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Journal of Time Series Analysis / Wiley Blackwell


0.42

Impact Factor

0.4

5-Years IF

22

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.2661900 (%)0.07
19960.24666 (%)0.09
19970.170.280.17610.176161 (%)0.1
19980.29606 (%)0.1
19990.330.17620.33061 (%)0.14
20000.40.5661063 (%)0.15
20010.41640.6700 (%)0.15
20020.426132.1700 (%)0.18
20030.454349180.3740800 (%)130.30.19
20040.470.50.4751100350.35322432043201 (%)80.160.2
20050.350.530.3541141480.3421394339433 (%)80.20.21
20060.520.520.64461871010.544279248135862 (%)90.20.2
20070.330.460.4342229900.39197872918177 (%)30.070.18
20080.590.490.6542831500.5329088522231331 (%)80.150.2
20090.490.480.53343171660.521439647234124 (%)70.210.19
20100.360.460.42433601490.41164883221791 (%)60.140.17
20110.510.530.57574171940.47927739219124 (%)10.020.2
20120.40.560.43744912490.51911004023099 (%)30.040.2
20130.260.630.44575482770.5114313134262115 (%)90.160.22
20140.370.660.37385863000.51551314926599 (%)30.080.22
20150.610.730.44516373160.5359558269118 (%)90.180.23
20160.420.950.4496863140.46138937277112 (%)20.040.29
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:


#YearTitleCited
12006A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409.

Full description at Econpapers || Download paper

104
22008Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185.

Full description at Econpapers || Download paper

93
32003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

Full description at Econpapers || Download paper

81
42013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

Full description at Econpapers || Download paper

69
52005Unit-root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

Full description at Econpapers || Download paper

52
62004A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669.

Full description at Econpapers || Download paper

49
72003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

Full description at Econpapers || Download paper

49
82003Gaussian Semi-parametric Estimation of Fractional Cointegration. (2003). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378.

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49
92003SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*. (2003). Rodríguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220.

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44
102010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

Full description at Econpapers || Download paper

43
112007Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497.

Full description at Econpapers || Download paper

39
122004Asymmetric adjustment and smooth transitions: a combination of some unit root tests. (2004). Sollis, Robert. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417.

Full description at Econpapers || Download paper

35
132006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching. (2006). Spagnolo, Nicola ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766.

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32
142003Testing for Linear Trend with Application to Relative Primary Commodity Prices. (2003). Pfaffenzeller, Stephan ; Kim, Tae-Hwan ; Newbold, Paul ; Rayner, Tony . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551.

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32
152006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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31
162007CUSUM of Squares-Based Tests for a Change in Persistence. (2007). Taylor, Robert ; Kim, Tae-Hwan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433.

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30
172006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

Full description at Econpapers || Download paper

29
182004Bootstrap predictive inference for ARIMA processes. (2004). Ruiz, Esther ; Pascual, Lorenzo ; Romo, Juan . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465.

Full description at Econpapers || Download paper

26
192008Bootstrap Unit-Root Tests: Comparison and Extensions. (2008). Urbain, Jean-Pierre ; Smeekes, Stephan ; Palm, Franz. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401.

Full description at Econpapers || Download paper

25
20Consistent estimation of the memory parameter for nonlinear time series. (2006). Giraitis, Liudas ; Dalla, Violetta ; Hidalgo, Javier . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251.

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24
212006Inference in Autoregression under Heteroskedasticity. (2006). Xu, Ke-Li ; Phillips, Peter. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308.

Full description at Econpapers || Download paper

24
222009A parametric estimation method for dynamic factor models of large dimensions. (2009). Marcellino, Massimiliano ; Kapetanios, George . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238.

Full description at Econpapers || Download paper

23
232009Testing for a break in persistence under long-range dependencies. (2009). Sibbertsen, Philipp ; Kruse, Robinson. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:3:p:263-285.

Full description at Econpapers || Download paper

22
242006Structural Laplace Transform and Compound Autoregressive Models. (2006). Jasiak, Joann ; gourieroux, christian ; darolles, serge. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503.

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21
252003Filtering and smoothing of state vector for diffuse state-space models. (2003). Koopman, Siem Jan ; Durbin, J.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98.

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21
262005Examination of Some More Powerful Modifications of the Dickey-Fuller Test. (2005). Kim, Tae-Hwan ; Newbold, Paul . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369.

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19
272004On the Autocorrelation Properties of Long-Memory GARCH Processes. (2004). Sola, Martin ; Psaradakis, Zacharias ; Karanasos, Menelaos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282.

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19
282008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. (2008). Taylor, Robert ; Cavaliere, Giuseppe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330.

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17
292004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B . P. M. McCabe, ; Freeland, R. K. ; B. P. M. McCabe, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

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17
302006Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers. (2006). Escribano, Alvaro ; Sipols, Ana E. ; Aparicio, Felipe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:545-576.

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17
312004Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models. (2004). Jensen, Mark. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922.

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17
322012The averaged periodogram estimator for a power law in coherency. (2012). Sela, Rebecca ; Hurvich, Clifford. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:2:p:340-363.

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16
331995SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES. (1995). Marmol, Francesc . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:3:p:313-321.

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15
342010Local Whittle estimation of the memory parameter in presence of deterministic components. (2010). Iacone, Fabrizio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49.

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15
352003Bootstrapping unit root tests for integrated processes. (2003). RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126.

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15
362007Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series. (2007). Brockwell, Anthony ; Srivastava, Sanjay ; Mihaela Şerban, ; Lehoczky, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782.

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15
372006Properties of higher order stochastic cycles. (2006). Trimbur, Thomas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:1-17.

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15
382010ADL tests for threshold cointegration. (2010). Li, Jing ; Lee, Junsoo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:4:p:241-254.

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15
392006Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series. (2006). Brockwell, Peter J. ; Yao, Qiwei . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875.

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15
402006Tests for Long-Run Granger Non-Causality in Cointegrated Systems. (2006). Kurozumi, Eiji ; YAMAMOTO, Taku . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723.

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14
412008Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators. (2008). Vogelsang, Timothy ; Hashimzade, Nigar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:142-162.

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14
422008Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes. (2008). Poskitt, Donald. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:224-250.

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14
432008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. (2008). Trenkler, Carsten ; Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358.

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14
442013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

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14
452004Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes. (2004). Doucet, A. ; Godsill, S. J. ; Vermaak, J. ; Andrieu, C.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:6:p:785-809.

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13
462007Temporal Aggregation and Bandwidth selection in estimating long memory. (2007). Souza, Leonardo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:5:p:701-722.

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13
472006Spurious Regression Under Broken-Trend Stationarity. (2006). Ventosa-Santaulària, Daniel ; Noriega, Antonio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:671-684.

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13
482003Diagnostic Checking in a Flexible Nonlinear Time Series Model. (2003). Medeiros, Marcelo ; Veiga, Alvaro . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:461-482.

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13
492007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

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13
502014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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13

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

Full description at Econpapers || Download paper

60
22006A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409.

Full description at Econpapers || Download paper

42
32008Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185.

Full description at Econpapers || Download paper

33
42005Unit-root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

Full description at Econpapers || Download paper

19
52010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

Full description at Econpapers || Download paper

18
62004Asymmetric adjustment and smooth transitions: a combination of some unit root tests. (2004). Sollis, Robert. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417.

Full description at Econpapers || Download paper

14
72003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

Full description at Econpapers || Download paper

14
82006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

Full description at Econpapers || Download paper

13
92014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

Full description at Econpapers || Download paper

13
102013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

Full description at Econpapers || Download paper

11
112003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

Full description at Econpapers || Download paper

11
122007Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497.

Full description at Econpapers || Download paper

11
132004Bootstrap predictive inference for ARIMA processes. (2004). Ruiz, Esther ; Pascual, Lorenzo ; Romo, Juan . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465.

Full description at Econpapers || Download paper

10
142004A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669.

Full description at Econpapers || Download paper

10
152010ADL tests for threshold cointegration. (2010). Li, Jing ; Lee, Junsoo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:4:p:241-254.

Full description at Econpapers || Download paper

9
162006Inference in Autoregression under Heteroskedasticity. (2006). Xu, Ke-Li ; Phillips, Peter. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308.

Full description at Econpapers || Download paper

9
172012The averaged periodogram estimator for a power law in coherency. (2012). Sela, Rebecca ; Hurvich, Clifford. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:2:p:340-363.

Full description at Econpapers || Download paper

8
182006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching. (2006). Spagnolo, Nicola ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766.

Full description at Econpapers || Download paper

7
192005Examination of Some More Powerful Modifications of the Dickey-Fuller Test. (2005). Kim, Tae-Hwan ; Newbold, Paul . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369.

Full description at Econpapers || Download paper

7
202008Bootstrap Unit-Root Tests: Comparison and Extensions. (2008). Urbain, Jean-Pierre ; Smeekes, Stephan ; Palm, Franz. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401.

Full description at Econpapers || Download paper

7
212010Local Whittle estimation of the memory parameter in presence of deterministic components. (2010). Iacone, Fabrizio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49.

Full description at Econpapers || Download paper

6
222007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

Full description at Econpapers || Download paper

6
232009A parametric estimation method for dynamic factor models of large dimensions. (2009). Marcellino, Massimiliano ; Kapetanios, George . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238.

Full description at Econpapers || Download paper

6
242008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. (2008). Taylor, Robert ; Cavaliere, Giuseppe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330.

Full description at Econpapers || Download paper

6
252012Measuring nonlinear dependence in time‐series, a distance correlation approach. (2012). Zhou, Zhou . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:3:p:438-457.

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6
262011Threshold quantile autoregressive models. (2011). Olmo, Jose ; Montes Rojas, Gabriel ; Galvao, Antonio F. ; MontesRojas, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:3:p:253-267.

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6
272010Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. (2010). Politis, Dimitris N. ; McMurry, Timothy L.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:6:p:471-482.

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6
282011A simple test of changes in mean in the possible presence of long‐range dependence. (2011). Shao, Xiaofeng. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:6:p:598-606.

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6
292009Testing for a break in persistence under long-range dependencies. (2009). Sibbertsen, Philipp ; Kruse, Robinson. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:3:p:263-285.

Full description at Econpapers || Download paper

5
302015A Gaussian Mixture Autoregressive Model for Univariate Time Series. (2015). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:247-266.

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5
312008Stability of nonlinear AR-GARCH models. (2008). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:3:p:453-475.

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5
322015Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models. (2015). Nielsen, Morten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:2:p:154-188.

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5
332011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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5
342006Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series. (2006). Brockwell, Peter J. ; Yao, Qiwei . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875.

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5
352007Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series. (2007). Brockwell, Anthony ; Srivastava, Sanjay ; Mihaela Şerban, ; Lehoczky, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782.

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5
362013CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns. (2013). Wied, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:2:p:221-229.

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5
372015Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series. (2015). Miller, J. ; Ghysels, Eric . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:6:p:797-816.

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5
382007CUSUM of Squares-Based Tests for a Change in Persistence. (2007). Taylor, Robert ; Kim, Tae-Hwan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433.

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5
392003SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*. (2003). Rodríguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220.

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5
402006Estimation in Random Coefficient Autoregressive Models. (2006). Horvath, Lajos ; Aue, Alexander ; Steinebach, Josef . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:61-76.

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5
412009On stationarity and ergodicity of the bilinear model with applications to GARCH models. (2009). Kristensen, Dennis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:1:p:125-144.

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5
422013Least tail-trimmed squares for infinite variance autoregressions. (2013). Hill, Jonathan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:2:p:168-186.

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4
432008Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes. (2008). Poskitt, Donald. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:224-250.

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4
442008Portmanteau tests for ARMA models with infinite variance. (2008). McLeod, A. I. ; J.-W. Lin, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:3:p:600-617.

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4
452006Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers. (2006). Escribano, Alvaro ; Sipols, Ana E. ; Aparicio, Felipe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:545-576.

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4
462009Estimation in nonstationary random coefficient autoregressive models. (2009). Ling, Shiqing ; Horvath, Lajos ; Berkes, Istvan . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:4:p:395-416.

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4
472015Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices. (2015). Kellard, Neil ; McCrorie, Roderick J ; Gilbert, Christopher L ; Figuerola-Ferretti, Isabel ; Coakley, Jerry ; Osborn, Denise . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:5:p:763-782.

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4
482008Large-scale volatility models: theoretical properties of professionals practice. (2008). Zaffaroni, Paolo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:3:p:581-599.

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4
492014QUANTILE PERIODOGRAM AND TIME-DEPENDENT VARIANCE. (2014). Li, Ta-Hsin . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:4:p:322-340.

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4
502008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break. (2008). Trenkler, Carsten ; Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:331-358.

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4

Citing documents used to compute impact factor 37:


YearTitle
2016Testing for Granger causality with mixed frequency data. (2016). Ghysels, Eric ; Motegi, Kaiji ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:207-230.

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2016The estimation of continuous time models with mixed frequency data. (2016). Chambers, Marcus. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:390-404.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016Testing for Symmetry in Weakly Dependent Time Series. (2016). Hartigan, Luke . In: Discussion Papers. RePEc:swe:wpaper:2016-18.

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2016The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests. (2016). Chambers, Marcus. In: Economics Discussion Papers. RePEc:esx:essedp:16062.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Year Ahead Demand Forecast of City Natural Gas Using Seasonal Time Series Methods. (2016). Akpinar, Mustafa ; Yumusak, Nejat . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:9:p:727-:d:77779.

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2016Asymptotics for parametric GARCH-in-Mean models. (2016). Conrad, Christian ; Mammen, Enno . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:319-329.

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2016Inflation convergence in the EMU. (2016). Karavias, Yiannis ; Karanasos, M ; Arakelian, V ; Kartsaklas, A ; Koutroumpis, P. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:241-253.

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2016Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30.

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2016Tests for explosive financial bubbles in the presence of non-stationary volatility. (2016). Taylor, Robert ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:548-574.

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2016The shine of precious metals around the global financial crisis. (2016). Figuerola-Ferretti, Isabel ; McCrorie, Roderick J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:717-738.

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2016The oil price crash in 2014/15: Was there a (negative) financial bubble?. (2016). Fantazzini, Dean. In: Energy Policy. RePEc:eee:enepol:v:96:y:2016:i:c:p:383-396.

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2016A unified approach to self-normalized block sampling. (2016). Zhang, Ting ; Bai, Shuyang ; Taqqu, Murad S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:8:p:2465-2493.

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2016Gaussian mixture vector autoregression. (2016). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:485-498.

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2016U.S. stock markets and the role of real interest rates. (2016). Mollick, Andre ; Huang, Wanling ; Nguyen, Khoa Huu . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:231-242.

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2016Inference on nonstationary time series with moving mean. (2016). Robinson, Peter M ; Gao, Jiti . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66509.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Robust time series models with trend and seasonal components. (2016). Harvey, Andrew ; Caivano, Michele ; Luati, Alessandra . In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:7:y:2016:i:1:d:10.1007_s13209-015-0134-1.

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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. (2016). Whang, Yoon-Jae ; Oka, Tatsushi ; LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:251-270.

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2016Clustering of time series using quantile autocovariances. (2016). Lafuente-Rego, Borja ; Vilar, Jose A. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:10:y:2016:i:3:d:10.1007_s11634-015-0208-8.

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2016On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities. (2016). Hallin, Marc ; Birr, Stefan ; Volgushev, Stanislav ; Kley, Tobias ; Dette, Holger . In: Working Papers ECARES. RePEc:eca:wpaper:2013/240522.

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2016Statistical inference in a random coefficient panel model. (2016). Horvath, Lajos ; Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:54-75.

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2016Environmental impact assessments of hybrid photovoltaic–thermal (PV/T) systems – A review. (2016). Good, Clara . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:55:y:2016:i:c:p:234-239.

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2016Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis. (2016). Lunina, Veronika. In: Working Papers. RePEc:hhs:lunewp:2016_030.

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2016Fractionality and co-fractionality between Government Bond yields. (2016). Hungnes, HÃ¥vard. In: Discussion Papers. RePEc:ssb:dispap:838.

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2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. (2016). Nielsen, Morten ; Xu, KE ; Dolatabadi, Sepideh . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:623-639.

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2016Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30.

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2016Predicting Empirical Patterns in Viewing Japanese TV Dramas Using Case-Based Decision Theory. (2016). Sugawara, Shinya ; Keita, Kinjo ; Shinya, Sugawara . In: The B.E. Journal of Theoretical Economics. RePEc:bpj:bejtec:v:16:y:2016:i:2:p:679-709:n:6.

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2016IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models. (2016). Phillips, Peter ; Lieberman, Offer ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2061.

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2016Robust closed-form estimators for the integer-valued GARCH (1,1) model. (2016). Li, QI ; Zhu, Fukang ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:101:y:2016:i:c:p:209-225.

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2016Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions. (2016). Kitromilidou, Stella ; Fokianos, Konstantinos . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:3:d:10.1007_s11203-015-9131-z.

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2016Panel Cointegration Testing in the Presence of Linear Time Trends. (2016). Hosseinkouchack, Mehdi ; Hassler, Uwe. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:45-:d:81855.

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2016Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159.

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2016Weak VARMA representations of regime-switching state-space models. (2016). Cavicchioli, Maddalena . In: Statistical Papers. RePEc:spr:stpapr:v:57:y:2016:i:3:d:10.1007_s00362-015-0675-1.

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2016HEGY test under seasonal heterogeneity. (2016). Politis, Dimitris . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2q4054kf.

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2016Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-27.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2016). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:74922.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

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Recent citations received in 2015

YearCiting document
2015Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns. (2015). Perron, Pierre ; Varneskov, Rasmus T. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-015.

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2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. (2015). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Taylor, A. M. Robert, . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:557-579.

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2015Threshold models in time series analysis—Some reflections. (2015). Tong, Howell. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:485-491.

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2015Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?. (2015). GUPTA, RANGAN ; El Montasser, Ghassen ; Wanke, Peter ; Martins, Andre Luis . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:52:y:2015:i:c:p:19-23.

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2015Nonlinearity and cross-country dependence of income inequality. (2015). Malinen, Tuomas ; Kalliovirta, Leena. In: Working Papers. RePEc:inq:inqwps:ecineq2015-358.

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2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2015). Shibaev, Sergei ; Nielsen, Morten. In: Working Papers. RePEc:qed:wpaper:1340.

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2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150111.

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2015Multivariate Markov Families of Copulas. (2015). Ludger, Overbeck ; Wolfgang, Schmidt . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:13:n:11.

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2015Forecasting time series with multivariate copulas. (2015). Clarence, Simard ; Bruno, Remillard . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:24:n:5.

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Recent citations received in 2014

YearCiting document
2014A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing. (2014). Phillips, Peter ; Lieberman, Offer ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1964.

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2014Quantile Spectral Analysis for Locally Stationary Time Series. (2014). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Skowronek, Stefan ; Volgushev, Stanislav . In: Working Papers ECARES. RePEc:eca:wpaper:2013/159999.

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2014Autocovariance and Linear Transformations of Markov Switching VARMA Processes. (2014). Cavicchioli, Maddalena . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:6:y:2014:i:4:p:275-289.

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Recent citations received in 2013

YearCiting document
2013Some properties of multivariate INAR(1) processes. (2013). Karlis, Dimitris ; Pedeli, Xanthi . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:67:y:2013:i:c:p:213-225.

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2013Unit roots, non-linearities and structural breaks. (2013). Haldrup, Niels ; Tersvirta, Timo ; Kruse, Robinson ; Varneskov, Rasmus T.. In: Chapters. RePEc:elg:eechap:14327_4.

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2013Forecasting Based on Common Trends in Mixed Frequency Samples. (2013). Fuleky, Peter ; Bonham, Carl. In: Working Papers. RePEc:hae:wpaper:2010-17r1.

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2013Forecasting with Mixed Frequency Samples: The Case of Common Trends. (2013). Fuleky, Peter ; Bonham, Carl. In: Working Papers. RePEc:hai:wpaper:201305.

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2013Forecasting with Mixed Frequency Samples: The Case of Common Trends. (2013). Fuleky, Peter ; Bonham, Carl. In: Working Papers. RePEc:hai:wpaper:201316.

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2013Coal Consumption, Industrial Production and CO2 Emissions in China and India. (2013). Shahbaz, Muhammad ; Ozturk, Ilhan. In: MPRA Paper. RePEc:pra:mprapa:50618.

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2013Revisiting Linkages between Financial Development, Trade Openness and Economic Growth in South Africa: Fresh Evidence from Combined Cointegration Test. (2013). Shahbaz, Muhammad ; Polat, Ali ; Satti, Saqlain Latif ; Rehman, Ijaz Ur . In: MPRA Paper. RePEc:pra:mprapa:51724.

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2013Characterizing economic growth paths based on new structural change tests. (2013). Sobreira, Nuno ; Rodrigues, Paulo ; Nunes, Luis ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, . In: Working Papers. RePEc:ptu:wpaper:w201313.

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2013Testing for common cycles in non-stationary VARs with varied frecquency data. (2013). Urbain, Jean-Pierre ; Hecq, Alain ; Götz, Thomas ; Gotz T. B., ; Urbain J. R. Y. J., ; Hecq A. W., . In: Research Memorandum. RePEc:unm:umagsb:2013002.

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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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 2 2017. Contact: CitEc Team