hodrickprescott filter
RePEc:spr:empeco:v:39:y:2010:i:3:p:703-711 [Citation Analysis]
2010 Cross-sectional Dependence in Panel Data Analysis
RePEc:pra:mprapa:20367 [Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

Year	Title	See

Recent citations received in: 2009

Year	Title	See
2009	Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise RePEc:aah:create:2009-16	[Citation Analysis]
2009	On the Economic Evaluation of Volatility Forecasts RePEc:aah:create:2009-56	[Citation Analysis]
2009	Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches RePEc:cfr:cefirw:w0136	[Citation Analysis]
2009	BANKRUPTCY CODES, LIQUIDATION TIMING, AND DEBT VALUATION RePEc:cmf:wpaper:wp2009_0902	[Citation Analysis]
2009	UNDERIDENTIFICATION? RePEc:cmf:wpaper:wp2009_0905	[Citation Analysis]
2009	ON WATSONS NON-FORCING CONTRACTS AND RENEGOTIATION RePEc:cmf:wpaper:wp2009_0907	[Citation Analysis]
2009	MULTIPLICITY OF MIXED EQUILIBRIA IN MECHANISMS: A UNIFIED APPROACH TO EXACT AND APPROXIMATE IMPLEMENTATION RePEc:cmf:wpaper:wp2009_0908	[Citation Analysis]
2009	EQUILIBRIUM BLOCKING IN LARGE QUASILINEAR ECONOMIES RePEc:cmf:wpaper:wp2009_0911	[Citation Analysis]
2009	Estimating Income Poverty in the Presence of Missing Data and Measurement Error RePEc:diw:diwsop:diw_sp252	[Citation Analysis]
2009	A General Framework for Estimating CO2 Emissions RePEc:got:iaidps:180	[Citation Analysis]
2009	Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa? RePEc:hal:wpaper:hal-00422522	[Citation Analysis]
2009	Inference on a Generalized Roy Model, with an Application to Schooling Decisions in France RePEc:iza:izadps:dp4606	[Citation Analysis]
2009	Estimating Income Poverty in the Presence of Missing Data and Measurement Error RePEc:rtv:ceisrp:145	[Citation Analysis]
2009	Partial Identification of Discrete Counterfactual Distributions with Sequential Update of Information RePEc:soz:wpaper:0918	[Citation Analysis]
2009	Set Identified Linear Models RePEc:tse:wpaper:22272	[Citation Analysis]
2009	Treatment evaluation in the presence of sample selection RePEc:usg:dp2009:2009-07	[Citation Analysis]

Recent citations received in: 2008

Year	Title	See
2008	Measuring productivity differentials â An application to milk production in Nordic countries RePEc:ags:eaae08:44277	[Citation Analysis]
2008	International Portfolios, Capital Accumulation and Foreign Assets Dynamics RePEc:cpr:ceprdp:6902	[Citation Analysis]
2008	Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests RePEc:dgr:umamet:2008048	[Citation Analysis]
2008	Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies RePEc:pra:mprapa:9257	[Citation Analysis]
2008	Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach RePEc:wat:wpaper:08007	[Citation Analysis]
2008	Time-Deformation Modeling Of Stock Returns Directed By Duration Processes RePEc:wat:wpaper:08010	[Citation Analysis]
2008	International portfolios, capital accumulation and foreign assets dynamics RePEc:zbw:bubdp1:7444	[Citation Analysis]

Recent citations received in: 2007

Year	Title	See
2007	Long Run and Cyclical Dynamics in the US Stock Market RePEc:ces:ceswps:_2046	[Citation Analysis]
2007	Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter RePEc:ebl:ecbull:v:3:y:2007:i:67:p:1-10	[Citation Analysis]
2007	A powerful test for linearity when the order of integration is unknown [Revised to become No. 07/06 above] RePEc:not:notgts:07/01	[Citation Analysis]
2007	A powerful test for linearity when the order of integration is unknown RePEc:not:notgts:07/06	[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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