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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 citations

 

  
 

Econometric Reviews / Taylor and Francis Journals

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2011), 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
19900.081402000.04
19910.081533000.04
19920.082702900.04
19930.091404200.05
19940.12024100.05
19950.192803400.07
19960.232404800.1
19970.29237752010.040.1
19980.020.2933165471020.060.11
19990.230.34241365613030.130.15
20000.190.43224385711060.270.17
20010.30.4523894614030.130.17
20020.580.462123945263.850.240.21
20030.550.48241284424040.170.21
20040.510.558954523030.380.23
20050.440.57291663214090.310.24
20060.920.542117337340150.710.22
20070.720.483428450360170.50.19
20081.650.54110955910100.240.22
20091.080.51508275810110.220.21
20100.470.4635349143040.110.17
20110.440.642788537040.150.26
 
 
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
II: 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]		252
2007Bayesian Analysis of DSGE Models
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172 [Citation Analysis]		142
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]		79
2007Bayesian Analysis of DSGE Models—Rejoinder
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219 [Citation Analysis]		73
2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47 [Citation Analysis]		69
2005Evaluating Direct Multistep Forecasts
RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404 [Citation Analysis]		59
2006Multivariate Stochastic Volatility: A Review
RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175 [Citation Analysis]		56
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]		55
2000Nonstationary panel data analysis: an overview of some recent developments
RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286 [Citation Analysis]		48
2002ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
RePEc:taf:emetrv:v:21:y:2002:i:4:p:431-447 [Citation Analysis]		43
2002LONG-RUN STRUCTURAL MODELLING
RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87 [Citation Analysis]		41
2000Recent developments in bootstrapping time series
RePEc:taf:emetrv:v:19:y:2000:i:1:p:1-48 [Citation Analysis]		38
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]		36
2007MIDAS Regressions: Further Results and New Directions
RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90 [Citation Analysis]		36
2004Automatic Block-Length Selection for the Dependent Bootstrap
RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70 [Citation Analysis]		35
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]		33
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]		32
2008Realized Volatility: A Review
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45 [Citation Analysis]		31
1998Confidence intervals for impulse responses under departures from normality
RePEc:taf:emetrv:v:17:y:1998:i:1:p:1-29 [Citation Analysis]		31
2008The Volatility of Realized Volatility
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78 [Citation Analysis]		28
2003A Consistent Method for the Selection of Relevant Instruments
RePEc:taf:emetrv:v:22:y:2003:i:3:p:269-287 [Citation Analysis]		27
2007Forecast Combination and Model Averaging Using Predictive Measures
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:329-363 [Citation Analysis]		27
2001A REVIEW OF SYSTEMS COINTEGRATION TESTS
RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318 [Citation Analysis]		25
2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440 [Citation Analysis]		24
2000Bootstrap tests: how many bootstraps?
RePEc:taf:emetrv:v:19:y:2000:i:1:p:55-68 [Citation Analysis]		23
1999An introduction to hypergeometric functions for economists
RePEc:taf:emetrv:v:18:y:1999:i:3:p:287-330 [Citation Analysis]		22
2008Moving Average-Based Estimators of Integrated Variance
RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:79-111 [Citation Analysis]		22
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
2003Regularity of the Generalized Quadratic Production Model: A Counterexample
RePEc:taf:emetrv:v:22:y:2003:i:2:p:135-154 [Citation Analysis]		22
1997Exact testing in multivariate regression
RePEc:taf:emetrv:v:16:y:1997:i:3:p:321-352 [Citation Analysis]		19
2007Forecasting Performance of an Open Economy DSGE Model
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328 [Citation Analysis]		19
2007Normalization in Econometrics
RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:221-252 [Citation Analysis]		18
1997Locally optimal one-sided tests for multiparameter hypotheses
RePEc:taf:emetrv:v:16:y:1997:i:2:p:131-156 [Citation Analysis]		18
2009Pairwise Tests of Purchasing Power Parity
RePEc:taf:emetrv:v:28:y:2009:i:6:p:495-521 [Citation Analysis]		17
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]		17
2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384 [Citation Analysis]		17
2007Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
RePEc:taf:emetrv:v:26:y:2007:i:6:p:609-641 [Citation Analysis]		16
2000Stochastic dominance amongst swedish income distributions
RePEc:taf:emetrv:v:19:y:2000:i:3:p:287-320 [Citation Analysis]		15
2000Estimation of tobit-type models with individual specific effects
RePEc:taf:emetrv:v:19:y:2000:i:3:p:341-366 [Citation Analysis]		14
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]		14
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]		14
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]		14
2004Estimator Choice and Fishers Paradox: A Monte Carlo Study
RePEc:taf:emetrv:v:23:y:2004:i:1:p:25-52 [Citation Analysis]		14
2006On Testing Equality of Distributions of Technical Efficiency Scores
RePEc:taf:emetrv:v:25:y:2006:i:4:p:497-522 [Citation Analysis]		14
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
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]		13
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]		13
2001DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE
RePEc:taf:emetrv:v:20:y:2001:i:1:p:31-40 [Citation Analysis]		13
2003Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
RePEc:taf:emetrv:v:22:y:2003:i:3:p:217-237 [Citation Analysis]		13
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]		13

Citing documents used to compute impact factor 37:
YearTitleSee
2011Regime-Switching Cointegration
RePEc:rim:rimwps:40_11		[Citation Analysis]
2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
RePEc:dgr:uvatin:20110132		[Citation Analysis]
2011A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
RePEc:erh:journl:v:3:y:2011:i:2:p:13-21		[Citation Analysis]
2011GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
RePEc:cwl:cwldpp:1828		[Citation Analysis]
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
RePEc:aah:create:2011-28		[Citation Analysis]
2011Forecast combinations of computational intelligence and linear models for the NN5 time series forecasting competition
RePEc:eee:intfor:v:27:y::i:3:p:672-688		[Citation Analysis]
2011Cross-sectional dependence robust block bootstrap panel unit root tests
RePEc:eee:econom:v:163:y:2011:i:1:p:85-104		[Citation Analysis]
2011Financial integration in the pacific basin region: RIP by PANIC attack?
RePEc:eee:jimfin:v:30:y:2011:i:6:p:1019-1033		[Citation Analysis]
2011Goodness of fit tests in stochastic frontier models
RePEc:kap:jproda:v:35:y:2011:i:2:p:95-118		[Citation Analysis]
2011Stochastic FDH/DEA estimators for frontier analysis
RePEc:kap:jproda:v:36:y:2011:i:1:p:1-20		[Citation Analysis]
2011Two-stage DEA: caveat emptor
RePEc:kap:jproda:v:36:y:2011:i:2:p:205-218		[Citation Analysis]
2011The Efficiency Cost of the Kafala in Dubai: A Stochastic Frontier Analysis
RePEc:ioe:doctra:399		[Citation Analysis]
2011Scale Efficiency: Equivalence of Primal and Dual Measures
RePEc:qld:uqcepa:75		[Citation Analysis]
2011Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
RePEc:pre:wpaper:201122		[Citation Analysis]
2011OLong-run Money Demand in OECD Countries – Cross-Member Cointegration
RePEc:rwi:repape:0237		[Citation Analysis]
2011Energy consumption and economic growth: New insights into the cointegration relationship
RePEc:eee:eneeco:v:33:y:2011:i:5:p:782-789		[Citation Analysis]
2011Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
RePEc:dgr:umamet:2011056		[Citation Analysis]
2011Investigating Regional House Price Convergence in the United States: Evidence from a Pair-Wise Approach
RePEc:rim:rimwps:29_11		[Citation Analysis]
2011Nonlinear Stochastic Convergence Analysis of Regional Unemployment Rates in Poland
RePEc:ren:journl:v:3:y:2011:i:1:p:59-79		[Citation Analysis]
2011Investigating Regional House Price Convergence in the United States: Evidence from a pair-wise approach
RePEc:mcd:mcddps:2011_12		[Citation Analysis]
2011Inflation Differentials in the GCC: Does the Oil Cycle Matter?
RePEc:imf:imfwpa:11/294		[Citation Analysis]
2011Measuring persistence of U.S. city prices: new evidence from robust tests
RePEc:spr:empeco:v:41:y:2011:i:3:p:739-745		[Citation Analysis]
2011Volatility Spillovers from the Chinese Stock Market to Economic Neighbours
RePEc:ucm:doicae:1138		[Citation Analysis]
2011Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
RePEc:ucm:doicae:1134		[Citation Analysis]
2011Dynamic Conditional Correlations for Asymmetric Processes
RePEc:ucm:doicae:1130		[Citation Analysis]
2011Currency Hedging Strategies Using Dynamic Multivariate GARCH
RePEc:ucm:doicae:1133		[Citation Analysis]
2011Crude oil hedging strategies using dynamic multivariate GARCH
RePEc:eee:eneeco:v:33:y:2011:i:5:p:912-923		[Citation Analysis]
2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
RePEc:aah:create:2011-51		[Citation Analysis]
2011A characterization of vector autoregressive processes with common cyclical features
RePEc:eee:econom:v:163:y:2011:i:1:p:105-117		[Citation Analysis]
2011The Haar Wavelet Transfer Function Model and Its Applications
RePEc:cpn:umkdem:v:11:y:2011:p:141-154		[Citation Analysis]
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
RePEc:ucm:doicae:1120		[Citation Analysis]
2011Multivariate volatility modeling of electricity futures
RePEc:cor:louvco:2011011		[Citation Analysis]
2011Volatility models
RePEc:cor:louvco:2011058		[Citation Analysis]
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
RePEc:dgr:eureir:1765023582		[Citation Analysis]
2011DOES THE EXCHANGE RATE PASS-THROUGH INTO PRICES CHANGE WHEN INFLATION TARGETING IS ADOPTED? THE PERUVIAN CASE STUDY BETWEEN 1994 AND 2007
RePEc:pcp:pucwps:wp00314		[Citation Analysis]
2011Short Note on the Unemployment Rate of the French Overseas Regions
RePEc:bfr:banfra:337		[Citation Analysis]
2011Nonlinear trends in real exchange rates: A panel unit root test approach
RePEc:eee:jimfin:v:30:y:2011:i:8:p:1619-1637		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011Repeated Rounds with Price Feedback in Experimental Auction Valuation: An Adversarial Collaboration
RePEc:pra:mprapa:28337		[Citation Analysis]
2011Interpreting interaction terms in linear and non-linear models: A cautionary tale
RePEc:pra:mprapa:33251		[Citation Analysis]
2011How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience.
RePEc:ucm:doicae:1125		[Citation Analysis]
2011Citations and Impact of ISI Tourism and Hospitality Journals
RePEc:ucm:doicae:1126		[Citation Analysis]

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
2008Testing for jumps when asset prices are observed with noise-a swap variance approach
RePEc:eee:econom:v:144:y:2008:i:2:p:352-370		[Citation Analysis]
2008Econometric modelling in finance and risk management: An overview
RePEc:eee:econom:v:147:y:2008:i:1:p:1-4		[Citation Analysis]
2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
RePEc:eee:econom:v:147:y:2008:i:1:p:104-119		[Citation Analysis]
2008Realized volatility forecasting and option pricing
RePEc:eee:econom:v:147:y:2008:i:1:p:34-46		[Citation Analysis]
2008A complete asymptotic series for the autocovariance function of a long memory process
RePEc:eee:econom:v:147:y:2008:i:1:p:99-103		[Citation Analysis]
2008A simple nonparametric approach to low-dimension, shortfall-based portfolio selection
RePEc:eee:finlet:v:5:y:2008:i:3:p:183-190		[Citation Analysis]
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]

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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