Citation Profile: Econometric Theory / Cambridge University Press

Most cited documents in this series:

Year Title Cited
1995 Multivariate Simultaneous Generalized ARCH
RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00 [Citation Analysis] 604
2004 PANEL 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] 363
1996 Which Moments to Match?
RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00 [Citation Analysis] 292
2003 ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19 [Citation Analysis] 174
1990 Stationarity and Persistence in the GARCH(1,1) Model
RePEc:cup:etheor:v:6:y:1990:i:03:p:318-334_00 [Citation Analysis] 165
1997 Econometric 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
1994 A 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] 134
1997 Estimating Multiple Breaks One at a Time
RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00 [Citation Analysis] 131
1996 Markov Chain Monte Carlo Simulation Methods in Econometrics
RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00 [Citation Analysis] 129
1991 Asymptotically Efficient Estimation of Cointegration Regressions
RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00 [Citation Analysis] 129
1994 Asymptotic 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] 128
1993 Testing Identifiability and Specification in Instrumental Variable Models
RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00 [Citation Analysis] 123

RePEc:cup:etheor:v:12:y:1996:i:4:p:657-81 [Citation Analysis] 117
1999 UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15 [Citation Analysis] 114
2005 AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05 [Citation Analysis] 110

RePEc:cup:etheor:v:11:y:1995:i:1:p:122-50 [Citation Analysis] 106
1997 Optimal Prediction Under Asymmetric Loss
RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00 [Citation Analysis] 105
2002 MIXING 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] 104
1988 Statistical Inference in Regressions with Integrated Processes: Part 1
RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01 [Citation Analysis] 104
1995 Inference in Models with Nearly Integrated Regressors
RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00 [Citation Analysis] 102
1986 Asymptotic Theory for ARCH Models: Estimation and Testing
RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01 [Citation Analysis] 99
2001 THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY
RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17 [Citation Analysis] 97
1999 ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15 [Citation Analysis] 94
1989 Testing for Unit Roots in Time Series Data
RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01 [Citation Analysis] 88
1995 Rethinking 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] 88
1988 Maximum Likelihood Estimation of Generalized ItÃ´ Processes with Discretely Sampled Data
RePEc:cup:etheor:v:4:y:1988:i:02:p:231-247_01 [Citation Analysis] 87
1989 Statistical Inference in Regressions with Integrated Processes: Part 2
RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01 [Citation Analysis] 86
1992 Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01 [Citation Analysis] 84
1998 CONSISTENT 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] 83
1989 Partially Identified Econometric Models
RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01 [Citation Analysis] 82
1995 Causality in the Long Run
RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00 [Citation Analysis] 77
1998 STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS
RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14 [Citation Analysis] 77
1990 A Unified Approach to Robust, Regression-Based Specification Tests
RePEc:cup:etheor:v:6:y:1990:i:01:p:17-43_00 [Citation Analysis] 77
2002 NECESSARY 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] 76
1995 Testing 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] 76
1999 THE NONSTATIONARY FRACTIONAL UNIT ROOT
RePEc:cup:etheor:v:15:y:1999:i:04:p:549-582_15 [Citation Analysis] 73
1998 A 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] 71
2002 TESTING 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] 70
1997 Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity
RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00 [Citation Analysis] 68
1999 THE SIZE DISTORTION OF BOOTSTRAP TESTS
RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15 [Citation Analysis] 68
1992 A Representation of Vector Autoregressive Processes Integrated of Order 2
RePEc:cup:etheor:v:8:y:1992:i:02:p:188-202_01 [Citation Analysis] 63
1995 Nonparametric Kernel Estimation for Semiparametric Models
RePEc:cup:etheor:v:11:y:1995:i:03:p:560-586_00 [Citation Analysis] 62
1997 Wald-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] 59
1991 Asymptotics for Least Absolute Deviation Regression Estimators
RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00 [Citation Analysis] 59
1994 Testing for Second-Order Stochastic Dominance of Two Distributions
RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00 [Citation Analysis] 57
2004 INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20 [Citation Analysis] 56
2001 ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES
RePEc:cup:etheor:v:17:y:2001:i:02:p:451-470_17 [Citation Analysis] 53
1992 Generic Uniform Convergence
RePEc:cup:etheor:v:8:y:1992:i:02:p:241-257_01 [Citation Analysis] 52

RePEc:cup:etheor:v:12:y:1996:i:3:p:409-31 [Citation Analysis] 52
1995 An 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] 52

Citing documents used to compute impact factor 127:

Year Title See
2011 Semiparametric selection models with binary outcomes
RePEc:ifs:cemmap:30/11 [Citation Analysis]
2011 Semiparametric Selection Models with Binary Outcomes
RePEc:iza:izadps:dp6008 [Citation Analysis]
2011 On the Applicability of the Sieve Bootstrap in Time series Panels
RePEc:dgr:umamet:2011055 [Citation Analysis]
2011 Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
RePEc:eee:csdana:v:55:y:2011:i:2:p:1008-1017 [Citation Analysis]
2011 Estimation of fractional integration under temporal aggregation
RePEc:eee:econom:v:162:y:2011:i:2:p:240-247 [Citation Analysis]
2011 A martingale approach for testing diffusion models based on infinitesimal operator
RePEc:eee:econom:v:162:y:2011:i:2:p:189-212 [Citation Analysis]
2011 Cross-sectional dependence robust block bootstrap panel unit root tests
RePEc:eee:econom:v:163:y:2011:i:1:p:85-104 [Citation Analysis]
2011 Financial integration in the pacific basin region: RIP by PANIC attack?
RePEc:eee:jimfin:v:30:y:2011:i:6:p:1019-1033 [Citation Analysis]
2011 Cointegration in Panel Data with Breaks and Cross-section Dependence
RePEc:bir:birmec:11-25 [Citation Analysis]
2011 Agricultural Price Transmission Across Space and Commodities During Price Bubbles
RePEc:anc:wpaper:367 [Citation Analysis]
2011 Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
RePEc:eee:ecolet:v:112:y:2011:i:1:p:49-52 [Citation Analysis]
2011 Parameter spaces for stationary DGPs in spatial econometric modelling
RePEc:wiw:wiwrsa:ersa11p1147 [Citation Analysis]
2011 Peer Effects in Education, Sport, and Screen Activities: Local Aggregate or Local Average?
RePEc:cpr:ceprdp:8477 [Citation Analysis]
2011 Improving the Multi-Dimensional Comparison of Simulation Results: A Spatial Visualization Approach
RePEc:asg:wpaper:1046 [Citation Analysis]
2011 Pitfalls of post-model-selection testing: experimental quantification
RePEc:spr:empeco:v:40:y:2011:i:2:p:359-372 [Citation Analysis]
2011 Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
RePEc:cwl:cwldpp:1813 [Citation Analysis]
2011 GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
RePEc:cwl:cwldpp:1828 [Citation Analysis]
2011 Inference Based on Conditional Moment Inequalities
RePEc:cwl:cwldpp:1761r [Citation Analysis]
2011 Heterogeneity and the Dynamics of Technology Adoption
RePEc:nbr:nberwo:17253 [Citation Analysis]
2011 Identifying Demand with Multidimensional Unobservables: A Random Functions Approach
RePEc:nbr:nberwo:17557 [Citation Analysis]
2011 Estimating the Distribution of Treatment Effects
RePEc:crs:wpaper:2011-25 [Citation Analysis]
2011 Adaptive Estimation in the Nonparametric Random Coefficients Binary Choice Model by Needlet Thresholding
RePEc:crs:wpaper:2011-20 [Citation Analysis]
2011 How many consumers are rational?
RePEc:eee:econom:v:164:y:2011:i:2:p:294-309 [Citation Analysis]
2011 Adaptive estimation in the nonparametric random coefficients binary choice model by needlet thresholding
RePEc:hal:wpaper:inria-00601274 [Citation Analysis]
2011 Nonparametric Estimation and Inference on Conditional Quantile Processes
RePEc:bos:wpaper:wp2011-059 [Citation Analysis]
2011 Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159 [Citation Analysis]
2011 Large panels with common factors and spatial correlation
RePEc:eee:econom:v:161:y:2011:i:2:p:182-202 [Citation Analysis]
2011 Spatial Approaches to Panel Data in Agricultural Economics: A Climate Change Application
RePEc:ags:joaaec:113518 [Citation Analysis]
2011 Estimating High Dimensional Covariance Matrices and its Applications
RePEc:cuf:journl:y:2011:v:12:i:2:p:199-215 [Citation Analysis]
2011 Estimating High Dimensional Covariance Matrices and its Applications
RePEc:cuf:wpaper:516 [Citation Analysis]
2011 Factor models
RePEc:sgo:wpaper:1121 [Citation Analysis]
2011 Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule
RePEc:bon:bonedp:bgse13_2012 [Citation Analysis]
2011 International Migration and the Propagation of HIV in Sub-Saharan Africa
RePEc:ctl:louvir:2011038 [Citation Analysis]
2011 A new method of projection-based inference in GMM with weakly identified nuisance parameters
RePEc:eee:econom:v:164:y:2011:i:2:p:239-251 [Citation Analysis]
2011 Set identified linear models
RePEc:ifs:cemmap:13/11 [Citation Analysis]
2011 Impact evaluation of trade interventions : paving the way
RePEc:wbk:wbrwps:5877 [Citation Analysis]
2011 On the Distribution of Exchange Rate Regime Treatment Effects on International Trade
RePEc:cpr:ceprdp:8654 [Citation Analysis]
2011 Impact Evaluation of Trade Interventions: Paving the Way
RePEc:cpr:ceprdp:8638 [Citation Analysis]
2011 Productivity in Chinas high technology industry: Regional heterogeneity and R&D
RePEc:pra:mprapa:32507 [Citation Analysis]
2011 Semiparametric Cost Allocation Estimation
RePEc:ags:eaae11:115742 [Citation Analysis]
2011 Semiparametric Estimation with Generated Covariates
RePEc:iza:izadps:dp6084 [Citation Analysis]
2011 Global Bahadur representation for nonparametric censored regression quantiles and its applications
RePEc:ifs:cemmap:33/11 [Citation Analysis]
2011 Conditional quantile processes based on series or many regressors
RePEc:ifs:cemmap:19/11 [Citation Analysis]
2011 Intersection bounds: estimation and inference
RePEc:ifs:cemmap:34/11 [Citation Analysis]
2011 Cointegration tests under multiple regime shifts: An application to the stock priceâdividend relationship
RePEc:spr:empeco:v:41:y:2011:i:3:p:639-662 [Citation Analysis]
2011 Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets
RePEc:eee:pacfin:v:19:y:2011:i:4:p:351-373 [Citation Analysis]
2011 Identification and Inference with Many Invalid Instruments
RePEc:nbr:nberwo:17519 [Citation Analysis]
2011 Principal Components Instrumental Variable Estimation
RePEc:cam:camdae:1119 [Citation Analysis]
2011 Normal forms of regular matrix polynomials via local rank factorization
RePEc:sas:wpaper:20111 [Citation Analysis]
2011 A characterization of vector autoregressive processes with common cyclical features
RePEc:eee:econom:v:163:y:2011:i:1:p:105-117 [Citation Analysis]
2011 How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions
RePEc:eee:ecolet:v:111:y:2011:i:2:p:170-172 [Citation Analysis]
2011 Identification and Inference with Many Invalid Instruments
RePEc:nbr:nberwo:17519 [Citation Analysis]
2011 Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects
RePEc:msh:ebswps:2011-14 [Citation Analysis]
2011 Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
RePEc:msh:ebswps:2011-12 [Citation Analysis]
2011 On Augmented HEGY Tests for Seasonal Unit Roots
RePEc:man:sespap:1121 [Citation Analysis]
2011 Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
RePEc:dgr:umamet:2011056 [Citation Analysis]
2011 Asymptotic normal tests for integration in panels withÂ cross-dependent units
RePEc:spr:alstar:v:95:y:2011:i:2:p:187-204 [Citation Analysis]
2011 Joint Detection of Structural Change and Nonstationarity in Autoregressions
RePEc:pra:mprapa:29189 [Citation Analysis]
2011 Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation
RePEc:bfr:banfra:334 [Citation Analysis]
2011 Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function
RePEc:ris:albaec:2011_010 [Citation Analysis]
2011 Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation
RePEc:ags:eaae11:120387 [Citation Analysis]
2011 Set identified linear models
RePEc:ifs:cemmap:13/11 [Citation Analysis]
2011 Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
RePEc:cwl:cwldpp:1676r [Citation Analysis]
2011 Inference for VARs Identified with Sign Restrictions
RePEc:cpr:ceprdp:8432 [Citation Analysis]
2011 Gravity and extended gravity: estimating a structural model of export entry
RePEc:pra:mprapa:30311 [Citation Analysis]
2011 Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power
RePEc:cwl:cwldpp:1815 [Citation Analysis]
2011 Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
RePEc:rjr:romjef:v::y:2011:i:2:p:116-141 [Citation Analysis]
2011 Structural breaks and financial volatility: Lessons from BRIC countries
RePEc:zbw:iamo11:13 [Citation Analysis]
2011 An investigation of parametric tests of CCC assumption
RePEc:man:sespap:1109 [Citation Analysis]
2011 On the Nonparametric Tests of Univariate GARCH Regression Models
RePEc:man:sespap:1115 [Citation Analysis]
2011 Model selection criteria in multivariate models with multiple structural changes
RePEc:eee:econom:v:164:y:2011:i:2:p:218-238 [Citation Analysis]
2011 Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
RePEc:eee:csdana:v:55:y:2011:i:2:p:1008-1017 [Citation Analysis]
2011 Estimation in threshold autoregressive models with a stationary and a unit root regime
RePEc:msh:ebswps:2011-21 [Citation Analysis]
2011 Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
RePEc:msh:ebswps:2011-13 [Citation Analysis]
2011 Semiparametric Estimation in Multivariate Nonstationary Time Series Models
RePEc:msh:ebswps:2011-17 [Citation Analysis]
2011 A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors
RePEc:msh:ebswps:2011-20 [Citation Analysis]
2011 A conditional nonparametric analysis for measuring the efficiency of regional public healthcare delivery: An application to Greek prefectures
RePEc:eee:hepoli:v:103:y:2011:i:1:p:73-82 [Citation Analysis]
2011 Indirect likelihood inference
RePEc:aub:autbar:874.11 [Citation Analysis]
2011 Indirect Likelihood Inference
RePEc:cpm:dynare:008 [Citation Analysis]
2011 Testing Conditional Factor Models
RePEc:nbr:nberwo:17561 [Citation Analysis]
2011 Semi-nonparametric estimation and misspecification testing of diffusion models
RePEc:eee:econom:v:164:y:2011:i:2:p:382-403 [Citation Analysis]
2011 Indirect likelihood inference
RePEc:bge:wpaper:558 [Citation Analysis]
2011 A Class of Robust Tests in Augmented Predictive Regressions
RePEc:ptu:wpaper:w201126 [Citation Analysis]
2011 Asymptotic Efficiency of the OLS Estimator with Singular Limiting Sample Moment Matrices
RePEc:hst:ghsdps:gd11-208 [Citation Analysis]
2011 Regression with a Slowly Varying Regressor in the Presence of a Unit Root
RePEc:hst:ghsdps:gd11-209 [Citation Analysis]
2011 A Factor Model for Euro-area Short-term Inflation Analysis
RePEc:jns:jbstat:v:231:y:2011:i:1:p:50-62 [Citation Analysis]
2011 Combining Survey Forecasts and Time Series Models: The Case of the Euribor
RePEc:jns:jbstat:v:231:y:2011:i:1:p:63-81 [Citation Analysis]
2011 Why didnt the Global Financial Crisis hit Latin America?
RePEc:cir:cirwor:2011s-63 [Citation Analysis]
2011 Efficient Estimation of Nonstationary Factor Models
RePEc:sgo:wpaper:1101 [Citation Analysis]
2011 One-Sided Representations of Generalized Dynamic Factor Models
RePEc:eca:wpaper:2013/94959 [Citation Analysis]
2011 Sufficient information in structural VARs
RePEc:mod:recent:062 [Citation Analysis]
2011 No news in business cycles
RePEc:mod:recent:063 [Citation Analysis]
2011 Speculation in the oil market
RePEc:fip:fedlwp:2011-027 [Citation Analysis]
2011 Monetary Policy and Risk-Premium Shocks in Hungary: Results from a Large Bayesian VAR
RePEc:imf:imfwpa:11/259 [Citation Analysis]
2011 Testing for Sufficient Information in Structural VARs
RePEc:cpr:ceprdp:8209 [Citation Analysis]
2011 Structural Vector Autoregressions
RePEc:cpr:ceprdp:8515 [Citation Analysis]
2011 One-Sided Representations of Generalized Dynamic Factor Models
RePEc:eie:wpaper:1106 [Citation Analysis]
2011 One-Sided Representations of Generalized Dynamic Factor Models
RePEc:sas:wpaper:20115 [Citation Analysis]
2011 No News in Business Cycles
RePEc:cpr:ceprdp:8274 [Citation Analysis]
2011 Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model
RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:557-567 [Citation Analysis]
2011 Dynamic factors in the presence of blocks
RePEc:eee:econom:v:163:y:2011:i:1:p:29-41 [Citation Analysis]
2011 A two-step estimator for large approximate dynamic factor models based on Kalman filtering
RePEc:eee:econom:v:164:y:2011:i:1:p:188-205 [Citation Analysis]
2011 Housing, credit, and real activity cycles: Characteristics and comovement
RePEc:eee:jhouse:v:20:y:2011:i:3:p:210-231 [Citation Analysis]
2011 Testing for weak identification in possibly nonlinear models
RePEc:eee:econom:v:161:y:2011:i:2:p:246-261 [Citation Analysis]
2011 High-Dimensional Instrumental Variables Regression and Confidence Sets
RePEc:crs:wpaper:2011-13 [Citation Analysis]
2011 Using skewness to estimate the semi-strong GARCH(1,1) model
RePEc:pra:mprapa:30994 [Citation Analysis]
2011 Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model
RePEc:pra:mprapa:20034 [Citation Analysis]
2011 A copula-based model of speculative price dynamics in discrete time
RePEc:eee:jmvana:v:102:y:2011:i:6:p:1047-1063 [Citation Analysis]
2011 Dynamic Copulas and Long Range Dependence
RePEc:ffe:journl:v:8:y:2011:i:2:p:89-111 [Citation Analysis]
2011 A further investigation of unemployment persistence in European transition economies
RePEc:eee:jcecon:v:39:y:2011:i:4:p:514-532 [Citation Analysis]
2011 The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?
RePEc:ces:ceswps:_3420 [Citation Analysis]
2011 The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?
RePEc:deg:conpap:c016_035 [Citation Analysis]
2011 The Long-Run Behaviour of the Terms of Trade between Primary Commodities and Manufactures
RePEc:unu:wpaper:wp2011-71 [Citation Analysis]
2011 Measuring correlations of integrated but not cointegrated variables: A semiparametric approach
RePEc:eee:econom:v:164:y:2011:i:2:p:252-267 [Citation Analysis]
2011 Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
RePEc:msh:ebswps:2011-19 [Citation Analysis]
2011 Agricultural Price Transmission Across Space and Commodities During Price Bubbles
RePEc:ags:eaae11:114338 [Citation Analysis]
2011 Autoregressions in Small Samples, Priors about Observables and Initial Conditions
RePEc:cep:cepdps:dp1061 [Citation Analysis]
2011 Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
RePEc:siu:wpaper:12-2011 [Citation Analysis]
2011 Looking for Rational Bubbles in Agricultural Commodity Markets
RePEc:ags:eaae11:120377 [Citation Analysis]
2011 Agricultural Price Transmission Across Space and Commodities During Price Bubbles
RePEc:anc:wpaper:367 [Citation Analysis]
2011 Not Only Subterranean Forests: Wood Consumption And Economic Development In Britain (1850-1938)
RePEc:ahe:dtaehe:1107 [Citation Analysis]
2011 The Japanese economy in crises: A time series segmentation study
RePEc:zbw:ifwedp:201124 [Citation Analysis]
2011 Estimating a common deterministic time trend break in large panels with cross sectional dependence
RePEc:eee:econom:v:164:y:2011:i:2:p:310-330 [Citation Analysis]
2011 Empirical Evidence on Inflation and Unemployment in the Long Run
RePEc:otg:wpaper:1109 [Citation Analysis]
2011 Empirical evidence on inflation and unemployment in the long run
RePEc:pra:mprapa:33409 [Citation Analysis]
2011 Empirical Evidence on Inflation and Unemployment in the Long Run
RePEc:mlb:wpaper:1128 [Citation Analysis]
2011 Nonparametric LAD Cointegrating Regression
RePEc:hst:ghsdps:gd11-207 [Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

Year	Title	See
2011	Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise RePEc:aah:create:2011-31	[Citation Analysis]
2011	Wealth mobility and dynamics over entire individual working life cycles RePEc:bcl:bclwop:bclwp056	[Citation Analysis]
2011	Marginal Likelihood for Markov-Switching and Change-Point Garch Models RePEc:cir:cirwor:2011s-72	[Citation Analysis]
2011	Marginal likelihood for Markov-switching and change-point GARCH models RePEc:cor:louvco:2011013	[Citation Analysis]
2011	State dependence and heterogeneity in health using a bias corrected fixed effects estimator RePEc:cte:werepe:we1118	[Citation Analysis]
2011	Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals RePEc:cwl:cwldpp:1650rr	[Citation Analysis]
2011	Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit RePEc:cwl:cwldpp:1724	[Citation Analysis]
2011	Examples of L^2-Complete and Boundedly-Complete Distributions RePEc:cwl:cwldpp:1801	[Citation Analysis]
2011	Fitting dynamic factor models to non-stationary time series RePEc:eee:econom:v:163:y:2011:i:1:p:51-70	[Citation Analysis]
2011	Reestablishing the income-democracy nexus RePEc:fip:fedfwp:2011-09	[Citation Analysis]
2011	Multivariate trend comparisons between autocorrelated climate series with general trend regressors RePEc:gue:guelph:2011-09.	[Citation Analysis]
2011	Nonparametric LAD Cointegrating Regression RePEc:hst:ghsdps:gd11-207	[Citation Analysis]
2011	Nonparametric identification using instrumental variables: sufficient conditions for completeness RePEc:ifs:cemmap:25/11	[Citation Analysis]
2011	State Dependence and Heterogeneity in Health Using a Bias Corrected Fixed Effects Estimator RePEc:ioe:doctra:402	[Citation Analysis]
2011	Nonparametric Identification Using Instrumental Variables: Sufficient Conditions For Completeness RePEc:jhu:papers:581	[Citation Analysis]
2011	Nonparametric Identification and Estimation of Transformation Models RePEc:kud:kuieca:2011_01	[Citation Analysis]
2011	Marginal Likelihood for Markov-Switching and Change-Point GARCH Models RePEc:lvl:lacicr:1138	[Citation Analysis]
2011	Reestablishing the Income-Democracy Nexus RePEc:nbr:nberwo:16832	[Citation Analysis]
2011	Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties RePEc:nbr:nberwo:17424	[Citation Analysis]
2011	Posterior consistency of nonparametric conditional moment restricted models RePEc:pra:mprapa:38700	[Citation Analysis]
2011	Nonlinear Panel Data Models with Expected a Posteriori Values of Correlated Random Effects RePEc:rpp:wpaper:1113	[Citation Analysis]
2011	Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects RePEc:rye:wpaper:wp029	[Citation Analysis]
2011	Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit RePEc:ubc:pmicro:vadim_marmer-2008-13	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	Modelling asset correlations during the recent FInancial crisis: A semiparametric approach RePEc:aah:create:2010-71	[Citation Analysis]
2010	Factor-GMM Estimation with Large Sets of Possibly Weak Instruments RePEc:cpr:ceprdp:7726	[Citation Analysis]
2010	CONFIDENCE BANDS IN QUANTILE REGRESSION RePEc:cup:etheor:v:26:y:2010:i:04:p:1180-1200_99	[Citation Analysis]
2010	Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity RePEc:cwl:cwldpp:1665r	[Citation Analysis]
2010	X-Differencing and Dynamic Panel Model Estimation RePEc:cwl:cwldpp:1747	[Citation Analysis]
2010	On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis RePEc:eca:wpaper:2013/57649	[Citation Analysis]
2010	Testing regression coefficients after model selection through sign restrictions RePEc:eee:ecolet:v:107:y:2010:i:2:p:220-223	[Citation Analysis]
2010	An improved bootstrap test of stochastic dominance RePEc:eee:econom:v:154:y:2010:i:2:p:186-202	[Citation Analysis]
2010	Non-negativity conditions for the hyperbolic GARCH model RePEc:eee:econom:v:157:y:2010:i:2:p:441-457	[Citation Analysis]
2010	GMM estimation of social interaction models with centrality RePEc:eee:econom:v:159:y:2010:i:1:p:99-115	[Citation Analysis]
2010	Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity RePEc:eee:jjieco:v:24:y:2010:i:3:p:395-411	[Citation Analysis]
2010	Some recent developments in spatial panel data models RePEc:eee:regeco:v:40:y:2010:i:5:p:255-271	[Citation Analysis]
2010	Partial Linear Quantile Regression and Bootstrap Confidence Bands RePEc:hum:wpaper:sfb649dp2010-002	[Citation Analysis]
2010	The mysteries of the trade: employment effects of urban interindustry spillovers RePEc:iab:iabdpa:201015	[Citation Analysis]
2010	Identification and Estimation of Distributional Impacts of Interventions Using Changes in Inequality Measures RePEc:iza:izadps:dp4841	[Citation Analysis]
2010	Dynamic Econometric Testing of Climate Change and of its Causes RePEc:pra:mprapa:23600	[Citation Analysis]
2010	Confidence sets for some partially identified parameters RePEc:pra:mprapa:37149	[Citation Analysis]
2010	Efficient Estimation of Factor Models RePEc:sgo:wpaper:0701	[Citation Analysis]
2010	Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06) RePEc:tas:wpaper:10450	[Citation Analysis]
2010	Fostering 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

Year	Title	See
2009	Co-integration Rank Testing under Conditional Heteroskedasticity RePEc:aah:create:2009-22	[Citation Analysis]
2009	Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis RePEc:aah:create:2009-37	[Citation Analysis]
2009	Semiparametric Modelling and Estimation: A Selective Overview RePEc:aah:create:2009-44	[Citation Analysis]
2009	Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series RePEc:adl:wpaper:2009-26	[Citation Analysis]
2009	A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component RePEc:bos:wpaper:wp2009-005	[Citation Analysis]
2009	Dynamic Misspecification in Nonparametric Cointegrating Regression RePEc:cwl:cwldpp:1700	[Citation Analysis]
2009	Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor RePEc:cwl:cwldpp:1702	[Citation Analysis]
2009	Detrending Bootstrap Unit Root Tests RePEc:dgr:umamet:2009056	[Citation Analysis]
2009	Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models RePEc:eab:microe:23045	[Citation Analysis]
2009	A Robust Criterion for Determining the Number of Factors in Approximate Factor Models RePEc:eca:wpaper:2009_023	[Citation Analysis]
2009	An automatic Portmanteau test for serial correlation RePEc:eee:econom:v:151:y:2009:i:2:p:140-149	[Citation Analysis]
2009	Sequential conditional correlations: Inference and evaluation RePEc:eee:econom:v:153:y:2009:i:2:p:122-132	[Citation Analysis]
2009	Asymmetric effects and long memory in the volatility of Dow Jones stocks RePEc:eee:intfor:v:25:y:2009:i:2:p:304-327	[Citation Analysis]
2009	On asymptotic theory for multivariate GARCH models RePEc:eee:jmvana:v:100:y:2009:i:9:p:2044-2054	[Citation Analysis]
2009	Three Cycles: Housing, Credit, and Real Activity RePEc:imf:imfwpa:09/231	[Citation Analysis]
2009	Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above] RePEc:not:notgts:09/01	[Citation Analysis]
2009	The impact of the initial condition on robust tests for a linear trend RePEc:not:notgts:09/03	[Citation Analysis]
2009	Testing for unit roots in the presence of a possible break in trend and non-stationary volatility RePEc:not:notgts:09/05	[Citation Analysis]
2009	Test for cointegration rank in general vector autoregressions RePEc:nuf:econwp:0910	[Citation Analysis]
2009	A quarterly post-World War II real GDP series for New Zealand RePEc:nzb:nzbdps:2009/12	[Citation Analysis]
2009	Point Decisions for Interval-Identified Parameters RePEc:pen:papers:09-036	[Citation Analysis]
2009	Estimating Semiparametric Panel Data Models by Marginal Integration RePEc:pra:mprapa:18850	[Citation Analysis]
2009	Regressions with Asymptotically Collinear Regressor RePEc:pra:mprapa:31315	[Citation Analysis]
2009	Exploring the effect of countriesâ economic prosperity on their biodiversity performance RePEc:pra:mprapa:32102	[Citation Analysis]
2009	Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration RePEc:ptu:wpaper:w200902	[Citation Analysis]
2009	Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets RePEc:red:sed009:514	[Citation Analysis]
2009	Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models RePEc:siu:wpaper:16-2009	[Citation Analysis]
2009	Dynamic Misspecification in Nonparametric Cointegrating Regression RePEc:skb:wpaper:cofie-01-2009	[Citation Analysis]
2009	Econometric Inference in the Vicinity of Unity RePEc:skb:wpaper:cofie-06-2009	[Citation Analysis]
2009	Dating the Timeline of Financial Bubbles During the Subprime Crisis RePEc:skb:wpaper:cofie-07-2009	[Citation Analysis]
2009	Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints RePEc:soz:wpaper:0920	[Citation Analysis]
2009	Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors RePEc:stn:sotoec:0918	[Citation Analysis]
2009	Set Identified Linear Models RePEc:tse:wpaper:22272	[Citation Analysis]
2009	Contemporaneous-Threshold Smooth Transition GARCH Models RePEc:udt:wpecon:2009-06	[Citation Analysis]
2009	Avoiding extinction: equal treatment of the present and the future RePEc:zbw:ifweej:200932	[Citation Analysis]
2009	Hypothesis testing in econometrics RePEc:zur:iewwpx:444	[Citation Analysis]

Recent citations received in: 2008

Year	Title	See
2008	Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data RePEc:aah:create:2008-37	[Citation Analysis]
2008	Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility RePEc:aah:create:2008-50	[Citation Analysis]
2008	Likelihood based testing for no fractional cointegration RePEc:aah:create:2008-52	[Citation Analysis]
2008	Maximum likelihood estimation of fractionally cointegrated systems RePEc:aah:create:2008-53	[Citation Analysis]
2008	Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility RePEc:aah:create:2008-62	[Citation Analysis]
2008	Testing for Breaks in Coefficients and Error Variance: Simulations and Applications RePEc:bos:wpaper:wp2008-010	[Citation Analysis]
2008	Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model RePEc:bos:wpaper:wp2008-011	[Citation Analysis]
2008	Panel Unit Root Tests in the Presence of a Multifactor Error Structure RePEc:ces:ceswps:_2193	[Citation Analysis]
2008	Factor-augmented Error Correction Models RePEc:cpr:ceprdp:6707	[Citation Analysis]
2008	GMM Redundancy Results for General Missing Data Problems RePEc:crd:wpaper:08003	[Citation Analysis]
2008	Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets RePEc:dgr:eureir:1765013780	[Citation Analysis]
2008	The ten commandments for optimizing value-at-risk and daily capital charges RePEc:dgr:eureir:1765013910	[Citation Analysis]
2008	Semiparametric Robust Estimation of Truncated and Censored Regression Models RePEc:dgr:kubcen:200834	[Citation Analysis]
2008	Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests RePEc:dgr:umamet:2008048	[Citation Analysis]
2008	Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar RePEc:eab:financ:22571	[Citation Analysis]
2008	Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap RePEc:eee:csdana:v:53:y:2008:i:1:p:137-150	[Citation Analysis]
2008	On the persistence of the Eonia spread RePEc:eee:ecolet:v:101:y:2008:i:3:p:184-187	[Citation Analysis]
2008	Testing against nonstationary volatility in time series RePEc:eee:ecolet:v:101:y:2008:i:3:p:288-292	[Citation Analysis]
2008	Nonparametric estimation of conditional VaR and expected shortfall RePEc:eee:econom:v:147:y:2008:i:1:p:120-130	[Citation Analysis]
2008	Dynamic quantile models RePEc:eee:econom:v:147:y:2008:i:1:p:198-205	[Citation Analysis]
2008	A neural network demand system with heteroskedastic errors RePEc:eee:econom:v:147:y:2008:i:2:p:359-371	[Citation Analysis]
2008	Robust performance hypothesis testing with the Sharpe ratio RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859	[Citation Analysis]
2008	Positivity constraints on the conditional variances in the family of conditional correlation GARCH models RePEc:eee:finlet:v:5:y:2008:i:2:p:88-95	[Citation Analysis]
2008	Weighted risk capital allocations RePEc:eee:insuma:v:43:y:2008:i:2:p:263-269	[Citation Analysis]
2008	A Portfolio Index GARCH model RePEc:eee:intfor:v:24:y:2008:i:3:p:449-461	[Citation Analysis]
2008	Bayesian shrinkage prediction for the regression problem RePEc:eee:jmvana:v:99:y:2008:i:9:p:1888-1905	[Citation Analysis]
2008	Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term RePEc:eui:euiwps:eco2008/24	[Citation Analysis]
2008	Model Selection Criteria for the Leads-and-Lags Cointegrating Regression RePEc:hit:ccesdp:6	[Citation Analysis]
2008	Model Selection Criteria for the Leads-and-Lags Cointegrating Regression RePEc:hst:ghsdps:gd08-006	[Citation Analysis]
2008	Factor-augmented Error Correction Models RePEc:igi:igierp:335	[Citation Analysis]
2008	Persistence in Airline Accidents RePEc:ise:isegwp:wp182008	[Citation Analysis]
2008	Specification Tests for the Distribution of Errors in Nonoarametric Regression: A Martingale Approach RePEc:ivi:wpasad:2008-11	[Citation Analysis]
2008	Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model RePEc:kof:wpskof:08-189	[Citation Analysis]
2008	Inferring Welfare Maximizing Treatment Assignment under Budget Constraints RePEc:nbr:nberwo:14447	[Citation Analysis]
2008	Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing RePEc:nbs:wpaper:2008/12	[Citation Analysis]
2008	Panel 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]
2008	Unit Root Testing with Unstable Volatility RePEc:nuf:econwp:0806	[Citation Analysis]
2008	Parameter estimation in nonlinear AR-GARCH models RePEc:oxf:wpaper:396	[Citation Analysis]
2008	Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH RePEc:pad:wpaper:0064	[Citation Analysis]
2008	Competing methods for representing random taste heterogeneity in discrete choice models RePEc:pra:mprapa:10038	[Citation Analysis]
2008	Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation RePEc:pra:mprapa:11988	[Citation Analysis]
2008	Now, whose schools are really better (or weaker) than Germanys? A multiple testing approach RePEc:pra:mprapa:12008	[Citation Analysis]
2008	On the distribution of the adaptive LASSO estimator RePEc:pra:mprapa:6913	[Citation Analysis]
2008	Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar RePEc:sca:scaewp:0805	[Citation Analysis]
2008	Testing for Common Values in Canadian Treasury Bill Auctions RePEc:sip:dpaper:07-053	[Citation Analysis]
2008	Estimating a mean matrix: boosting efficiency by multiple affine shrinkage RePEc:spr:aistmt:v:60:y:2008:i:4:p:843-864	[Citation Analysis]
2008	Bias correction for the regression-based LM fractional integration test RePEc:spr:alstar:v:92:y:2008:i:1:p:91-99	[Citation Analysis]
2008	On PPP, unit roots and panels RePEc:spr:empeco:v:35:y:2008:i:2:p:229-249	[Citation Analysis]
2008	Rejoinder 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]
2008	Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations RePEc:ssb:dispap:539	[Citation Analysis]
2008	Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience RePEc:uct:uconnp:2008-49	[Citation Analysis]
2008	Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems RePEc:wrk:warwec:876	[Citation Analysis]
2008	An intersection test for panel unit roots RePEc:zbw:sfb475:200811	[Citation Analysis]
2008	Robust Performance Hypothesis Testing with the Sharpe Ratio RePEc:zur:iewwpx:320	[Citation Analysis]
2008	Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling RePEc:zur:iewwpx:337	[Citation Analysis]

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