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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Econometric Theory / Cambridge University Press

0.84

Impact Factor

1.11

5-Years IF

62

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.050.090.056161110.1848399519995 (1%)10.020.03
19910.090.090.0853114230.26771059236183 (%)20.040.04
19920.050.090.0671185300.165671146253162 (%)10.010.04
19930.070.10.0679264260.1550124928418 (%)30.040.05
19940.090.110.0970334540.1697715014308283 (%)60.090.05
19950.140.190.181004341200.28200114921334595 (%)60.060.07
19960.240.230.26805141850.3683817041373981 (%)40.050.09
19970.220.270.21745881790.395018040400853 (%)110.150.09
19980.250.270.34406282850.45826154394031363 (%)40.10.1
19990.390.310.45376653380.51790114443641643 (%)150.410.13
20000.70.390.69467114690.6678077543312282 (%)110.240.15
20010.690.410.69437545500.7353283572771911 (%)110.260.16
20020.640.430.82628165750.7102189572401975 (%)270.440.19
20030.720.450.86748907150.8743105762281963 (%)210.280.19
20040.660.510.86639538510.891186136902622252 (%)150.240.21
20050.660.540.816110149210.91951137902882331 (%)370.610.22
200610.520.9157107111321.06412124124303277 (%)230.40.21
20070.710.450.885311249930.88277118843172792 (%)180.340.18
20080.740.481.1569119312521.05670110813083552 (%)520.750.2
20090.890.481.2881127414241.125821221093033891 (%)410.510.19
20100.840.440.8767134112610.945191501263212802 (%)230.340.16
20110.980.530.8750139114321.032231481453272831 (%)240.480.21
20121.170.581.1653144416481.14149117137320372 (%)150.280.22
20130.670.711.1545148915861.078910369320367 (%)140.310.25
20140.840.811.1143153215631.02319882296328 (%)90.210.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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

 

50 most cited documents in this series:

[Click on heading to sort table]

YearTitleCited
1995Multivariate Simultaneous Generalized ARCH. (1995). KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00.

Full description at Econpapers || Download paper

954
2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20.

Full description at Econpapers || Download paper

625
2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). Ling, Shiqing . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19.

Full description at Econpapers || Download paper

377
1996Which Moments to Match?. (1996). Tauchen, George ; Gallant, Ronald A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00.

Full description at Econpapers || Download paper

356
1991Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00.

Full description at Econpapers || Download paper

338
2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05.

Full description at Econpapers || Download paper

285
1990Stationarity and Persistence in the GARCH(1,1) Model. (1990). Nelson, Daniel B.. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:03:p:318-334_00.

Full description at Econpapers || Download paper

222
1993Testing Identifiability and Specification in Instrumental Variable Models. (1993). CRAGG, John G. ; Donald, Stephen G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00.

Full description at Econpapers || Download paper

195
1997Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan . In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00.

Full description at Econpapers || Download paper

188
1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). Shin, Yongcheol . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00.

Full description at Econpapers || Download paper

181
1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00.

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181
1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS. (1998). Jeantheau, Thierry. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14.

Full description at Econpapers || Download paper

177
1999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Wu, Ping X.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15.

Full description at Econpapers || Download paper

166
2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

Full description at Econpapers || Download paper

162
1996Markov Chain Monte Carlo Simulation Methods in Econometrics. (1996). Greenberg, Edward ; Chib, Siddhartha . In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00.

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158
1997Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995. (1997). Boozer, Michael A.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00.

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149
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). . In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17.

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130
1995Inference in Models with Nearly Integrated Regressors. (1995). Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00.

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130
1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1999). Park, Joon Y.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15.

Full description at Econpapers || Download paper

125
1988Statistical Inference in Regressions with Integrated Processes: Part 1. (1988). Park, Joon Y. ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01.

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124
1986Asymptotic Theory for ARCH Models: Estimation and Testing. (1986). Weiss, Andrew A.. In: Econometric Theory. RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01.

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123
1997Optimal Prediction Under Asymmetric Loss. (1997). Diebold, Francis X.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00.

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120
1998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). Stinchcombe, Maxwell B.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14.

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119
1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce E.. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01.

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114
1995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (1995). . In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00.

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108
2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS. (2002). Ling, Shiqing . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18.

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107
2004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20.

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106
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data. (1988). Lo, Andrew W.. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:02:p:231-247_01.

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105
1998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Kneip, Alois ; Park, Byeong U.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14.

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104
1989Testing for Unit Roots in Time Series Data. (1989). Pantula, Sastry G.. In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01.

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103
103
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). tkepohl, Helmut L ; Saikkonen, Pentti ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18.

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100
1989Partially Identified Econometric Models. (1989). Phillips, P. C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01.

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98
1989Statistical Inference in Regressions with Integrated Processes: Part 2. (1989). Park, Joon Y. ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01.

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97
1995Causality in the Long Run. (1995). Lin, Jin-Lung ; Clive, W. J.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00.

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97
96
2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). Lieberman, Offer ; Hoti, Suhejla . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

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93
1990A Unified Approach to Robust, Regression-Based Specification Tests. (1990). Wooldridge, Jeffrey M.. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:01:p:17-43_00.

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90
1991Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00.

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87
1995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified. (1995). Horvath, Michael T. K., ; Watson, Mark W.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:984-1014_00.

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87
1995Nonparametric Kernel Estimation for Semiparametric Models. (1995). . In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:560-586_00.

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87
1999THE NONSTATIONARY FRACTIONAL UNIT ROOT. (1999). Tanaka, Katsuto . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:04:p:549-582_15.

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85
2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Lippi, Marco . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09.

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83
2002CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18.

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83
1997Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00.

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82
1994Testing for Second-Order Stochastic Dominance of Two Distributions. (1994). Kaur, Amarjot ; Prakasa Rao, B. L. S., ; Singh, Harshinder . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00.

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81
2005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Kiefer, Nicholas M.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

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81
1999THE SIZE DISTORTION OF BOOTSTRAP TESTS. (1999). . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15.

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79
1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti . In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01.

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79
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). tkepohl, Helmut L ; Saikkonen, Pentti ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16.

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77

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
1995Multivariate Simultaneous Generalized ARCH. (1995). KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00.

Full description at Econpapers || Download paper

250
2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20.

Full description at Econpapers || Download paper

204
2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). Ling, Shiqing . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19.

Full description at Econpapers || Download paper

98
1991Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00.

Full description at Econpapers || Download paper

73
2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05.

Full description at Econpapers || Download paper

59
1993Testing Identifiability and Specification in Instrumental Variable Models. (1993). CRAGG, John G. ; Donald, Stephen G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00.

Full description at Econpapers || Download paper

51
1996Which Moments to Match?. (1996). Tauchen, George ; Gallant, Ronald A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00.

Full description at Econpapers || Download paper

50
2008UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA. (2008). . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:726-748_08.

Full description at Econpapers || Download paper

46
1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS. (1998). Jeantheau, Thierry. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14.

Full description at Econpapers || Download paper

44
1997Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan . In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00.

Full description at Econpapers || Download paper

40
2004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20.

Full description at Econpapers || Download paper

39
1999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Wu, Ping X.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15.

Full description at Econpapers || Download paper

38
1990Stationarity and Persistence in the GARCH(1,1) Model. (1990). Nelson, Daniel B.. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:03:p:318-334_00.

Full description at Econpapers || Download paper

34
2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

Full description at Econpapers || Download paper

34
2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Lippi, Marco . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09.

Full description at Econpapers || Download paper

31
2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES. (2008). . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08.

Full description at Econpapers || Download paper

29
1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). Shin, Yongcheol . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00.

Full description at Econpapers || Download paper

28
1998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). Stinchcombe, Maxwell B.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14.

Full description at Econpapers || Download paper

28
2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). Lieberman, Offer ; Hoti, Suhejla . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

Full description at Econpapers || Download paper

28
2010EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES. (2010). Lee, Lung-Fei ; Liu, Xiaodong . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:187-230_09.

Full description at Econpapers || Download paper

27
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). . In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17.

Full description at Econpapers || Download paper

26
2005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Kiefer, Nicholas M.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

Full description at Econpapers || Download paper

25
1999COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS. (1999). Park, Joon Y. ; Hahn, Sang B.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:05:p:664-703_15.

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25
2009GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Carrion-i-Silvestre, Josep Llu?s, ; Perron, Pierre ; Kim, Dukpa . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99.

Full description at Econpapers || Download paper

24
2002CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18.

Full description at Econpapers || Download paper

24
2010GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY. (2010). Han, Chirok ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:119-151_09.

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23
2010TIME-VARYING COINTEGRATION. (2010). Bierens, Herman J. ; Martins, Luis F.. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:05:p:1453-1490_99.

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23
1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1999). Park, Joon Y.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15.

Full description at Econpapers || Download paper

23
2005ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. (2005). Binder, Michael . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05.

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22
2009VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES. (2009). Guggenberger, Patrik . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:03:p:669-709_09.

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22
2008ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS. (2008). Kneip, Alois ; Wilson, Paul W.. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1663-1697_08.

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22
1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti . In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01.

Full description at Econpapers || Download paper

21
1998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Kneip, Alois ; Park, Byeong U.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14.

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21
2005NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH. (2005). Daouia, A. ; Aragon, Y. ; Thomas-Agnan, C.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:02:p:358-389_05.

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1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce E.. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01.

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20
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). tkepohl, Helmut L ; Saikkonen, Pentti ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16.

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2000TESTS OF COMMON STOCHASTIC TRENDS. (2000). Nyblom, Jukka . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:02:p:176-199_16.

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19
2002HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE. (2002). Kiefer, Nicholas M.. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:06:p:1350-1366_18.

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2010EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND. (2010). . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:501-540_10.

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19
1994Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown. (1994). Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:3-4:p:672-700_00.

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19
2010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT. (2010). . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:06:p:1577-1606_99.

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18
1997Multiplicative Panel Data Models Without the Strict Exogeneity Assumption. (1997). Wooldridge, Jeffrey M.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:667-678_00.

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2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). tkepohl, Helmut L ; Saikkonen, Pentti ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18.

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2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS. (2002). Ling, Shiqing . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18.

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2009ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION. (2009). Wang, Qiying . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:03:p:710-738_09.

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2005MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05.

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18
2011BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS. (2011). Kuersteiner, Guido ; Hahn, Jinyong . In: Econometric Theory. RePEc:cup:etheor:v:27:y:2011:i:06:p:1152-1191_00.

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18
2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS. (2009). Harvey, David I. ; Taylor, A. M. Robert, ; Leybourne, Stephen J.. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:04:p:995-1029_09.

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18
1995Inference in Models with Nearly Integrated Regressors. (1995). Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00.

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17
2000A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS. (2000). . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:05:p:740-778_16.

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Citing documents used to compute impact factor 82:

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2014Identifying Latent Structures in Panel Data. (2014). Peter C. B. Phillips, ; Shi, Zhentao . In: Working Papers. RePEc:siu:wpaper:07-2014.

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2014Specification Test for Panel Data Models with Interactive Fixed Effects. (2014). Jin, Sainan ; Zhang, Yonghui . In: Working Papers. RePEc:siu:wpaper:08-2014.

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2014Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models. (2014). Jin, Sainan ; Zhang, Yonghui . In: Working Papers. RePEc:siu:wpaper:09-2014.

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2014A simple new test for slope homogeneity in panel data models with interactive effects. (2014). Bai, Jushan ; Ando, Tomohiro . In: MPRA Paper. RePEc:pra:mprapa:60795.

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2014Identifying Latent Structures in Panel Data. (2014). Peter C. B. Phillips, ; Shi, Zhentao . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1965.

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2014Steady state distributions for models of locally explosive regimes: Existence and econometric implications. (2014). Knight, John ; Satchell, Stephen ; Srivastava, Nandini . In: Economic Modelling. RePEc:eee:ecmode:v:41:y:2014:i:c:p:281-288.

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2014Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap. (2014). Maurel, Arnaud ; Zhang, Yichong ; D'Haultfoeuille, Xavier . In: IZA Discussion Papers. RePEc:iza:izadps:dp8256.

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2014Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap. (2014). Maurel, Arnaud ; Zhang, Yichong ; D'Haultfoeuille, Xavier . In: NBER Working Papers. RePEc:nbr:nberwo:20257.

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2014Testing cointegration relationship in a semiparametric varying coefficient model. (2014). Gu, Jingping ; Liang, Zhongwen . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p1:p:57-70.

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2014Semiparametric Estimation of Partially Linear Varying Coefficient Models with Time Trend and Nonstationary Regressors. (2014). Gao, Yichen ; Lin, Zhongjian . In: Emory Economics. RePEc:emo:wp2003:1412.

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2014Outlier detection algorithms for least squares time series regression. (2014). Johansen, Soren . In: Economics Papers. RePEc:nuf:econwp:1404.

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2014Optimal hedging with the cointegrated vector autoregressive model. (2014). Nielsen, Bent ; Johansen, Soren . In: Discussion Papers. RePEc:kud:kuiedp:1423.

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2014Outlier detection algorithms for least squares time series regression. (2014). Nielsen, Bent ; Johansen, Soren . In: CREATES Research Papers. RePEc:aah:create:2014-39.

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2014Integrated modified OLS estimation and fixed-b inference for cointegrating regressions. (2014). Wagner, Martin ; Vogelsang, Timothy J.. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:741-760.

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2014A Noisy Principal Component Analysis for Forward Rate Curves. (2014). Ohashi, Alberto . In: Papers. RePEc:arx:papers:1408.6279.

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2014A Combined Approach to the Inference of Conditional Factor Models. (2014). Xu, Yuewu . In: Working Papers. RePEc:siu:wpaper:10-2014.

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2014Jackknife Model Averaging for Quantile Regressions. (2014). Lu, Xun . In: Working Papers. RePEc:siu:wpaper:11-2014.

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2014A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Liu, Cheng ; Tang, Cheng Yong . In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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2014Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence. (2014). Chen, Jia ; Gao, Jiti . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-15.

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2014Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso. (2014). Kock, Anders Bredahl ; Caner, Mehmet . In: CREATES Research Papers. RePEc:aah:create:2014-36.

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2014Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku . In: CREATES Research Papers. RePEc:aah:create:2014-07.

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2014Forecasting with a noncausal VAR model. (2014). Saikkonen, Pentti . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:536-555.

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2014Asymptotic Distribution and Finite-Sample Bias Correction of QML Estimators for Spatial Error Dependence Model. (2014). Liu, Shew Fan ; Yang, Zhenlin . In: Working Papers. RePEc:siu:wpaper:15-2014.

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2014Indirect inference in spatial autoregression. (2014). Rossi, Francesca ; Phillips, Peter C. B., ; Kyriacou, Maria . In: Discussion Paper Series In Economics And Econometrics. RePEc:stn:sotoec:1418.

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2014Unconditional Transformed Likelihood Estimation of Time-Space Dynamic Panel Data Models. (2014). . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100604.

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2014Discriminating between fractional integration and spurious long memory. (2014). Haldrup, Niels ; Kruse, Robinson . In: CREATES Research Papers. RePEc:aah:create:2014-19.

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2014Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. (2014). Hou, Jie ; Perron, Pierre . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:2:p:309-328.

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2014Optimal estimation of cointegrated systems with irrelevant instruments. (2014). Phillips, Peter C. B., . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p2:p:210-224.

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2014Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM. (2014). DiTraglia, Francis J.. In: PIER Working Paper Archive. RePEc:pen:papers:14-037.

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2014Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version. (2014). DiTraglia, Francis J.. In: PIER Working Paper Archive. RePEc:pen:papers:14-045.

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2014Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates. (2014). Li, Wai Keung ; Yu, Philip L. H., . In: MPRA Paper. RePEc:pra:mprapa:53874.

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2014Inflation Expectations Spillovers between the United States and Euro Area. (2014). Tauchen, George ; Todorov, Viktor ; Rei, Markus . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-022.

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2014Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity. (2014). Cheung, Adrian ; Su, Jen-Je ; Roca, Eduardo . In: Economic Modelling. RePEc:eee:ecmode:v:36:y:2014:i:c:p:161-171.

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2014Specification Tests for Nonlinear Dynamic Models. (2014). Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1937.

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2014On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. (2014). Ouysse, Rachida . In: Computational Statistics. RePEc:spr:compst:v:29:y:2014:i:1:p:233-261.

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2014Bootstrap tests in linear models with many regressors. (2014). Richard, Patrick . In: Cahiers de recherche. RePEc:shr:wpaper:14-06.

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2014Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models. (2014). Yabe, Ryota . In: Discussion Papers. RePEc:hit:econdp:2014-20.

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2014Testing stationarity of functional time series. (2014). Rice, Gregory ; Kokoszka, Piotr . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:66-82.

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2014A unified approach to validating univariate and multivariate conditional distribution models in time series. (2014). Chen, Bin ; Hong, Yongmiao . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p1:p:22-44.

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2014Testing for seasonal unit roots by frequency domain regression. (2014). Ercolani, Joanne S. ; Taylor, A. M. Robert, ; Chambers, Marcus J.. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p2:p:243-258.

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2014Multiple break detection in the correlation structure of random variables. (2014). Wied, Dominik ; Galeano, Pedro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:262-282.

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2014A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution. (2014). Vogel, Daniel ; van Kampen, Maarten ; Dehling, Herold ; Wied, Dominik . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:723-736.

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2014Extensions of some classical methods in change point analysis. (2014). Rice, Gregory ; Horvath, Lajos . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:23:y:2014:i:2:p:219-255.

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2014Estimating multivariate GARCH and stochastic correlation models equation by equation. (2014). Francq, Christian ; Zakoian, Jean-Michel . In: MPRA Paper. RePEc:pra:mprapa:54250.

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2014Dynamic factor multivariate GARCH model. (2014). Moura, Guilherme V. ; Santos, Andre A. P., . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:606-617.

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2014Variance targeting estimation of multivariate GARCH models. (2014). Francq, Christian ; Horvath, Lajos ; Zakoian, Jean-Michel . In: MPRA Paper. RePEc:pra:mprapa:57794.

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2014Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models. (2014). . In: CREATES Research Papers. RePEc:aah:create:2014-34.

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2014On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. (2014). Ouysse, Rachida . In: Computational Statistics. RePEc:spr:compst:v:29:y:2014:i:1:p:233-261.

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[Citation Analysis]
2014A new Pearson-type QMLE for conditionally heteroskedastic models. (2014). Li, Wai Keung . In: MPRA Paper. RePEc:pra:mprapa:52732.

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2014Least squares estimation for GARCH (1,1) model with heavy tailed errors. (2014). Preminger, Arie ; Storti, Giuseppe . In: MPRA Paper. RePEc:pra:mprapa:59082.

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2014Granger-Causality in Quantiles between Financial Markets: Using Copula Approach. (2014). Lee, Tae-Hwy ; Yang, Weiping . In: Working Papers. RePEc:ucr:wpaper:201406.

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2014The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach. (2014). Kyei, Clement ; Kasongo, Vanessa ; Chang, Shinhye ; Gupta, Rangan ; Balcilar, Mehmet . In: Working Papers. RePEc:pre:wpaper:201468.

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2014Instrumental variables estimation with many weak instruments using regularized JIVE. (2014). Hansen, Christian ; Kozbur, Damian . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:2:p:290-308.

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2014Measuring and testing for the systemically important financial institutions. (2014). Castro, Carlos ; Ferrari, Stijn . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:1-14.

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2014Nonparametric kernel density estimation near the boundary. (2014). Schienle, Melanie ; Malec, Peter . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:72:y:2014:i:c:p:57-76.

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2014Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data. (2014). Abdali, Abdel ; Rachdi, Mustapha ; Demongeot, Jacques ; Madani, Fethi ; Laksaci, Ali . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:73:y:2014:i:c:p:53-68.

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2014Identification of DSGE Models - A Comparison of Methods and the Effect of Second Order Approximation. (2014). Mutschler, Willi . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100598.

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2014Uniform Inference in Nonlinear Models with Mixed Identification Strength. (2014). Cheng, Xu. In: PIER Working Paper Archive. RePEc:pen:papers:14-018.

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2014Testing the Martingale Hypothesis. (2014). Peter C. B. Phillips, ; Jin, Sainan . In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:32:y:2014:i:4:p:537-554.

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2014Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. (2014). Kneip, Alois ; Bada, Oualid . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:95-115.

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2014Panel data and productivity measurement: an analysis of Asian productivity trends. (2014). Shang, Chenjun ; SICKLES, Robin C. ; Hao, Jiaqi . In: Journal of Chinese Economic and Business Studies. RePEc:taf:jocebs:v:12:y:2014:i:3:p:211-231.

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2014Inflation Expectations Spillovers between the United States and Euro Area. (2014). Tauchen, George ; Todorov, Viktor ; Rei, Markus . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-022.

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2014Large and moderate deviations of realized covolatility. (2014). Djellout, Hacene ; Samoura, Yacouba . In: Statistics & Probability Letters. RePEc:eee:stapro:v:86:y:2014:i:c:p:30-37.

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2014Multi-jumps. (2014). Kolokolov, Aleksey ; Reno, Roberto ; Caporin, Massimiliano . In: MPRA Paper. RePEc:pra:mprapa:58175.

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2014Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Veredas, David ; Elst, Harry Vander . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:es142416.

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2014Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2014-35.

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2014ECB monetary policy surprises: identification through cojumps in interest rates. (2014). Winkelmann, Lars ; Linzert, Tobias ; Bibinger, Markus . In: Working Paper Series. RePEc:ecb:ecbwps:20141674.

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2014System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; LAHAYE, Jerome . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:48:y:2014:i:pa:p:147-174.

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2014LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2014). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud . In: Working Papers. RePEc:hal:wpaper:hal-01082903.

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2014How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test. (2014). Lee, Chingnun ; Yang, Lixiong ; Shie, Fu Shuen . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:26:y:2014:i:c:p:198-226.

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2014Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence. (2014). Peng, Bin ; Gao, Jiti ; Dong, Chaohua . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-9.

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2014Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators. (2014). Lee, Seojeong . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p3:p:398-413.

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2014Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM. (2014). DiTraglia, Francis J.. In: PIER Working Paper Archive. RePEc:pen:papers:14-037.

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2014Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics. (2014). Caner, Mehmet . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:2:p:247-268.

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2014Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version. (2014). DiTraglia, Francis J.. In: PIER Working Paper Archive. RePEc:pen:papers:14-045.

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2014TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES. (2014). Song, Kyungchul ; Whang, Yoon-Jae ; Lee, Sokbae . In: KIER Working Papers. RePEc:kyo:wpaper:889.

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2014Testing for a general class of functional inequalities. (2014). Song, Kyungchul ; Whang, Yoon-Jae ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:09/14.

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2014Confidence Corridors for Multivariate Generalized Quantile Regression. (2014). Dette, Holger ; Hardle, Wolfgang ; Chao, Shih-Kang ; Proksch, Katharina . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-028.

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2014Econometrics of Ascending Auctions by Quantile Regression. (2014). Gimenes, Nathalie . In: Working Papers, Department of Economics. RePEc:spa:wpaper:2014wpecon25.

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2014Robust monitoring of CAPM portfolio betas II. (2014). Steinebach, Josef G. ; Prakova, Zuzana ; Chochola, Ondej ; Hukova, Marie . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:132:y:2014:i:c:p:58-81.

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2014Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2014). Dong, Chaohua ; Yin, Jiying ; Gao, Jiti ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-8.

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2014LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises. (2014). Ling, Shiqing . In: MPRA Paper. RePEc:pra:mprapa:59099.

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2014Indirect inference with time series observed with error. (2014). de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2014-57.

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2014Weak Convergence to Stochastic Integrals for Econometric Applications. (2014). Wang, Hanchao ; Peter C. B. Phillips, ; Liang, Hanying . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1971.

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2014On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2014). Diebold, Francis X. ; Ylmaz, Kamil . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:119-134.

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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Brownlees, Christian ; Gallo, Giampiero M. ; Veredas, David . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:2:p:364-384.

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2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables. (2014). . In: FRB Atlanta Working Paper No.. RePEc:fip:fedawp:2014-11.

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2014Small Sample Properties of Bayesian Estimators of Labor Income Processes. (2014). Nakata, Taisuke . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2014-25.

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2014Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models. (2014). Yabe, Ryota . In: Discussion Papers. RePEc:hit:econdp:2014-20.

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2014Asymptotically efficient estimation of weighted average derivatives with an interval censored variable. (2014). . In: CeMMAP working papers. RePEc:ifs:cemmap:03/14.

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2014On the relevance of weaker instruments. (2014). Renault, Eric . In: Discussion Papers. RePEc:sfu:sfudps:dp14-04.

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Recent citations received in: 2013

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2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson . In: CREATES Research Papers. RePEc:aah:create:2013-35.

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2013Oracle Inequalities for Convex Loss Functions with Non-Linear Targets. (2013). Kock, Anders Bredahl ; Caner, Mehmet . In: CREATES Research Papers. RePEc:aah:create:2013-51.

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2013News Driven Business Cycles: Insights and Challenges. (2013). Portier, Franck ; Beaudry, Paul . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9624.

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2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models. (2013). Li, Dong ; Ling, Shiqing . In: Working Papers. RePEc:crs:wpaper:2013-51.

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2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2013). Velasco, Carlos ; Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Gao, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929.

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2013Inference on an extended Roy model, with an application to schooling decisions in France. (2013). Maurel, Arnaud ; DHaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:174:y:2013:i:2:p:95-106.

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2013Parametric and Nonparametric Frequentist Model Selection and Model Averaging. (2013). Amanullah, ; Wang, Huansha . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:157-179:d:28948.

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2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-519.

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2013Testing for a unit root in noncausal autoregressive models. (2013). Saikkonen, Pentti ; Sandberg, Rickard . In: Research Discussion Papers. RePEc:hhs:bofrdp:2013_026.

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2013Properties of the maximum likelihood estimator in spatial autoregressive models. (2013). Martellosio, Federico ; Hillier, Grant . In: CeMMAP working papers. RePEc:ifs:cemmap:44/13.

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2013Parameter Identification in the Logistic STAR Model. (2013). Nejstgaard, Emil ; Ekner, Line Elvstrom . In: Discussion Papers. RePEc:kud:kuiedp:1307.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Gao, Jiti ; Peter C. B. Phillips, . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-27.

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2013News Driven Business Cycles: Insights and Challenges. (2013). . In: NBER Working Papers. RePEc:nbr:nberwo:19411.

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Recent citations received in: 2012

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2012Alternative Asymptotics and the Partially Linear Model with Many Regressors. (2012). Cattaneo, Matias D. ; Newey, Whitney K. ; Jansson, Michael . In: CREATES Research Papers. RePEc:aah:create:2012-02.

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2012An Overview of the Special Regressor Method. (2012). Lewbel, Arthur . In: Boston College Working Papers in Economics. RePEc:boc:bocoec:810.

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2012Time irreversible copula-based Markov Models. (2012). Beare, Brendan K. ; Seo, Juwon . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt31f8500p.

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2012A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters. (2012). Guggenberger, Patrik . In: Economics Letters. RePEc:eee:ecolet:v:117:y:2012:i:3:p:901-904.

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2012Regression towards the mode. (2012). Kemp, Gordon C. R., ; Santos Silva, J. M. C., . In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:1:p:92-101.

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2012Underidentification?. (2012). Hansen, Lars Peter ; Arellano, Manuel . In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:2:p:256-280.

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2012Independence Test for High Dimensional Random Vectors. (2012). Pan, G. ; Yang, Y. ; Guo, M. ; Gao, J.. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2012-1.

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2012Nonlinear Regression with Harris Recurrent Markov Chains. (2012). Tjostheim, Dag ; Gao, Jiti ; Li, Degui . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2012-14.

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2012Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments. (2012). Cheng, Xu ; Liao, Zhipeng . In: PIER Working Paper Archive. RePEc:pen:papers:12-045.

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2012Subset hypotheses testing and instrument exclusion in the linear IV regression. (2012). Tchatoka, Firmin Doko . In: MPRA Paper. RePEc:pra:mprapa:29611.

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2012Identification and estimation of dynamic factor models. (2012). Bai, Jushan ; Wang, Peng . In: MPRA Paper. RePEc:pra:mprapa:38434.

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2012Specification Tests with Weak and Invalid Instruments. (2012). Doko Tchatoka, Firmin Sabro, . In: MPRA Paper. RePEc:pra:mprapa:40185.

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2012Efficient Estimation of Approximate Factor Models. (2012). Bai, Jushan ; Liao, Yuan . In: MPRA Paper. RePEc:pra:mprapa:41558.

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2012Forecasting Korean inflation. (2012). Choi, In ; Hwang, Seong Jin . In: Working Papers. RePEc:sgo:wpaper:1202.

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2012A new fluctuation test for constant variances with applications to finance. (2012). Ziggel, Daniel ; Bissantz, Nicolai ; Arnold, Matthias ; Wied, Dominik . In: Metrika. RePEc:spr:metrik:v:75:y:2012:i:8:p:1111-1127.

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Recent citations received in: 2011

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2011Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard . In: CREATES Research Papers. RePEc:aah:create:2011-31.

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2011Wealth mobility and dynamics over entire individual working life cycles. (2011). Ohlsson, Henry ; Hochguertel, Stefan. In: BCL working papers. RePEc:bcl:bclwop:bclwp056.

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2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models. (2011). Dufays, Arnaud ; BAUWENS, Luc ; Rombouts, Jeroen . In: CIRANO Working Papers. RePEc:cir:cirwor:2011s-72.

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2011Marginal likelihood for Markov-switching and change-point GARCH models. (2011). Dufays, Arnaud ; Rombouts, Jeroen V. K., ; BAUWENS, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2011013.

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2011State dependence and heterogeneity in health using a bias corrected fixed effects estimator. (2011). Traferri, Alejandra . In: Economics Working Papers. RePEc:cte:werepe:we1118.

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2011Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals. (2011). Pouzo, Demian ; Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1650rr.

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2011Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (2011). Otsu, Taisuke . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1724.

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2011Examples of L^2-Complete and Boundedly-Complete Distributions. (2011). Donald W. K. Andrews, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1801.

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2011Fitting dynamic factor models to non-stationary time series. (2011). Motta, Giovanni ; von Sachs, Rainer ; Eichler, Michael . In: Journal of Econometrics. RePEc:eee:econom:v:163:y:2011:i:1:p:51-70.

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2011A cautionary note on tests for overidentifying restrictions. (2011). J. M. C. Santos Silva, ; Paulo M. D. C. Parente, ; J. M. C. Santos Silva, . In: Economics Discussion Papers. RePEc:esx:essedp:699.

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2011Reestablishing the income-democracy nexus. (2011). Corvalan, Alejandro ; Spiegel, Mark M. ; Benhabib, Jess . In: Working Paper Series. RePEc:fip:fedfwp:2011-09.

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2011Multivariate trend comparisons between autocorrelated climate series with general trend regressors. (2011). McKitrick, Ross ; Vogelsang, Timothy . In: Working Papers. RePEc:gue:guelph:2011-09..

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2011Nonparametric LAD Cointegrating Regression. (2011). Honda, Toshio . In: Global COE Hi-Stat Discussion Paper Series. RePEc:hst:ghsdps:gd11-207.

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2011Nonparametric identification using instrumental variables: sufficient conditions for completeness. (2011). Shiu, Ji-Liang . In: CeMMAP working papers. RePEc:ifs:cemmap:25/11.

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2011State Dependence and Heterogeneity in Health Using a Bias Corrected Fixed Effects Estimator. (2011). Traferri, Alejandra ; Carro, Jesus M.. In: Documentos de Trabajo. RePEc:ioe:doctra:402.

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2011Nonparametric Identification Using Instrumental Variables: Sufficient Conditions For Completeness. (2011). Shiu, Ji-Liang ; Hu, Yingyao . In: Economics Working Paper Archive. RePEc:jhu:papers:581.

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2011Nonparametric Identification and Estimation of Transformation Models. (2011). Komunjer, Ivana ; Chiappori, Pierre-Andre . In: CAM Working Papers. RePEc:kud:kuieca:2011_01.

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2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models. (2011). Dufays, Arnaud ; BAUWENS, Luc ; Jeroen V. K. Rombouts, . In: Cahiers de recherche. RePEc:lvl:lacicr:1138.

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2011Reestablishing the Income-Democracy Nexus. (2011). Corvalan, Alejandro . In: NBER Working Papers. RePEc:nbr:nberwo:16832.

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2011Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties. (2011). Mikusheva, Anna . In: NBER Working Papers. RePEc:nbr:nberwo:17424.

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2011Posterior consistency of nonparametric conditional moment restricted models. (2011). Jiang, Wenxin ; Liao, Yuan . In: MPRA Paper. RePEc:pra:mprapa:38700.

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2011Nonlinear Panel Data Models with Expected a Posteriori Values of Correlated Random Effects. (2011). Tiwari, Amaresh ; Palm, Franz . In: CREPP Working Papers. RePEc:rpp:wpaper:1113.

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2011Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects. (2011). Kim, Minseong ; Sun, Yixiao . In: Working Papers. RePEc:rye:wpaper:wp029.

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2011Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (2011). . In: Microeconomics.ca working papers. RePEc:ubc:pmicro:vadim_marmer-2008-13.

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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.