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Econometric Theory / Cambridge University Press


0.81

Impact Factor

1

5-Years IF

72

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.080.10.076161150.25599998199135 (%)10.020.04
19910.10.090.0953114270.2486110510236213 (%)30.060.04
19920.050.090.0671185310.177111146253162 (%)10.010.04
19930.070.10.0779264270.1700124928419 (%)30.040.05
19940.110.110.1170334600.18119915016308333 (%)60.090.04
19950.150.190.21004341310.3261514922334665 (%)70.070.07
19960.260.220.28805141940.381015170443731041 (%)40.050.09
19970.270.260.24745882000.34120118049400953 (%)130.180.09
19980.290.270.39406283220.511057154454031564 (%)50.130.1
19990.410.310.5376653800.57986114473641823 (%)170.460.13
20000.790.380.75467115150.72101077613312472 (%)120.260.15
20010.650.390.71437545600.7466583542771971 (%)110.260.14
20020.670.40.85628165860.72134689602402035 (%)260.420.17
20030.790.430.91748907440.841005105832282073 (%)210.280.18
20040.750.470.95639539230.9718581361022622492 (%)150.240.19
20050.680.510.876110149780.961343137932882501 (%)390.640.2
20061.090.490.9957107112181.14550124135303299 (%)230.40.19
20070.760.43153112410960.98393118903173162 (%)190.360.17
20080.810.471.3269119314241.191022110893084082 (%)570.830.19
20090.940.481.4381127415941.259951221153034331 (%)470.580.19
20100.950.461.0167134114451.089311501433213253 (%)250.370.16
20111.060.50.9550139115891.144271481573273111 (%)260.520.19
20121.330.521.353144418281.273981171563204171 (%)200.380.19
20131.10.61.4845148919401.3238103113320472 (%)150.330.21
20141.080.611.3643153218881.23123981062964021 (%)110.260.2
20151.010.641.4451158319931.261298889258372 (%)210.410.2
20160.730.730.9739162219041.17709469242235 (%)130.330.21
20170.810.86148167018141.09359073231231 (%)200.420.25
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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1320
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

1038
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.

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526
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

433
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

417
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

347
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

289
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

280
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

269
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

245
111999UNEQUALLY 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.

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229
121994Asymptotic 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.

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220
132002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong ; Carrasco, Marine. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

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212
141994A 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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210
152009OPENING 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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201
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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189
171996Markov 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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182
182004INSTRUMENTAL 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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174
191986Asymptotic 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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167
201995Inference 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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154
211988Statistical 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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147
221997Econometric 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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146
231997Optimal 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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146
241999ASYMPTOTICS 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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141
252002TESTING 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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140
262002NECESSARY 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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139
272000TESTING 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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138
281992Convergence 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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137
291998A 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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136
301998CONSISTENT 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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136
311995Rethinking 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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136
322005A 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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135
332008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix ; Lieberman, Offer. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

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135
341995Causality 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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130
351991Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00.

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127
361992Estimation 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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126
372005MODEL 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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124
381997Variance 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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124
391989Testing 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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122
401989Statistical 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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119
411989Partially 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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113
421988Maximum 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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113
432009GLS-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.

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108
441990A 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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104
452008UNIFORM 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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104
46103
471999THE 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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103
482002CONSISTENCY 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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102
491994Testing for Second-Order Stochastic Dominance of Two Distributions. (1994). Kaur, Amarjot ; Prakasa Rao, B. L. S., ; Singh, Harshinder . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00.

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101
501995Nonparametric 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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99

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

266
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

262
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

107
42009OPENING 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

53
51991Asymptotically 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

51
61998STRONG 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

51
71993Testing 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

50
81997Estimating 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

49
92009GLS-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

48
102004INSTRUMENTAL 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

46
112012A 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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45
122008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix ; Lieberman, Offer. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

Full description at Econpapers || Download paper

38
132005MODEL 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

37
142005AUTOMATED 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

36
151999UNEQUALLY 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

36
162005A 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

36
172005NONPARAMETRIC 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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35
181990Stationarity 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

32
192001THE 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

31
201992Estimation 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

29
212008ASYMPTOTICS 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.

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29
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

26
231997Variance 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.

Full description at Econpapers || Download paper

26
242010UNIT 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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24
252002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong ; Carrasco, Marine. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

Full description at Econpapers || Download paper

24
261991Asymptotics 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

24
272008A 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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23
282009VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES. (2009). Guggenberger, Patrik ; Andrews, Donald. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:03:p:669-709_09.

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22
292005ESTIMATION 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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302010A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS. (2010). Yu, Jihai ; Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:564-597_10.

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22
312000TESTING 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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322008UNIFORM 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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331994A 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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21
341995Inference 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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352015MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY. (2015). Johansen, Soren ; Hendry, David. In: Econometric Theory. RePEc:cup:etheor:v:31:y:2015:i:01:p:93-114_00.

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362010EXACT 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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372008NONPARAMETRIC 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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18
381998A 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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391994Asymptotic 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.

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18
401995Causality 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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17
412010GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY. (2010). Phillips, Peter ; Han, Chirok ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:119-151_09.

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17
422010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT. (2010). Ng, Serena ; Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:06:p:1577-1606_99.

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17
432004COMBINING 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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16
441994What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective. (1994). Uhlig, Harald. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:3-4:p:645-671_00.

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16
451999THE 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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15
462010TIME-VARYING COINTEGRATION. (2010). Martins, Luis ; Bierens, Herman. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:05:p:1453-1490_99.

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472013A 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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15
482004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS. (2004). Sancetta, Alessio ; Satchell, Stephen . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:535-562_20.

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15
492002TESTING 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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14
502010PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION. (2010). Ng, Serena ; Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:04:p:1088-1114_99.

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14

Citing documents used to compute impact factor 73:


YearTitle
2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2017Estimating smooth structural change in cointegration models. (2017). Phillips, Peter ; GAO, Jiti ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:180-195.

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2017Specification testing for nonlinear multivariate cointegrating regressions. (2017). GAO, Jiti ; Yin, Jiying ; Tjostheim, Dag ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:104-117.

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2017Latent Variable Nonparametric Cointegrating Regression. (2017). Phillips, Peter ; Kasparis, Ioannis ; PEter, ; Wang, Qiying. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3011.

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2017Latent Variable Nonparametric Cointegrating Regression. (2017). Wang, Qiying ; Kasparis, Ioannis ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2111.

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2017A martingale-difference-divergence-based test for specification. (2017). Su, Liangjun ; Zheng, Xin. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:162-167.

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2017A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data. (2017). Sun, Yixiao ; Yang, Jingjing ; Kim, Min Seong . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:298-322.

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2017Asymptotic F and t tests in an efficient GMM setting. (2017). Sun, Yixiao ; Hwang, Jungbin. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:277-295.

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2017Inference with Correlated Clusters. (2017). Powell, David. In: Working Papers. RePEc:ran:wpaper:wr-1137-1.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2017Identification and estimation of non-Gaussian structural vector autoregressions. (2017). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:288-304.

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2017Non-identifiability of VMA and VARMA systems in the mixed frequency case. (2017). Koelbl, Lukas ; Brian, ; Deistler, Manfred. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:31-38.

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2017The Asymptotic Validity of Standard Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions. (2017). Wagner, Martin ; Kawka, Rafael ; Grabarczyk, Peter ; Stypka, Oliver. In: Economics Series. RePEc:ihs:ihsesp:333.

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2017Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals. (2017). Sandberg, Rickard . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1000-1009.

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2017Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537.

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2017On Maximum Likelihood Estimation of Dynamic Panel Data Models. (2017). Juodis, Artūras ; Carree, Martin A. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:463-494.

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2017Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing. (2017). Pötscher, Benedikt ; Preinerstorfer, David ; Potscher, Benedikt M. In: MPRA Paper. RePEc:pra:mprapa:81053.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Discussion Papers. RePEc:kud:kuiedp:1723.

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2017Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Working Papers. RePEc:qed:wpaper:1394.

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2017Lasso Regressions and Forecasting Models in Applied Stress Testing. (2017). Chan-Lau, Jorge A. In: IMF Working Papers. RePEc:imf:imfwpa:17/108.

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2017Identification with Latent Choice Sets: The Case of the Head Start Impact Study. (2017). Kamat, Vishal. In: Papers. RePEc:arx:papers:1711.02048.

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2017Conditional moment models with data missing at random. (2017). Hristache, M ; Patilea, V. In: Biometrika. RePEc:oup:biomet:v:104:y:2017:i:3:p:735-742..

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2017A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance. (2017). LINTON, OLIVER ; Koerber, Lena ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0640.

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2017A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance. (2017). LINTON, OLIVER ; Koerber, Lena ; Boneva, L. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1703.

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2017A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance. (2017). LINTON, OLIVER ; Koerber, Lena ; Boneva, Lena. In: CeMMAP working papers. RePEc:ifs:cemmap:02/17.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2017Inference based on many conditional moment inequalities. (2017). , Donald ; Shi, Xiaoxia. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:275-287.

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2017Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes. (2017). Sant'Anna, Pedro. In: Papers. RePEc:arx:papers:1612.02090.

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2017Inference in Nonparametric Series Estimation with Data-Dependent Undersmoothing. (2017). Kang, Byunghoon. In: Working Papers. RePEc:lan:wpaper:170712442.

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2017General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10.

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2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

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2017Inference for Impulse Responses under Model Uncertainty. (2017). Smeekes, Stephan ; Lieb, Lenard. In: Research Memorandum. RePEc:unm:umagsb:2017022.

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2017Generalized Cauchy model of sea level fluctuations with long-range dependence. (2017). Li, Ming. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:309-335.

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2017Exploring factors affecting the level of happiness across countries: A conditional robust nonparametric frontier analysis. (2017). Cordero, Jose Manuel ; Salinas-Jimenez, Mar M. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:2:p:663-672.

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2017Identification, Instruments, Omitted Variables, and Rudimentary Models: Fallacies in the ‘Experimental Approach’ to Econometrics. (2017). Biorn, Erik. In: Memorandum. RePEc:hhs:osloec:2017_013.

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2017Estimation for the Prediction of Point Processes with Many Covariates. (2017). Sancetta, Alessio . In: Papers. RePEc:arx:papers:1702.05315.

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2017Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory. (2017). Dufour, Jean-Marie ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2017-01.

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2017Asymptotics for recurrent diffusions with application to high frequency regression. (2017). Kim, Jihyun ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:37-54.

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2017Robust inference in conditionally heteroskedastic autoregressions. (2017). Pedersen, Rasmus Sondergaard . In: MPRA Paper. RePEc:pra:mprapa:81979.

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2017How Biased Are U.S. Government Forecasts of the Federal Debt?. (2017). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2017-001.

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2017Economic forecasting in theory and practice: An interview with David F. Hendry. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:523-542.

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2017How biased are U.S. government forecasts of the federal debt?. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:543-559.

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2017The future of macroeconomics: Macro theory and models at the Bank of England. (2017). muellbauer, john ; Hendry, David . In: Economics Series Working Papers. RePEc:oxf:wpaper:832.

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2017Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547.

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2017How Biased Are U.S. Government Forecasts of the Federal Debt?. (2017). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1189.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Identification and estimation of a large factor model with structural instability. (2017). Baltagi, Badi ; Wang, FA ; Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:87-100.

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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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2017Tests of equal accuracy for nested models with estimated factors. (2017). McCracken, Michael ; Goncalves, Silvia ; Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:231-252.

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2017Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals. (2017). Duangnate, Kannika ; Mjelde, James W. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:411-423.

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2017On testing for structural break of coefficients in factor-augmented regression models. (2017). Chen, Sanpan ; Zhang, Jianhua ; Cui, Guowei. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:141-145.

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2017A CVAR scenario for a standard monetary model using theory-consistent expectations. (2017). juselius, katarina. In: Discussion Papers. RePEc:kud:kuiedp:1708.

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2017Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032.

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2017Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Discussion Papers. RePEc:kud:kuiedp:1707.

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2017Discovering pervasive and non-pervasive common cycles. (2017). Terrades, Antoni Espasa ; Real, Guillermo Carlomagno. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25392.

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). García Enríquez, Javier ; Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2017A strategy for optimal bandwidth selection in Local Whittle estimation. (2017). Arteche, Josu ; Orbe, Jesus. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:3-17.

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2017GMM gradient tests for spatial dynamic panel data models. (2017). Tapinar, Suleyman ; Bera, Anil K ; Doan, Osman . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:65:y:2017:i:c:p:65-88.

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2017Quantifying the Life-Cycle Benefits of a Prototypical Early Childhood Program. (2017). Prados, María José ; Heckman, James ; Leaf, Duncan Ermini ; Garcia, Jorge Luis . In: IZA Discussion Papers. RePEc:iza:izadps:dp10811.

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2017Quantifying the Life-cycle Benefits of a Prototypical Early Childhood Program. (2017). Prados, María José ; Heckman, James ; Garcia, Jorge Luis ; Leaf, Duncan Ermini . In: NBER Working Papers. RePEc:nbr:nberwo:23479.

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2017The Non-Market Benefits of Education and Ability. (2017). Veramendi, Gregory ; Humphries, John ; Heckman, James. In: IZA Discussion Papers. RePEc:iza:izadps:dp11047.

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2017The Non-Market Benefits of Education and Ability. (2017). Veramendi, Gregory ; Humphries, John ; Heckman, James. In: NBER Working Papers. RePEc:nbr:nberwo:23896.

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2017The Non-Market Benefits of Education and Ability. (2017). Veramendi, Gregory ; Humphries, John ; Heckman, James. In: Working Papers. RePEc:hka:wpaper:2017-072.

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2017The Relationship between Waste Management Expenditure and Waste Reduction Targets on Selected JSE Companies. (2017). Maleka, Thabo Gerald ; Fakoya, Michael Bamidele ; Nyirenda, Gibson . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:9:p:1528-:d:110025.

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2017Inference on Estimators defined by Mathematical Programming. (2017). Shum, Matthew ; Shi, Xiaoxia ; Hsieh, Yu-Wei. In: Papers. RePEc:arx:papers:1709.09115.

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2017Could Vertical Integration Increase Innovation?. (2017). Yang, Chenyu . In: 2017 Meeting Papers. RePEc:red:sed017:908.

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2017Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Zbonakova, Lenka ; Li, Xinjue. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-023.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Matrix Completion Methods for Causal Panel Data Models. (2017). Athey, Susan ; Khosravi, Khashayar ; Imbens, Guido ; Doudchenko, Nikolay ; Bayati, Mohsen . In: Papers. RePEc:arx:papers:1710.10251.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2017THE EFFECT OF MINIMUM WAGES ON EMPLOYMENT: A FACTOR MODEL APPROACH. (2017). Totty, Evan. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:1712-1737.

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2017Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models. (2017). Hacioglu Hoke, Sinem ; Kapetanios, George. In: Bank of England working papers. RePEc:boe:boeewp:0683.

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2017Structural breaks in panel data: Large number of panels and short length time series. (2017). Horvath, Lajos ; Hanousek, Jan ; Huskova, Marie ; Antoch, Jaromir ; Wang, Shixuan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11891.

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2017Some copula inference procedures adapted to the presence of ties. (2017). Kojadinovic, Ivan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:24-41.

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2017On bootstrap validity for specification testing with many weak instruments. (2017). Kaffo, Maximilien ; Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:107-111.

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2017Spatial dynamic panel data models with interactive fixed effects. (2017). Shi, Wei ; Lee, Lung-Fei. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:323-347.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Structural inference from reduced forms with many instruments. (2017). Phillips, Peter ; Gao, Wayne ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:96-116.

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2017Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Tauchen, George ; Todorov, Viktor ; Li, Jia. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

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2017The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics. (2017). Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:154-168.

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2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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2017Smoothing quantile regressions. (2017). Fernandes, Marcelo ; Horta, Eduardo ; Guerre, Emmanuel . In: Textos para discussão. RePEc:fgv:eesptd:457.

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2017Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-3.

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2017Evaluating local average and quantile treatment effects under endogeneity based on instruments: a review. (2017). Wüthrich, Kaspar ; Huber, Martin ; Wuthrich, Kaspar. In: FSES Working Papers. RePEc:fri:fribow:fribow00479.

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2017Binarization for panel models with fixed effects. (2017). Botosaru, Irene ; Muris, Chris. In: CeMMAP working papers. RePEc:ifs:cemmap:31/17.

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2017Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (2017). Liu, Zhi. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0325-7.

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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). Phillips, Peter ; 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). shin, yongcheol ; Seo, Myunghwan . 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). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique . 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). Reichlin, Lucrezia ; Monti, Francesca ; Giannone, Domenico. 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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2016A pairwise likelihood-based approach for changepoint detection in multivariate time series models. (2016). Ma, Ting Fung ; Yau, Chun Yip. In: Biometrika. RePEc:oup:biomet:v:103:y:2016:i:2:p:409-421..

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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). , Joakimwesterlund ; Larsson, Rolf ; Westerlund, Joakim. 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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2015Refinements in maximum likelihood inference on spatial autocorrelation in panel data. (2015). Rossi, Francesca ; Robinson, Peter . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61432.

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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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2015Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1152.

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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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2015Statistical model selection with “Big Data”. (2015). Doornik, Jurgen ; Cook, Steve ; Hendry, David F. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:3:y:2015:i:1:p:1045216.

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Recent citations received in 2014

YearCiting document
2014Indirect inference with time series observed with error. (2014). Santucci de Magistris, Paolo ; 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 ; Bibinger, Markus ; Reiss, Markus . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1464.

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2014Weak Convergence to Stochastic Integrals for Econometric Applications. (2014). Wang, Qiying ; Phillips, Peter ; 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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