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

 

  
 

Econometric Reviews / Taylor and Francis Journals

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
19900.091402000.04
19910.091533000.05
19920.082702900.04
19930.091404200.05
19940.12024100.05
19950.122803400.06
19960.162404800.08
19970.2123465200.08
19980.223311847010.030.09
19990.20.282465561100.13
20000.160.3722307579040.180.16
20010.260.3823554612030.130.16
20020.40.412117545185.650.240.2
20030.450.4324804420020.080.2
20040.420.498584519010.130.22
20050.410.52291183213090.310.24
20060.780.52110537290120.570.23
20070.50.423419450250160.470.19
20081.240.4341615568040.10.21
20090.80.43505175600110.220.19
20100.290.3635249126040.110.15
 
 
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
2000GMM Estimation with persistent panel data: an application to production functions
RePEc:taf:emetrv:v:19:y:2000:i:3:p:321-340 [Citation Analysis]		201
2007Bayesian Analysis of DSGE Models
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172 [Citation Analysis]		88
1998A residual-based test of the null of cointegration in panel data
RePEc:taf:emetrv:v:17:y:1998:i:1:p:57-84 [Citation Analysis]		65
2005Evaluating Direct Multistep Forecasts
RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404 [Citation Analysis]		50
2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47 [Citation Analysis]		47
2006Multivariate Stochastic Volatility: A Review
RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175 [Citation Analysis]		40
2000Nonstationary panel data analysis: an overview of some recent developments
RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286 [Citation Analysis]		38
2002ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
RePEc:taf:emetrv:v:21:y:2002:i:4:p:431-447 [Citation Analysis]		35
2002LONG-RUN STRUCTURAL MODELLING
RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87 [Citation Analysis]		31
2007MIDAS Regressions: Further Results and New Directions
RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90 [Citation Analysis]		26
2004Automatic Block-Length Selection for the Dependent Bootstrap
RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70 [Citation Analysis]		24
2005A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
RePEc:taf:emetrv:v:24:y:2005:i:2:p:151-173 [Citation Analysis]		22
2007Bayesian Analysis of DSGE Models—Rejoinder
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219 [Citation Analysis]		22
2001A REVIEW OF SYSTEMS COINTEGRATION TESTS
RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318 [Citation Analysis]		20
2007Forecast Combination and Model Averaging Using Predictive Measures
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:329-363 [Citation Analysis]		20
2006The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
RePEc:taf:emetrv:v:25:y:2006:i:1:p:85-116 [Citation Analysis]		20
2008The Volatility of Realized Volatility
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78 [Citation Analysis]		20
1998Confidence intervals for impulse responses under departures from normality
RePEc:taf:emetrv:v:17:y:1998:i:1:p:1-29 [Citation Analysis]		20
2003Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335 [Citation Analysis]		19
2003A Consistent Method for the Selection of Relevant Instruments
RePEc:taf:emetrv:v:22:y:2003:i:3:p:269-287 [Citation Analysis]		19
2008Realized Volatility: A Review
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45 [Citation Analysis]		19
1999Using simulation methods for bayesian econometric models: inference, development,and communication
RePEc:taf:emetrv:v:18:y:1999:i:1:p:1-73 [Citation Analysis]		18
2004Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model
RePEc:taf:emetrv:v:23:y:2004:i:2:p:125-147 [Citation Analysis]		17
1999An introduction to hypergeometric functions for economists
RePEc:taf:emetrv:v:18:y:1999:i:3:p:287-330 [Citation Analysis]		15
1997Exact testing in multivariate regression
RePEc:taf:emetrv:v:16:y:1997:i:3:p:321-352 [Citation Analysis]		15
2007Forecasting Performance of an Open Economy DSGE Model
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328 [Citation Analysis]		15
2003Regularity of the Generalized Quadratic Production Model: A Counterexample
RePEc:taf:emetrv:v:22:y:2003:i:2:p:135-154 [Citation Analysis]		15
2007Normalization in Econometrics
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:221-252 [Citation Analysis]		15
1999Estimating consumer surplus comments on using simulation methods for bayesian econometric models: inference development and communication
RePEc:taf:emetrv:v:18:y:1999:i:1:p:75-87 [Citation Analysis]		15
2000Stochastic dominance amongst swedish income distributions
RePEc:taf:emetrv:v:19:y:2000:i:3:p:287-320 [Citation Analysis]		14
2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440 [Citation Analysis]		14
2007Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
RePEc:taf:emetrv:v:26:y:2007:i:6:p:609-641 [Citation Analysis]		14
2006Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models
RePEc:taf:emetrv:v:25:y:2006:i:4:p:523-544 [Citation Analysis]		13
1999Using simulation methods for bayesian econometric models: inference, development and communication: some comments
RePEc:taf:emetrv:v:18:y:1999:i:1:p:113-118 [Citation Analysis]		13
2008Moving Average-Based Estimators of Integrated Variance
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:79-111 [Citation Analysis]		13
2002A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
RePEc:taf:emetrv:v:21:y:2002:i:3:p:309-336 [Citation Analysis]		13
2004Estimator Choice and Fishers Paradox: A Monte Carlo Study
RePEc:taf:emetrv:v:23:y:2004:i:1:p:25-52 [Citation Analysis]		11
2000Estimation of tobit-type models with individual specific effects
RePEc:taf:emetrv:v:19:y:2000:i:3:p:341-366 [Citation Analysis]		11
2009Pairwise Tests of Purchasing Power Parity
RePEc:taf:emetrv:v:28:y:2009:i:6:p:495-521 [Citation Analysis]		11
2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384 [Citation Analysis]		10
2000Recent developments in bootstrapping time series
RePEc:taf:emetrv:v:19:y:2000:i:1:p:1-48 [Citation Analysis]		10
2000Problems related to confidence intervals for impulse responses of autoregressive processes
RePEc:taf:emetrv:v:19:y:2000:i:1:p:69-103 [Citation Analysis]		10
2002SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
RePEc:taf:emetrv:v:21:y:2002:i:3:p:273-307 [Citation Analysis]		10
1998Count data models with selectivity
RePEc:taf:emetrv:v:17:y:1998:i:4:p:339-359 [Citation Analysis]		9
2006Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:335-360 [Citation Analysis]		9
2005RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
RePEc:taf:emetrv:v:24:y:2005:i:1:p:1-37 [Citation Analysis]		8
2002A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
RePEc:taf:emetrv:v:21:y:2002:i:4:p:477-496 [Citation Analysis]		8
1997Locally optimal one-sided tests for multiparameter hypotheses
RePEc:taf:emetrv:v:16:y:1997:i:2:p:131-156 [Citation Analysis]		8
2008Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:230-253 [Citation Analysis]		8
2003Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
RePEc:taf:emetrv:v:22:y:2003:i:3:p:217-237 [Citation Analysis]		8

Citing documents used to compute impact factor 26:
YearTitleSee
2010A Time-varying Mixing Multiplicative Error Model for Realized Volatility
RePEc:fir:econom:wp2010_03		[Citation Analysis]
2010Misspecification tests for periodic long memory GARCH models
RePEc:spr:stmapp:v:19:y:2010:i:1:p:47-62		[Citation Analysis]
2010Model based Monte Carlo pricing of energy and temperature quanto options
RePEc:pra:mprapa:25538		[Citation Analysis]
2010On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach
RePEc:eee:ecolec:v:69:y:2010:i:3:p:641-650		[Citation Analysis]
2010Measuring Persistence of U.S. City Prices: New Evidence from Robust Tests
RePEc:pra:mprapa:22482		[Citation Analysis]
2010On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach.
RePEc:ner:dauphi:urn:hdl:123456789/6801		[Citation Analysis]
2010Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
RePEc:cbt:econwp:10/19		[Citation Analysis]
2010Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
RePEc:cbt:econwp:10/27		[Citation Analysis]
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
RePEc:dgr:eureir:1765018043		[Citation Analysis]
2010A stochastic frontier model with correction for sample selection
RePEc:kap:jproda:v:34:y:2010:i:1:p:15-24		[Citation Analysis]
2010Ranking multivariate GARCH models by problem dimension
RePEc:dgr:eureir:1765019447		[Citation Analysis]
2010Ranking Multivariate GARCH Models by Problem Dimension
RePEc:cfi:fseres:cf219		[Citation Analysis]
2010Testing for Group-Wise Convergence with an Application to Euro Area Inflation
RePEc:pra:mprapa:20585		[Citation Analysis]
2010Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
RePEc:dgr:uvatin:20100115		[Citation Analysis]
2010Jump robust two time scale covariance estimation and realized volatility budgets.
RePEc:ner:leuven:urn:hdl:123456789/282532		[Citation Analysis]
2010Realized volatility and overnight returns
RePEc:hhs:bofrdp:2010_019		[Citation Analysis]
2010Volatility Transmission in Emerging European Foreign Exchange Markets
RePEc:ces:ceswps:_3063		[Citation Analysis]
2010Forecasting Realized Volatility with Linear and Nonlinear Models
RePEc:rio:texdis:568		[Citation Analysis]
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
RePEc:acb:cbeeco:2010-520		[Citation Analysis]
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps
RePEc:msh:ebswps:2010-11		[Citation Analysis]
2010Long memory and nonlinearities in realized volatility: a Markov switching approach.
RePEc:bol:bodewp:694		[Citation Analysis]
2010Ranking Multivariate GARCH Models by Problem Dimension
RePEc:cfi:fseres:cf219		[Citation Analysis]
2010Ranking multivariate GARCH models by problem dimension
RePEc:dgr:eureir:1765019447		[Citation Analysis]
2010Zero-intelligence realized variance estimation
RePEc:spr:finsto:v:14:y:2010:i:2:p:249-283		[Citation Analysis]
2010Goodness of fit test for ergodic diffusions by tick time sample scheme
RePEc:spr:sistpr:v:13:y:2010:i:1:p:81-95		[Citation Analysis]
2010Modelling and Forecasting Noisy Realized Volatility
RePEc:cbt:econwp:10/21		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee
2010Do Natural Resources Attract FDI? Evidence from Non-Stationary Sector-Level Data
RePEc:cpr:ceprdp:8079		[Citation Analysis]
2010VARs, Cointegration and Common Cycle Restrictions
RePEc:msh:ebswps:2010-14		[Citation Analysis]
2010Estimating the Baumol-Bowen and Balassa-Samuelson Effects in the Polish Economy - a Disaggregated Approach
RePEc:psc:journl:v:2:y:2010:i:4:p:117-150		[Citation Analysis]
2010Forecasting Realized Volatility with Linear and Nonlinear Models
RePEc:rio:texdis:568		[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
RePEc:cfi:fseres:cf170		[Citation Analysis]
2009VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
RePEc:cfi:fseres:cf178		[Citation Analysis]
2009VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
RePEc:dgr:eureir:1765017295		[Citation Analysis]
2009Detrending Bootstrap Unit Root Tests
RePEc:dgr:umamet:2009056		[Citation Analysis]
2009Modelling Global Trade Flows - Results from a GVAR Model.
RePEc:ecb:ecbwps:20091087		[Citation Analysis]
2009Interest rate transmission in the UK: a comparative analysis across financial firms and products
RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:45-63		[Citation Analysis]
2009Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
RePEc:tky:fseres:2009cf639		[Citation Analysis]
2009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
RePEc:tky:fseres:2009cf640		[Citation Analysis]
2009Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
RePEc:tky:fseres:2009cf641		[Citation Analysis]
2009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
RePEc:ucm:doicae:0910		[Citation Analysis]
2009The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey
RePEc:wat:wpaper:0904		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise
RePEc:par:dipeco:2008-me01		[Citation Analysis]
2008Implied Volatility with Time-Varying Regime Probabilities
RePEc:pra:mprapa:23721		[Citation Analysis]
2008Decimalization, Realized Volatility, and Market Microstructure Noise
RePEc:pra:mprapa:8692		[Citation Analysis]
2008Volatility forecasting: the jumps do matter
RePEc:usi:wpaper:534		[Citation Analysis]

Recent citations received in: 2007

YearTitleSee
2007Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections
RePEc:cda:wpaper:06-24		[Citation Analysis]
2007Inference for Impulse Responses
RePEc:cda:wpaper:07-7		[Citation Analysis]
2007Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model
RePEc:cpr:ceprdp:6373		[Citation Analysis]
2007Monetary and Fiscal Policies in a Sudden Stop: Is Tighter Brighter?
RePEc:ecl:harjfk:rwp07-057		[Citation Analysis]
2007Joint Inference and Counterfactual Experimentation for Impulse Response Functions by Local Projections
RePEc:ecl:ucdeco:06-24		[Citation Analysis]
2007Inference for Impulse Responses
RePEc:ecl:ucdeco:07-7		[Citation Analysis]
2007Estimation and Inference by the Method of Projection Minimum Distance
RePEc:ecl:ucdeco:07-8		[Citation Analysis]
2007Bayesian Forecast Combination for VAR Models
RePEc:hhs:oruesi:2007_013		[Citation Analysis]
2007Bayesian forecast combination for VAR models
RePEc:hhs:rbnkwp:0216		[Citation Analysis]
2007Heterogeneity in consumer demands and the income effect: evidence from panel data
RePEc:ifs:ifsewp:07/16		[Citation Analysis]
2007Political Business Cycles in the New Keynesian Model
RePEc:irv:wpaper:070805		[Citation Analysis]
2007Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
RePEc:lvl:lacicr:0749		[Citation Analysis]
2007Monetary Policy Analysis with Potentially Misspecified Models
RePEc:nbr:nberwo:13099		[Citation Analysis]
2007The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001.
RePEc:pra:mprapa:3419		[Citation Analysis]
2007Classical and Bayesian Methods for the VAR Analysis: International Comparisons
RePEc:rpo:ripoec:v:97:y:2007:i:6:p:149-202		[Citation Analysis]
2007Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities
RePEc:zbw:bubdp1:5573		[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.
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