0.7
Impact Factor
0.79
5-Years IF
14
5-Years H index
Econometrics Journal / Royal Economic Society
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [
trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
Main indicators
Raw data
| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1991 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.12 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.26 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.28 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.32 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.39 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2001 | 0.39 | 0 | 1 | 0 | 0 | (%) | 0.14 | |||||||||
| 2002 | 0.4 | 0 | 2 | 0 | 0 | (%) | 0.17 | |||||||||
| 2003 | 0.43 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2004 | 0.48 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2005 | 0.52 | 0 | 0 | 0 | (%) | 0.2 | ||||||||||
| 2006 | 0.51 | 0 | 0 | 0 | (%) | 0.2 | ||||||||||
| 2007 | 0.45 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2008 | 0.48 | 0 | 1 | 0 | 0 | (%) | 0.2 | |||||||||
| 2009 | 0.49 | 0 | 8 | 0 | 0 | (%) | 0.19 | |||||||||
| 2010 | 0.46 | 0 | 4 | 0 | 0 | (%) | 0.17 | |||||||||
| 2011 | 0.49 | 10 | 10 | 6 | 0.6 | 215 | 0 | 0 | (%) | 1 | 0.1 | 0.19 | ||||
| 2012 |  0.8 | 0.52 | 0.8 | 26 | 36 | 13 | 0.36 | 134 | 10 | 8 | 10 | 8 | (%) | 5 | 0.19 | 0.19 |
| 2013 | 0.64 | 0.58 | 0.64 | 25 | 61 | 43 | 0.7 | 191 | 36 | 23 | 36 | 23 | (%) | 17 | 0.68 | 0.2 |
| 2014 | 1.25 | 0.6 | 1.3 | 22 | 83 | 90 | 1.08 | 87 | 51 | 64 | 61 | 79 | 1 (1.1%) | 5 | 0.23 | 0.2 |
| 2015 | 1.74 | 0.61 | 1.89 | 19 | 102 | 168 | 1.65 | 50 | 47 | 82 | 83 | 157 | (%) | 6 | 0.32 | 0.19 |
| 2016 | 0.83 | 0.68 | 1.34 | 18 | 120 | 139 | 1.16 | 28 | 41 | 34 | 102 | 137 | (%) | 1 | 0.06 | 0.2 |
| 2017 |  0.7 | 0.73 | 0.79 | 21 | 141 | 132 | 0.94 | 12 | 37 | 26 | 110 | 87 | (%) | 1 | 0.05 | 0.22 |
| 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:
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2011 | Weak and strong crossâsection dependence and estimation of large panels. (2011). Pesaran, M ; Chudik, Alexander ; Tosetti, Elisa . In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:c45-c90. Full description at Econpapers || Download paper | 108 |
| 2 | 2011 | Shortâterm forecasts of euro area GDP growth. (2011). Rünstler, Gerhard ; Reichlin, Lucrezia ; Giannone, Domenico ; Camba-Mendez, Gonzalo ; Angelini, Elena ; CambaMendez, Gonzalo ; Runstler, Gerhard. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:c25-c44. Full description at Econpapers || Download paper | 45 |
| 3 | 2013 | Identification of treatment response with social interactions. (2013). Manski, Charles. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:s1-s23. Full description at Econpapers || Download paper | 32 |
| 4 | 2011 | The Hausman test in a Cliff and Ord panel model. (2011). Pfaffermayr, Michael ; Mutl, Jan. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:48-76. Full description at Econpapers || Download paper | 23 |
| 5 | 2013 | Standardized LM tests for spatial error dependence in linear or panel regressions. (2013). Yang, Zhenlin ; Baltagi, Badi. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:103-134. Full description at Econpapers || Download paper | 22 |
| 6 | Instrumental regression in partially linear models. (2012). Van Bellegem, Sebastien ; Johannes, Jan ; VanBellegem, Sebastien ; Florens, JeanPierre . In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:2:p:304-324. Full description at Econpapers || Download paper | 21 | |
| 7 | 2013 | Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. (2013). Kiviet, Jan. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:s24-s59. Full description at Econpapers || Download paper | 20 |
| 8 | 2014 | Multivariate variance targeting in the BEKKâGARCH model. (2014). Rahbek, Anders ; Pedersen, Rasmus. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:24-55. Full description at Econpapers || Download paper | 20 |
| 9 | 2013 | Heteroscedasticityârobust C(p) model averaging. (2013). Okui, Ryo ; LIU, QINGFENG. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:463-472. Full description at Econpapers || Download paper | 18 |
| 10 | 2013 | A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator. (2013). Sun, Yixiao. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:1-26. Full description at Econpapers || Download paper | 18 |
| 11 | 2012 | Estimation of dynamic latent variable models using simulated nonâparametric moments. (2012). Kristensen, Dennis ; Creel, Michael. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:3:p:490-515. Full description at Econpapers || Download paper | 15 |
| 12 | 2013 | A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices. (2013). Qu, Zhongjun ; Perron, Pierre. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:309-339. Full description at Econpapers || Download paper | 15 |
| 13 | 2012 | Testing for rational bubbles in a coexplosive vector autoregression. (2012). Nielsen, Bent ; Engsted, Tom. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:2:p:226-254. Full description at Econpapers || Download paper | 15 |
| 14 | 2012 | Statistical inference in the presence of heavy tails. (2012). Davidson, Russell. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:c31-c53. Full description at Econpapers || Download paper | 15 |
| 15 | 2012 | Incorporating covariates in the measurement of welfare and inequality: methods and applications. (2012). Hsu, Yu-Chin ; Donald, Stephen ; Barrett, Garry. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:c1-c30. Full description at Econpapers || Download paper | 13 |
| 16 | 2011 | Fully modified narrowâband least squares estimation of weak fractional cointegration. (2011). Nielsen, Morten ; Frederiksen, Per . In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:77-120. Full description at Econpapers || Download paper | 13 |
| 17 | 2011 | Quantile regression models with factorâaugmented predictors and information criterion. (2011). Ando, Tomohiro ; Tsay, Ruey S.. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:1-24. Full description at Econpapers || Download paper | 12 |
| 18 | 2012 | Unit root tests for panel data with AR(1) errors and small T. (2012). Dhaene, Geert ; De Blander, Rembert ; Deblander, Rembert . In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:101-124. Full description at Econpapers || Download paper | 12 |
| 19 | 2013 | Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors. (2013). Carrion-i-Silvestre, Josep ; Bai, Jushan ; CarrioniSilvestre, Josep Lluis . In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:2:p:222-249. Full description at Econpapers || Download paper | 12 |
| 20 | 2013 | Orthogonal to backward mean transformation for dynamic panel data models. (2013). Everaert, Gerdie. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:2:p:179-221. Full description at Econpapers || Download paper | 12 |
| 21 | 2015 | Likelihoodâbased dynamic factor analysis for measurement and forecasting. (2015). Koopman, Siem Jan ; Jungbacker, Borus . In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:c1-c21. Full description at Econpapers || Download paper | 11 |
| 22 | 2013 | Estimation of spatial autoregressive models with randomly missing data in the dependent variable. (2013). Lee, Lung-Fei ; Wang, Wei. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:73-102. Full description at Econpapers || Download paper | 11 |
| 23 | 2011 | A hierarchical factor analysis of U.S. housing market dynamics. (2011). Ng, Serena ; Moench, Emanuel. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:c1-c24. Full description at Econpapers || Download paper | 10 |
| 24 | 2012 | Nonâparametric detection and estimation of structural change. (2012). Kristensen, Dennis. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:3:p:420-461. Full description at Econpapers || Download paper | 10 |
| 25 | 2014 | Weighted composite quantile regression estimation of DTARCH models. (2014). Jiang, Jiancheng ; Song, Xinyuan. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:1-23. Full description at Econpapers || Download paper | 10 |
| 26 | 2014 | Improved Lagrange multiplier tests in spatial autoregressions. (2014). Rossi, Francesca ; Robinson, Peter M.. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:139-164. Full description at Econpapers || Download paper | 9 |
| 27 | 2015 | Economic theory and forecasting: lessons from the literature. (2015). Giacomini, Raffaella. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:c22-c41. Full description at Econpapers || Download paper | 8 |
| 28 | 2014 | Identificationârobust inference for endogeneity parameters in linear structural models. (2014). Dufour, Jean-Marie ; Doko Tchatoka, Firmin. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:165-187. Full description at Econpapers || Download paper | 8 |
| 29 | 2012 | Misspecification tests based on quantile residuals. (2012). Kalliovirta, Leena. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:2:p:358-393. Full description at Econpapers || Download paper | 8 |
| 30 | 2014 | Testing for the stochastic dominance efficiency of a given portfolio. (2014). Whang, Yoon-Jae ; LINTON, OLIVER ; Post, Thierry. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:2:p:s59-s74. Full description at Econpapers || Download paper | 8 |
| 31 | 2014 | Common breaks in time trends for large panel data with a factor structure. (2014). Kim, Dukpa. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:3:p:301-337. Full description at Econpapers || Download paper | 8 |
| 32 | 2011 | Testing for sphericity in a fixed effects panel data model. (2011). Kao, Chihwa ; Feng, Qu ; Baltagi, Badi. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:25-47. Full description at Econpapers || Download paper | 8 |
| 33 | 2018 | Double/debiased machine learning for treatment and structural parameters. (2018). Chernozhukov, Victor ; Chetverikov, Denis ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert. In: Econometrics Journal. RePEc:wly:emjrnl:v:21:y:2018:i:1:p:c1-c68. Full description at Econpapers || Download paper | 7 |
| 34 | 2013 | Local NLLS estimation of semiâparametric binary choice models. (2013). Khan, Shakeeb ; Blevins, Jason. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:2:p:135-160. Full description at Econpapers || Download paper | 7 |
| 35 | 2013 | Estimating and testing multiple structural changes in linear models using band spectral regressions. (2013). Yamamoto, Yohei ; Perron, Pierre. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:400-429. Full description at Econpapers || Download paper | 7 |
| 36 | 2016 | Nonlinear panel data estimation via quantile regressions. (2016). Arellano, Manuel ; Bonhomme, Stephane. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:3:p:c61-c94. Full description at Econpapers || Download paper | 7 |
| 37 | 2013 | Instrumental variables estimation and inference in the presence of many exogenous regressors. (2013). Anatolyev, Stanislav. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:27-72. Full description at Econpapers || Download paper | 6 |
| 38 | 2012 | Testing for common trends in semiâparametric panel data models with fixed effects. (2012). Su, Liangjun ; Phillips, Peter ; Zhang, Yonghui ; Peter C. B. Phillips, . In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:56-100. Full description at Econpapers || Download paper | 6 |
| 39 | 2014 | A social interaction model with an extreme order statistic. (2014). Lee, Lung-Fei ; Tao, Ji. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:3:p:197-240. Full description at Econpapers || Download paper | 6 |
| 40 | 2012 | Breakdown point theory for implied probability bootstrap. (2012). Otsu, Taisuke ; Camponovo, Lorenzo. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:32-55. Full description at Econpapers || Download paper | 6 |
| 41 | 2016 | Generalized dynamic factor models and volatilities: recovering the market volatility shocks. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c33-c60. Full description at Econpapers || Download paper | 6 |
| 42 | 2013 | Estimation and inference for impulse response functions from univariate strongly persistent processes. (2013). Kapetanios, George ; Baillie, Richard T.. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:373-399. Full description at Econpapers || Download paper | 6 |
| 43 | 2015 | Identification and estimation of singleâindex models with measurement error and endogeneity. (2015). Hu, Yingyao ; Woutersen, Tiemen ; Shiu, Jiliang . In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:3:p:347-362. Full description at Econpapers || Download paper | 6 |
| 44 | 2015 | On bootstrap validity for specification tests with weak instruments. (2015). Doko Tchatoka, Firmin. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:1:p:137-146. Full description at Econpapers || Download paper | 6 |
| 45 | 2012 | On the problem of inference for inequality measures for heavyâtailed distributions. (2012). Schluter, Christian. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:125-153. Full description at Econpapers || Download paper | 5 |
| 46 | 2013 | Predictability of shapes of intraday price curves. (2013). Reimherr, Matthew ; Kokoszka, Piotr. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:285-308. Full description at Econpapers || Download paper | 5 |
| 47 | 2016 | An overview of the estimation of large covariance and precision matrices. (2016). Liao, Yuan ; Fan, Jianqing ; Liu, Han. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c1-c32. Full description at Econpapers || Download paper | 5 |
| 48 | 2013 | The projection approach for unbalanced panel data. (2013). Abrevaya, Jason. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:2:p:161-178. Full description at Econpapers || Download paper | 4 |
| 49 | 2015 | Maximization by parts in extremum estimation. (2015). Renault, Eric ; Fan, Yanqin ; Pastorello, Sergio. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:147-171. Full description at Econpapers || Download paper | 4 |
| 50 | 2015 | Confidence sets for the break date based on optimal tests. (2015). Yamamoto, Yohei ; Kurozumi, Eiji. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:3:p:412-435. Full description at Econpapers || Download paper | 4 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2011 | Weak and strong crossâsection dependence and estimation of large panels. (2011). Pesaran, M ; Chudik, Alexander ; Tosetti, Elisa . In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:c45-c90. Full description at Econpapers || Download paper | 68 |
| 2 | 2011 | Shortâterm forecasts of euro area GDP growth. (2011). Rünstler, Gerhard ; Reichlin, Lucrezia ; Giannone, Domenico ; Camba-Mendez, Gonzalo ; Angelini, Elena ; CambaMendez, Gonzalo ; Runstler, Gerhard. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:c25-c44. Full description at Econpapers || Download paper | 27 |
| 3 | 2014 | Multivariate variance targeting in the BEKKâGARCH model. (2014). Rahbek, Anders ; Pedersen, Rasmus. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:24-55. Full description at Econpapers || Download paper | 14 |
| 4 | 2013 | Heteroscedasticityârobust C(p) model averaging. (2013). Okui, Ryo ; LIU, QINGFENG. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:463-472. Full description at Econpapers || Download paper | 13 |
| 5 | 2013 | Identification of treatment response with social interactions. (2013). Manski, Charles. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:s1-s23. Full description at Econpapers || Download paper | 10 |
| 6 | 2015 | Likelihoodâbased dynamic factor analysis for measurement and forecasting. (2015). Koopman, Siem Jan ; Jungbacker, Borus . In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:c1-c21. Full description at Econpapers || Download paper | 10 |
| 7 | 2011 | The Hausman test in a Cliff and Ord panel model. (2011). Pfaffermayr, Michael ; Mutl, Jan. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:48-76. Full description at Econpapers || Download paper | 10 |
| 8 | 2014 | Weighted composite quantile regression estimation of DTARCH models. (2014). Jiang, Jiancheng ; Song, Xinyuan. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:1-23. Full description at Econpapers || Download paper | 8 |
| 9 | 2013 | A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator. (2013). Sun, Yixiao. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:1-26. Full description at Econpapers || Download paper | 8 |
| 10 | 2012 | Incorporating covariates in the measurement of welfare and inequality: methods and applications. (2012). Hsu, Yu-Chin ; Donald, Stephen ; Barrett, Garry. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:c1-c30. Full description at Econpapers || Download paper | 8 |
| 11 | 2013 | A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices. (2013). Qu, Zhongjun ; Perron, Pierre. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:309-339. Full description at Econpapers || Download paper | 8 |
| 12 | 2015 | Economic theory and forecasting: lessons from the literature. (2015). Giacomini, Raffaella. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:c22-c41. Full description at Econpapers || Download paper | 8 |
| 13 | 2013 | Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. (2013). Kiviet, Jan. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:s24-s59. Full description at Econpapers || Download paper | 7 |
| 14 | 2011 | A hierarchical factor analysis of U.S. housing market dynamics. (2011). Ng, Serena ; Moench, Emanuel. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:c1-c24. Full description at Econpapers || Download paper | 7 |
| 15 | 2012 | Nonâparametric detection and estimation of structural change. (2012). Kristensen, Dennis. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:3:p:420-461. Full description at Econpapers || Download paper | 7 |
| 16 | 2018 | Double/debiased machine learning for treatment and structural parameters. (2018). Chernozhukov, Victor ; Chetverikov, Denis ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert. In: Econometrics Journal. RePEc:wly:emjrnl:v:21:y:2018:i:1:p:c1-c68. Full description at Econpapers || Download paper | 7 |
| 17 | 2011 | Quantile regression models with factorâaugmented predictors and information criterion. (2011). Ando, Tomohiro ; Tsay, Ruey S.. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:1-24. Full description at Econpapers || Download paper | 7 |
| 18 | 2016 | Nonlinear panel data estimation via quantile regressions. (2016). Arellano, Manuel ; Bonhomme, Stephane. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:3:p:c61-c94. Full description at Econpapers || Download paper | 7 |
| 19 | 2016 | Generalized dynamic factor models and volatilities: recovering the market volatility shocks. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c33-c60. Full description at Econpapers || Download paper | 6 |
| 20 | 2012 | Testing for common trends in semiâparametric panel data models with fixed effects. (2012). Su, Liangjun ; Phillips, Peter ; Zhang, Yonghui ; Peter C. B. Phillips, . In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:56-100. Full description at Econpapers || Download paper | 6 |
| 21 | 2014 | Common breaks in time trends for large panel data with a factor structure. (2014). Kim, Dukpa. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:3:p:301-337. Full description at Econpapers || Download paper | 6 |
| 22 | 2011 | Testing for sphericity in a fixed effects panel data model. (2011). Kao, Chihwa ; Feng, Qu ; Baltagi, Badi. In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:25-47. Full description at Econpapers || Download paper | 5 |
| 23 | 2016 | An overview of the estimation of large covariance and precision matrices. (2016). Liao, Yuan ; Fan, Jianqing ; Liu, Han. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:1:p:c1-c32. Full description at Econpapers || Download paper | 5 |
| 24 | 2013 | Standardized LM tests for spatial error dependence in linear or panel regressions. (2013). Yang, Zhenlin ; Baltagi, Badi. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:1:p:103-134. Full description at Econpapers || Download paper | 5 |
| 25 | 2015 | On bootstrap validity for specification tests with weak instruments. (2015). Doko Tchatoka, Firmin. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:1:p:137-146. Full description at Econpapers || Download paper | 5 |
| 26 | 2011 | Fully modified narrowâband least squares estimation of weak fractional cointegration. (2011). Nielsen, Morten ; Frederiksen, Per . In: Econometrics Journal. RePEc:wly:emjrnl:v:14:y:2011:i::p:77-120. Full description at Econpapers || Download paper | 5 |
| 27 | 2013 | Estimating and testing multiple structural changes in linear models using band spectral regressions. (2013). Yamamoto, Yohei ; Perron, Pierre. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:400-429. Full description at Econpapers || Download paper | 5 |
| 28 | 2012 | Testing for rational bubbles in a coexplosive vector autoregression. (2012). Nielsen, Bent ; Engsted, Tom. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:2:p:226-254. Full description at Econpapers || Download paper | 5 |
| 29 | 2013 | Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors. (2013). Carrion-i-Silvestre, Josep ; Bai, Jushan ; CarrioniSilvestre, Josep Lluis . In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:2:p:222-249. Full description at Econpapers || Download paper | 5 |
| 30 | 2014 | Identificationârobust inference for endogeneity parameters in linear structural models. (2014). Dufour, Jean-Marie ; Doko Tchatoka, Firmin. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:165-187. Full description at Econpapers || Download paper | 5 |
| 31 | 2014 | Testing for the stochastic dominance efficiency of a given portfolio. (2014). Whang, Yoon-Jae ; LINTON, OLIVER ; Post, Thierry. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:2:p:s59-s74. Full description at Econpapers || Download paper | 4 |
| 32 | 2012 | Statistical inference in the presence of heavy tails. (2012). Davidson, Russell. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:1:p:c31-c53. Full description at Econpapers || Download paper | 4 |
| 33 | 2012 | Instrumental regression in partially linear models. (2012). Van Bellegem, Sebastien ; Johannes, Jan ; VanBellegem, Sebastien ; Florens, JeanPierre . In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:2:p:304-324. Full description at Econpapers || Download paper | 4 |
| 34 | 2013 | Local NLLS estimation of semiâparametric binary choice models. (2013). Khan, Shakeeb ; Blevins, Jason. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:2:p:135-160. Full description at Econpapers || Download paper | 4 |
| 35 | 2015 | Maximization by parts in extremum estimation. (2015). Renault, Eric ; Fan, Yanqin ; Pastorello, Sergio. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:147-171. Full description at Econpapers || Download paper | 4 |
| 36 | 2015 | Identification and estimation of singleâindex models with measurement error and endogeneity. (2015). Hu, Yingyao ; Woutersen, Tiemen ; Shiu, Jiliang . In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:3:p:347-362. Full description at Econpapers || Download paper | 4 |
| 37 | 2014 | Improved Lagrange multiplier tests in spatial autoregressions. (2014). Rossi, Francesca ; Robinson, Peter M.. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:1:p:139-164. Full description at Econpapers || Download paper | 4 |
| 38 | 2015 | A class of indirect inference estimators: higherâorder asymptotics and approximate bias correction. (2015). Demos, Antonis ; Arvanitis, Stelios. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:2:p:200-241. Full description at Econpapers || Download paper | 3 |
| 39 | 2012 | Estimation of dynamic latent variable models using simulated nonâparametric moments. (2012). Kristensen, Dennis ; Creel, Michael. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:3:p:490-515. Full description at Econpapers || Download paper | 3 |
| 40 | 2015 | Confidence sets for the break date based on optimal tests. (2015). Yamamoto, Yohei ; Kurozumi, Eiji. In: Econometrics Journal. RePEc:wly:emjrnl:v:18:y:2015:i:3:p:412-435. Full description at Econpapers || Download paper | 3 |
| 41 | 2014 | Generalized dynamic semiâparametric factor models for highâdimensional nonâstationary time series. (2014). Song, Song ; Härdle, Wolfgang ; Ritov, Ya'acov ; Hardle, Wolfgang K.. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:2:p:s101-s131. Full description at Econpapers || Download paper | 3 |
| 42 | 2016 | Validity of Edgeworth expansions for realized volatility estimators. (2016). Veliyev, Bezirgen ; Hounyo, Ulrich. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:1:p:1-32. Full description at Econpapers || Download paper | 3 |
| 43 | 2017 | A survey of some recent applications of optimal transport methods to econometrics. (2017). Galichon, Alfred. In: Econometrics Journal. RePEc:wly:emjrnl:v:20:y:2017:i:2:p:c1-c11. Full description at Econpapers || Download paper | 2 |
| 44 | 2016 | Instrumental variable estimation of a spatial dynamic panel model with endogenous spatial weights when T is small. (2016). Qu, XI ; Lee, Lung Fei ; Wang, Xiaoliang. In: Econometrics Journal. RePEc:wly:emjrnl:v:19:y:2016:i:3:p:261-290. Full description at Econpapers || Download paper | 2 |
| 45 | 2012 | Estimating and testing nonâaffine option pricing models with a large unbalanced panel of options. (2012). Ferriani, Fabrizio ; Pastorello, Sergio. In: Econometrics Journal. RePEc:wly:emjrnl:v:15:y:2012:i:2:p:171-203. Full description at Econpapers || Download paper | 2 |
| 46 | 2013 | Estimation and inference for impulse response functions from univariate strongly persistent processes. (2013). Kapetanios, George ; Baillie, Richard T.. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:373-399. Full description at Econpapers || Download paper | 2 |
| 47 | 2017 | Indirect inference in spatial autoregression. (2017). Phillips, Peter ; Rossi, Francesca ; PEter, ; Kyriacou, Maria. In: Econometrics Journal. RePEc:wly:emjrnl:v:20:y:2017:i:2:p:168-189. Full description at Econpapers || Download paper | 2 |
| 48 | 2013 | Predictability of shapes of intraday price curves. (2013). Reimherr, Matthew ; Kokoszka, Piotr. In: Econometrics Journal. RePEc:wly:emjrnl:v:16:y:2013:i:3:p:285-308. Full description at Econpapers || Download paper | 2 |
| 49 | 2014 | Confidence sets based on inverting AndersonâRubin tests. (2014). MacKinnon, James ; Davidson, Russell. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:2:p:s39-s58. Full description at Econpapers || Download paper | 2 |
| 50 | 2014 | A social interaction model with an extreme order statistic. (2014). Lee, Lung-Fei ; Tao, Ji. In: Econometrics Journal. RePEc:wly:emjrnl:v:17:y:2014:i:3:p:197-240. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 26:
| Year | Title | |
|---|---|---|
| 2017 | Bootstrapping integrated covariance matrix estimators in noisy jumpâdiffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152. Full description at Econpapers || Download paper | |
| 2017 | Edgeworth expansion for the pre-averaging estimator. (2017). Veliyev, Bezirgen ; Yoshida, Nakahiro ; Podolskij, Mark. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3558-3595. Full description at Econpapers || Download paper | |
| 2017 | Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test. (2017). Reitz, Stefan ; Leppin, Julian ; Demetrescu, Matei. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2094. Full description at Econpapers || Download paper | |
| 2017 | Estimation of Graphical Models using the $L_{1,2}$ Norm. (2017). Chiong, Khai X ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1709.10038. Full description at Econpapers || Download paper | |
| 2017 | Sparse covariance matrix estimation in high-dimensional deconvolution. (2017). Belomestny, Denis ; Tsybakov, Alexandre ; Trabs, Mathias . In: Working Papers. RePEc:crs:wpaper:2017-25. Full description at Econpapers || Download paper | |
| 2017 | Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299. Full description at Econpapers || Download paper | |
| 2017 | Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321. Full description at Econpapers || Download paper | |
| 2017 | A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605. Full description at Econpapers || Download paper | |
| 2017 | Proyección de mortalidad en España mediante mixturas de modelos y análisis del impacto económico del riesgo de longevidad /Mortality Projection in Spain through Mixtures of Models and Analysis of . (2017). Benchimol, Andres . In: Estudios de EconomÃa Aplicada. RePEc:lrk:eeaart:35_2_7. Full description at Econpapers || Download paper | |
| 2017 | Exchange rate forecasting with DSGE models. (2017). Rubaszek, MichaÅ ; Kolasa, Marcin ; Ca' Zorzi, Michele. In: NBP Working Papers. RePEc:nbp:nbpmis:260. Full description at Econpapers || Download paper | |
| 2017 | Exchange rate forecasting with DSGE models. (2017). Rubaszek, MichaÅ ; Kolasa, Marcin ; Ca, Michele ; Michele Ca, . In: Journal of International Economics. RePEc:eee:inecon:v:107:y:2017:i:c:p:127-146. Full description at Econpapers || Download paper | |
| 2017 | Indeterminate forecast accuracy under indeterminacy. (2017). Sorge, Marco ; Fanelli, Luca. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:57-70. Full description at Econpapers || Download paper | |
| 2017 | A multivariate stochastic unit root model with an application to derivative pricing. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:99-110. Full description at Econpapers || Download paper | |
| 2017 | Confidence Sets for the Date of a Mean Shift at the End of a Sample. (2017). Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2017-06. Full description at Econpapers || Download paper | |
| 2017 | Mis-classified, Binary, Endogenous Regressors: Identification and Inference. (2017). DiTraglia, Francis ; Garcia-Jimeno, Camilo. In: NBER Working Papers. RePEc:nbr:nberwo:23814. Full description at Econpapers || Download paper | |
| 2017 | LATE with Mismeasured or Misspecified Treatment: An application to Womens Empowerment in India. (2017). Tommasi, Denni ; Lewbel, Arthur ; Calvi, Rossella. In: Working Papers ECARES. RePEc:eca:wpaper:2013/251754. Full description at Econpapers || Download paper | |
| 2017 | Bayesian moment-based inference in a regression model with misclassification error. (2017). van Hasselt, Martijn ; Bollinger, Christopher. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:282-294. Full description at Econpapers || Download paper | |
| 2017 | On the Estimation of Treatment Effects with Endogenous Misreporting. (2017). Tchernis, Rusty ; Nguimkeu, Pierre ; Denteh, Augustine. In: NBER Working Papers. RePEc:nbr:nberwo:24117. Full description at Econpapers || Download paper | |
| 2017 | Nonparametric Tests for Treatment Effect Heterogeneity with Duration Outcomes. (2017). Sant'Anna, Pedro. In: Papers. RePEc:arx:papers:1612.02090. Full description at Econpapers || Download paper | |
| 2017 | On falsification of the binary instrumental variable model. (2017). Wang, Linbo ; Richardson, Thomas S ; Robins, James M. In: Biometrika. RePEc:oup:biomet:v:104:y:2017:i:1:p:229-236.. Full description at Econpapers || Download paper | |
| 2017 | Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory. (2017). Dufour, Jean-Marie. In: School of Economics Working Papers. RePEc:adl:wpaper:2017-01. Full description at Econpapers || Download paper | |
| 2017 | The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation. (2017). Kiviet, Jan ; Pleus, Milan . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:1-21. Full description at Econpapers || Download paper | |
| 2017 | Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974. Full description at Econpapers || Download paper | |
| 2017 | Determining the number of factors after stationary univariate transformations. (2017). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5. Full description at Econpapers || Download paper | |
| 2017 | Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r. Full description at Econpapers || Download paper | |
| 2017 | Efficient two-step estimation via targeting. (2017). Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:212-227. Full description at Econpapers || Download paper |
Recent citations (cites in year: CiY)
Recent citations received in 2017
| Year | Citing document | |
|---|---|---|
| 2017 | The Estimation of Network Formation Games with Positive Spillovers. (2017). Boucher, Vincent. In: Cahiers de recherche. RePEc:lvl:crrecr:1710. Full description at Econpapers || Download paper |
Recent citations received in 2016
| Year | Citing document | |
|---|---|---|
| 2016 | A quantile correlated random coefficients panel data model. (2016). Poirier, Alexandre ; Hahn, Jinyong ; Graham, Bryan ; Powell, James L. In: CeMMAP working papers. RePEc:ifs:cemmap:34/16. Full description at Econpapers || Download paper |
Recent citations received in 2015
| Year | Citing document | |
|---|---|---|
| 2015 | On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions. (2015). Doko Tchatoka, Firmin ; Tchakota, Firmin Doko . In: School of Economics Working Papers. RePEc:adl:wpaper:2015-01. Full description at Econpapers || Download paper | |
| 2015 | The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models. (2015). Christensen, Bent Jesper ; Andreasen, Martin M.. In: Journal of Econometrics. RePEc:eee:econom:v:184:y:2015:i:2:p:420-451. Full description at Econpapers || Download paper | |
| 2015 | On Mis-measured Binary Regressors: New Results And Some Comments on the Literature, Second Version. (2015). DiTraglia, Francis ; Garcia-Jimeno, Camilo. In: PIER Working Paper Archive. RePEc:pen:papers:15-039. Full description at Econpapers || Download paper | |
| 2015 | On Mis-measured Binary Regressors: New Results And Some Comments on the Literature, Third Version. (2015). DiTraglia, Francis ; Garcia-Jimeno, Camilo. In: PIER Working Paper Archive. RePEc:pen:papers:15-040. Full description at Econpapers || Download paper | |
| 2015 | Ethnic Residential Segregation: A Multilevel, Multigroup, Multiscale Approach Exemplified by London in 2011. (2015). Johnston, Ron ; Charlton, Chris ; Jones, Kelvyn ; Manley, David ; Owen, Dewi . In: Demography. RePEc:spr:demogr:v:52:y:2015:i:6:p:1995-2019. Full description at Econpapers || Download paper | |
| 2015 | Likelihoodâratioâbased confidence sets for the timing of structural breaks. (2015). Morley, James ; Eo, Yunjong. In: Quantitative Economics. RePEc:wly:quante:v:6:y:2015:i:2:p:463-497. Full description at Econpapers || Download paper |
Recent citations received in 2014
| Year | Citing document | |
|---|---|---|
| 2014 | Specification Tests with Weak and Invalid Instruments. (2014). Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2014-05. Full description at Econpapers || Download paper | |
| 2014 | On Bootstrap Validity for Specification Tests with Weak Instruments. (2014). Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2014-06. Full description at Econpapers || Download paper | |
| 2014 | Targeting estimation of CCC-Garch models with infinite fourth moments. (2014). Pedersen, Rasmus. In: Discussion Papers. RePEc:kud:kuiedp:1404. Full description at Econpapers || Download paper | |
| 2014 | Variance targeting estimation of multivariate GARCH models. (2014). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:57794. Full description at Econpapers || Download paper | |
| 2014 | Indirect inference in spatial autoregression. (2014). Rossi, Francesca ; Phillips, Peter ; Kyriacou, Maria ; Phillips, Peter C. B., . In: Discussion Paper Series In Economics And Econometrics. RePEc:stn:sotoec:1418. Full description at Econpapers || Download paper |
10 most frequent citing series
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Source data used to compute the impact factor of RePEc series.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team