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Econometric Theory / Cambridge University Press


0.61

Impact Factor

0.79

5-Years IF

67

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.060.10.056161120.2544996199105 (%)10.020.04
19910.10.10.0953114270.2478310510236213 (%)30.060.04
19920.050.10.0671185300.166471146253162 (%)10.010.04
19930.070.110.0779264270.1634124928419 (%)30.040.06
19940.110.120.1170334600.18111415016308333 (%)60.090.05
19950.150.20.21004341320.3233614923334665 (%)70.070.07
19960.260.240.28805141950.38921170443731051 (%)40.050.09
19970.270.280.24745881980.34109018048400943 (%)130.180.1
19980.290.290.39406283260.52964154454031594 (%)50.130.11
19990.40.330.49376653760.57895114463641783 (%)170.460.14
20000.790.410.75467115150.7290177613312482 (%)120.260.15
20010.690.410.7437545620.7559183572771951 (%)130.30.15
20020.650.430.83628165770.71120189582401995 (%)270.440.18
20030.780.450.9748907420.83875105822282063 (%)210.280.19
20040.710.50.9639538940.941516136962622362 (%)150.240.2
20050.670.530.846110149520.941166137922882421 (%)390.640.21
20061.020.520.9457107111701.09478124127303285 (%)230.40.21
20070.760.460.9753112410670.95343118903173072 (%)190.360.18
20080.770.491.2669119313341.12854110853083872 (%)540.780.2
20090.920.491.3881127415141.197751221123034191 (%)390.480.19
20100.90.470.9567134113601.017101501353213062 (%)250.370.17
20111.070.540.9450139115851.143191481583273091 (%)260.520.21
20121.250.571.2653144417871.24258117146320403 (%)200.380.21
20130.940.641.3545148918051.2116510397320432 (%)140.310.23
20141.040.71.2843153217761.167598102296378 (%)110.260.23
20150.970.791.3151158318111.14608885258338 (%)180.350.25
20160.611.110.7939162216020.99249457242192 (%)120.310.34
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
11995Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00.

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1152
22004PANEL 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

834
32003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19.

Full description at Econpapers || Download paper

452
41991Asymptotically 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

390
51996Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00.

Full description at Econpapers || Download paper

382
62005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). McAleer, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05.

Full description at Econpapers || Download paper

328
71990Stationarity 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

254
81993Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00.

Full description at Econpapers || Download paper

235
91997Estimating 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

227
101998STRONG 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

214
111994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00.

Full description at Econpapers || Download paper

205
121999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Baltagi, Badi ; 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

201
131994A 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.

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199
142002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Carrasco, Marine ; Chen, Xiaohong . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

Full description at Econpapers || Download paper

189
151996Markov 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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170
162001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). Lippi, Marco ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17.

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159
171997Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995. (1997). Baltagi, Badi ; Boozer, Michael A.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00.

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149
181995Inference in Models with Nearly Integrated Regressors. (1995). Elliott, Graham ; 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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144
191988Statistical Inference in Regressions with Integrated Processes: Part 1. (1988). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01.

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144
201986Asymptotic 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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142
212004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20.

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141
221997Optimal Prediction Under Asymmetric Loss. (1997). Diebold, Francis ; Christoffersen, Peter. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00.

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136
231999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1999). Phillips, Peter ; Park, Joon. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15.

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134
242009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09.

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132
251998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). White, Halbert ; Stinchcombe, Maxwell. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14.

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131
261992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01.

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130
272002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS. (2002). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18.

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128
281995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (1995). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00.

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126
292002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18.

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126
301998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Simar, Leopold ; 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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120
311995Causality 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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115
321989Testing 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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114
332008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Chan, Felix ; Lieberman, Offer ; Hoti, Suhejla . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

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114
341989Statistical Inference in Regressions with Integrated Processes: Part 2. (1989). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01.

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113
352000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16.

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113
361988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data. (1988). Lo, Andrew. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:02:p:231-247_01.

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110
371991Asymptotics 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.

Full description at Econpapers || Download paper

109
381989Partially Identified Econometric Models. (1989). Phillips, Peter ; Phillips, P. C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01.

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109
392005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

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105
40103
411997Variance 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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102
421992Estimation 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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101
431990A Unified Approach to Robust, Regression-Based Specification Tests. (1990). Wooldridge, Jeffrey. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:01:p:17-43_00.

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100
442005MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). Pötscher, Benedikt ; 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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98
452002CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18.

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97
4694
471995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified. (1995). Watson, Mark ; Horvath, Michael T. K., . In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:984-1014_00.

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93
481995Nonparametric Kernel Estimation for Semiparametric Models. (1995). Andrews, Donald. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:560-586_00.

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92
491999THE 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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89
501999THE SIZE DISTORTION OF BOOTSTRAP TESTS. (1999). MacKinnon, James ; Davidson, Russell. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15.

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89

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


#YearTitleCited
12004PANEL 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

200
21995Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; 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

199
32003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19.

Full description at Econpapers || Download paper

70
41998STRONG 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
51993Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00.

Full description at Econpapers || Download paper

42
61997Estimating 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

42
72005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). McAleer, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05.

Full description at Econpapers || Download paper

40
82009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09.

Full description at Econpapers || Download paper

40
91991Asymptotically 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

37
102009GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Carrion-i-Silvestre, Josep Llu?s, . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99.

Full description at Econpapers || Download paper

32
112004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20.

Full description at Econpapers || Download paper

31
121999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Baltagi, Badi ; 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

29
132008ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS. (2008). Wilson, Paul ; Simar, Leopold ; Kneip, Alois . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1663-1697_08.

Full description at Econpapers || Download paper

29
142008UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA. (2008). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:726-748_08.

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27
152005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

Full description at Econpapers || Download paper

26
162000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16.

Full description at Econpapers || Download paper

26
172008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Chan, Felix ; 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

24
182005MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). Pötscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05.

Full description at Econpapers || Download paper

23
192002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Carrasco, Marine ; Chen, Xiaohong . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

Full description at Econpapers || Download paper

22
201991Asymptotics 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.

Full description at Econpapers || Download paper

22
211990Stationarity 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

21
221996Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00.

Full description at Econpapers || Download paper

20
232002CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18.

Full description at Econpapers || Download paper

20
242005ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. (2005). Pesaran, M ; hsiao, cheng ; Binder, Michael . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05.

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20
252005NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH. (2005). THOMAS-AGNAN, Christine ; Daouia, Abdelaati ; Aragon, Y.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:02:p:358-389_05.

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19
261994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00.

Full description at Econpapers || Download paper

18
271992Estimation 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

18
281995Inference in Models with Nearly Integrated Regressors. (1995). Elliott, Graham ; Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00.

Full description at Econpapers || Download paper

18
292001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). Lippi, Marco ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17.

Full description at Econpapers || Download paper

17
302010UNIT ROOT TESTS WITH WAVELETS. (2010). Gencay, Ramazan ; Genay, Ramazan ; Fan, Yanqin . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:05:p:1305-1331_99.

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17
312010EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES. (2010). Liu, Xiaodong ; Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:187-230_09.

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322008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES. (2008). Johansen, Soren. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08.

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17
332010EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND. (2010). Shimotsu, Katsumi. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:501-540_10.

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16
342002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18.

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16
352002HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE. (2002). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:06:p:1350-1366_18.

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16
361988Partially Adaptive Estimation of Regression Models via the Generalized T Distribution. (1988). Newey, Whitney ; McDonald, James. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:428-457_01.

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15
372009VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES. (2009). Andrews, Donald ; Guggenberger, Patrik . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:03:p:669-709_09.

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382012A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K. ; Song, Song . In: Econometric Theory. RePEc:cup:etheor:v:28:y:2012:i:04:p:861-887_00.

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15
391998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Simar, Leopold ; 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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15
401997Variance 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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412011BIAS 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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14
422013A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS. (2013). Politis, Dimitris N. ; Giacomini, Raffaella ; White, Halbert . In: Econometric Theory. RePEc:cup:etheor:v:29:y:2013:i:03:p:567-589_00.

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14
431992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01.

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14
441994Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown. (1994). Elliott, Graham ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:3-4:p:672-700_00.

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14
451998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). White, Halbert ; Stinchcombe, Maxwell. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14.

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14
461987Asymptotic Results for Generalized Wald Tests. (1987). Andrews, Donald. In: Econometric Theory. RePEc:cup:etheor:v:3:y:1987:i:03:p:348-358_01.

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13
472008NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS. (2008). Li, Qi ; Cai, Zongwu. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:05:p:1321-1342_08.

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13
482004COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS. (2004). Yang, Yuhong . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:01:p:176-222_20.

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491997Multiplicative Panel Data Models Without the Strict Exogeneity Assumption. (1997). Wooldridge, Jeffrey. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:667-678_00.

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13
501995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (1995). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00.

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13

Citing documents used to compute impact factor 57:


YearTitle
2016Jackknife Bias Reduction in the Presence of a Near-Unit Root. (2016). Chambers, Marcus ; Kyriacou, Maria . In: Economics Discussion Papers. RePEc:esx:essedp:17623.

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2016Podmíněný politicko-rozpočtový cyklus v zemích OECD. (2016). Jank, Jan . In: Politická ekonomie. RePEc:prg:jnlpol:v:2016:y:2016:i:1:id:1055:p:65-82.

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2016Econometrics as a Pluralistic Scientific Tool for Economic Planning: On Lawrence R. Kleins Econometrics. (2016). Pinzon-Fuchs, Erich . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01364809.

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2016Shrinkage estimation of dynamic panel data models with interactive fixed effects. (2016). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:148-175.

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2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271.

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2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

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2016Forecasting using sparse cointegration. (2016). Croux, Christophe ; Wilms, Ines . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1256-1267.

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2016Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne . In: Research Memorandum. RePEc:unm:umagsb:2016039.

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2016Root-T consistent density estimation in GARCH models. (2016). Delaigle, Aurore ; Rombouts, Jeroen ; Meister, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:55-63.

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2016Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68.

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2016Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking. (2016). Zelenyuk, Valentin ; Pham, Manh D. In: CEPA Working Papers Series. RePEc:qld:uqcepa:117.

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2016Efficient shrinkage in parametric models. (2016). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:115-132.

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2016Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory. (2016). Doko Tchatoka, Firmin ; Dufour, Jean-Marie . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-62.

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2016Local composite quantile regression smoothing for Harris recurrent Markov processes. (2016). Li, Degui. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:44-56.

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2016Deciding Between Alternative Approaches In Macroeconomics. (2016). Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:778.

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2016Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation. (2016). Hendry, David ; Smerdon, Jason E ; Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:780.

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2016Improving the Teaching of Econometrics. (2016). Mizon, Grayham ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:785.

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2016Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis. (2016). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:571-583.

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2016Policy Analysis, Forediction, and Forecast Failure. (2016). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:809.

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2016Macroeconomics and Consumption. (2016). muellbauer, john. In: Economics Series Working Papers. RePEc:oxf:wpaper:paper-811.

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2016Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. (2016). Ericsson, Neil ; Neil, Ericsson . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:377-398:n:6.

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2016Economic Forecasting in Theory and Practice: An Interview with David F. Hendry. (2016). Ericsson, Neil R. In: Working Papers. RePEc:gwc:wpaper:2016-012.

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2016Macroeconomics and Consumption. (2016). muellbauer, john. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11588.

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2016Tests of Equal Accuracy for Nested Models with Estimated Factors. (2016). Perron, Benoit ; McCracken, Michael ; Goncalves, Silvia. In: Working Papers. RePEc:fip:fedlwp:2015-025.

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2016Cognitive load and mixed strategies: On brains and minimax. (2016). Smith, John ; Duffy, Sean ; Owens, David ; Naddeo, JJ. In: MPRA Paper. RePEc:pra:mprapa:71878.

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2016A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Arteche, Josu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660.

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2016Dynamic treatment effects. (2016). Humphries, John ; Heckman, James ; Veramendi, Gregory . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:276-292.

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2016The Life-cycle Benefits of an Influential Early Childhood Program. (2016). Prados, María José ; Heckman, James ; Garcia, Jorge Luis ; Leaf, Duncan Ermini . In: Working Papers. RePEc:hka:wpaper:2016-035.

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2016The Life-cycle Benefits of an Influential Early Childhood Program. (2016). Prados, María José ; Heckman, James ; Leaf, Duncan Ermini ; Garcia, Jorge Luis . In: NBER Working Papers. RePEc:nbr:nberwo:22993.

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2016The Life-cycle Benefits of an Influential Early Childhood Program. (2016). Prados, Maria Jose ; Heckman, James J ; Garcia, Jorge Luis ; Leaf, Duncan Ermini . In: IZA Discussion Papers. RePEc:iza:izadps:dp10456.

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2016The power envelope of panel unit root tests in case stationary alternatives offset explosive ones. (2016). Becheri, Gaia I ; Wichert, Oliver ; van den Akker, Ramon ; Drost, Feike C. In: Statistics & Probability Letters. RePEc:eee:stapro:v:108:y:2016:i:c:p:1-8.

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2016Nonparametric errors in variables models with measurement errors on both sides of the equation. (2016). Lewbel, Arthur ; de Nadai, Michele . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:19-32.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016On the relevance of weaker instruments. (2016). Renault, Eric ; Antoine, Bertille. In: Discussion Papers. RePEc:sfu:sfudps:dp14-04.

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2016Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033.

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2016Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data. (2016). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2016Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68.

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2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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2016The effect of additive outliers on a fractional unit root test. (2016). Hafner, Christian ; Preminger, Arie . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0265-5.

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2016Robust Bayes estimation using the density power divergence. (2016). Basu, Ayanendranath ; Ghosh, Abhik . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:2:d:10.1007_s10463-014-0499-0.

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2016Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14.

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2016Strategic interaction in political competition: Evidence from spatial effects across Chinese cities. (2016). Zhu, Guozhong ; Zhou, Li-An ; Yu, Jihai . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:57:y:2016:i:c:p:23-37.

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2016Horizontal and Vertical Firm Networks, Corporate Performance and Product Market Competition. (2016). Bischoff, Oliver ; Buchwald, Achim . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145730.

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2016Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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2016Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. (2016). Scaillet, Olivier ; Treccani, Adrien ; Bajgrowicz, Pierre . In: Management Science. RePEc:inm:ormnsc:v:62:y:2016:i:8:p:2198-2217.

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2016GMM estimation of the Long Run Risks model. (2016). Tinang, Jules ; Meddahi, Nour . In: 2016 Meeting Papers. RePEc:red:sed016:1107.

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2016Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model. (2016). Liu, Ruixuan ; Chen, Heng ; Fan, Yanqin . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:255-270.

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2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

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2016On the Stock-Yogo Tables. (2016). Windmeijer, Frank ; Skeels, Christopher. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/679.

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2016Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits. (2016). He, Qianchuan ; Holland, Eric ; Chan, Timothy A ; Wang, Sijian ; Kong, Linglong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:95:y:2016:i:c:p:222-239.

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2016Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.

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2016Topic in nonparametric identification and estimation. (2016). Hubner, Stefan. In: Other publications TiSEM. RePEc:tiu:tiutis:08fce56b-3193-46e0-871b-0fa4402832b5.

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2016Econometric estimation with high-dimensional moment equalities. (2016). Shi, Zhentao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:104-119.

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2016Double asymptotics for explosive continuous time models. (2016). Yu, Jun. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:35-53.

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Recent citations (cites in year: CiY)


Recent citations received in 2016

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

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2016Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202.

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2016Dynamic panels with threshold effect and endogeneity. (2016). Seo, Myunghwan ; Shin, Yongcheol . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:169-186.

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2016International stock market cointegration under the risk-neutral measure. (2016). Gagnon, Marie-Helene ; Toupin, Dominique ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016Single index quantile regression for heteroscedastic data. (2016). Christou, Eliana ; Akritas, Michael G. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:150:y:2016:i:c:p:169-182.

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2016Exploiting the monthly data flow in structural forecasting. (2016). Monti, Francesca ; Giannone, Domenico ; Reichlin, Lucrezia . In: Journal of Monetary Economics. RePEc:eee:moneco:v:84:y:2016:i:c:p:201-215.

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2016Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160.

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2016The Value of Knowing the Propensity Score for Estimating Average Treatment Effects. (2016). Rothe, Christoph. In: IZA Discussion Papers. RePEc:iza:izadps:dp9989.

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2016Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14.

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2016Controlling the Size of Autocorrelation Robust Tests. (2016). Pötscher, Benedikt ; Potscher, Benedikt M ; Preinerstorfer, David . In: MPRA Paper. RePEc:pra:mprapa:75657.

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2016Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne . In: Research Memorandum. RePEc:unm:umagsb:2016039.

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Recent citations received in 2015

YearCiting document
2015Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach. (2015). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2015-50.

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2015Misspecification Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0597.

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2015Nonparametric Euler Equation Identification andEstimation. (2015). LINTON, OLIVER ; Lewbel, Arthur ; hoderlein, stefan ; Escanciano, Juan Carlos ; Srisuma, Sorawoot . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1560.

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2015Estimating the common break date in large factor models. (2015). Chen, Liang . In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74.

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2015New tools for understanding the local asymptotic power of panel unit root tests. (2015). Westerlund, Joakim ; Larsson, Rolf . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:59-93.

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2015Carbon dioxide emission standards for U.S. power plants: An efficiency analysis perspective. (2015). Hampf, Benjamin ; Rodseth, Kenneth Lovold . In: Energy Economics. RePEc:eee:eneeco:v:50:y:2015:i:c:p:140-153.

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2015Efficiency of wind power production and its determinants. (2015). Ritter, Matthias ; Odening, Martin ; Pieralli, Simone . In: Energy. RePEc:eee:energy:v:90:y:2015:i:p1:p:429-438.

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2015Glimpses of Henry Schultz in Mussolini’s 1934 Italy. (2015). , . In: HISTORY OF ECONOMIC THOUGHT AND POLICY. RePEc:fan:spespe:v:html10.3280/spe2015-002005.

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2015Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification. (2015). Lee, Ying-Ying . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:2-:d:61252.

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2015Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification. (2015). Lee, Ying-Ying . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:2:d:61252.

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2015Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2015-003.

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2015Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15.

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2015Nonparametric Euler equation identification and estimation. (2015). Srisuma, Sorawoot ; LINTON, OLIVER ; Lewbel, Arthur ; hoderlein, stefan ; Escanciano, Juan Carlos. In: CeMMAP working papers. RePEc:ifs:cemmap:61/15.

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2015Profits encourage investment, investment dampens profits, government spending does not prime the pump — A DAG investigation of business-cycle dynamics. (2015). Tapia, Jose. In: MPRA Paper. RePEc:pra:mprapa:64698.

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2015Profits encourage investment, investment dampens profits, government spending does not prime the pump — A DAG investigation of business-cycle dynamics. (2015). Tapia, Jose. In: MPRA Paper. RePEc:pra:mprapa:64985.

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2015A Note on Consistent Conditional Moment Tests. (2015). Wang, Xuexin. In: MPRA Paper. RePEc:pra:mprapa:69005.

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2015An improved bootstrap test of density ratio ordering. (2015). Beare, Brendan ; Shi, Xiaoxia . In: MPRA Paper. RePEc:pra:mprapa:74772.

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2015Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?. (2015). Hartigan, Luke . In: Discussion Papers. RePEc:swe:wpaper:2015-17.

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Recent citations received in 2014

YearCiting document
2014Indirect inference with time series observed with error. (2014). Rossi, Eduardo. In: CREATES Research Papers. RePEc:aah:create:2014-57.

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2014Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1464.

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

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2014Structural change estimation in time series regressions with endogenous variables. (2014). Su, Liangjun ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:3:p:415-421.

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

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2014Sieve M inference on irregular parameters. (2014). Liao, Zhipeng ; Chen, Xiaohong . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:70-86.

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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; 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). Ng, Serena ; Komunjer, Ivana ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2014-11.

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2014Small Sample Properties of Bayesian Estimators of Labor Income Processes. (2014). Tonetti, Christopher ; 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). Kaido, Hiroaki. In: CeMMAP working papers. RePEc:ifs:cemmap:03/14.

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Recent citations received in 2013

YearCiting document
2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. 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 ; Caner, Mehmet. In: CREATES Research Papers. RePEc:aah:create:2013-51.

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

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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). Zakoian, Jean-Michel ; 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). Phillips, Peter ; 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 ; D'Haultfoeuille, 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 ; Christensen, Bent Jesper. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-519.

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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). Ekner, Line ; Nejstgaard, Emil . In: Discussion Papers. RePEc:kud:kuiedp:1307.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; 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). Portier, Franck ; Beaudry, Paul. In: NBER Working Papers. RePEc:nbr:nberwo:19411.

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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2017. Contact: CitEc Team