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Econometric Reviews / Taylor & Francis Journals


0.62

Impact Factor

1.06

5-Years IF

43

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.114142080 (%)0.04
19910.1152933070 (%)0.04
19920.0927562965 (%)0.04
19930.1114704276 (%)0.05
19940.12209024186 (%)0.04
19950.22811810.013490 (%)0.07
19960.232414220.0148104 (%)0.09
19970.262316530.02156521132 (1.3%)20.090.09
19980.040.280.0333198100.0530947210939 (2.9%)30.090.1
19990.380.320.1624222350.164685621128216 (1.3%)70.290.13
20000.320.390.222244480.211955718132265 (%)80.360.15
20010.430.390.2923267470.18170462012636 (%)20.090.14
20020.760.40.5521288830.29749453412569 (%)100.480.17
20030.840.430.72263141060.343634437123896 (1.7%)40.150.18
20040.70.480.9583221370.4335247331161103 (%)40.50.19
20050.470.521.11293511740.559034161001115 (%)110.380.2
20061.320.511.28213722960.862937491071377 (1.1%)2110.2
20071.040.441.35344063060.75105150521051421 (%)210.620.17
20081.890.481.64414474410.99456551041181933 (%)130.320.2
20091.450.491.73504975591.12459751091332304 (%)360.720.19
20100.710.471.18365334970.9328291651752071 (%)70.190.17
20110.660.491.2827560561110986571822336 (5.5%)60.220.19
20120.60.521.02235836071.0414963381881923 (2%)60.260.19
20130.90.581336168771.4243450451771772 (%)511.550.2
20141.480.61.11406568601.311815683169187 (%)160.40.2
20151.630.611.18467029081.2928173119159188 (%)471.020.19
20161.230.681.36576710161.32118861061692202 (1.7%)160.250.2
20170.860.721.08588259031.096011196207224 (%)120.210.21
20180.620.941.06518768170.932212376242257 (%)200.390.31
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
12000GMM Estimation with persistent panel data: an application to production functions. (2000). Blundell, Richard ; Bond, Stephen . In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:321-340.

Full description at Econpapers || Download paper

683
22007Bayesian Analysis of DSGE Models. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172.

Full description at Econpapers || Download paper

517
32007Bayesian Analysis of DSGE Models—Rejoinder. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219.

Full description at Econpapers || Download paper

455
42002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS. (2002). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47.

Full description at Econpapers || Download paper

415
51999Using simulation methods for bayesian econometric models: inference, development,and communication. (1999). Geweke, John. In: Econometric Reviews. RePEc:taf:emetrv:v:18:y:1999:i:1:p:1-73.

Full description at Econpapers || Download paper

303
62007MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Sinko, Arthur ; Ghysels, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90.

Full description at Econpapers || Download paper

209
72009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. (2009). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440.

Full description at Econpapers || Download paper

182
82006Multivariate Stochastic Volatility: A Review. (2006). Yu, Jun ; McAleer, Michael ; Asai, Manabu ; JunYu, . In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175.

Full description at Econpapers || Download paper

175
91998A residual-based test of the null of cointegration in panel data. (1998). Kao, Chihwa ; McCoskey, Suzanne . In: Econometric Reviews. RePEc:taf:emetrv:v:17:y:1998:i:1:p:57-84.

Full description at Econpapers || Download paper

152
102003Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances. (2003). Lee, Lung-Fei. In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335.

Full description at Econpapers || Download paper

144
112005Evaluating Direct Multistep Forecasts. (2005). McCracken, Michael ; Clark, Todd. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404.

Full description at Econpapers || Download paper

139
122004Automatic Block-Length Selection for the Dependent Bootstrap. (2004). White, Halbert ; Politis, Dimitris N.. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70.

Full description at Econpapers || Download paper

138
132004Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model. (2004). Greene, William. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:2:p:125-147.

Full description at Econpapers || Download paper

136
142005A Parametric approach to the Estimation of Cointegration Vectors in Panel Data. (2005). Breitung, Jörg. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:2:p:151-173.

Full description at Econpapers || Download paper

127
152008Realized Volatility: A Review. (2008). Medeiros, Marcelo ; McAleer, Michael. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45.

Full description at Econpapers || Download paper

123
162006The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study. (2006). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:1:p:85-116.

Full description at Econpapers || Download paper

119
172000Nonstationary panel data analysis: an overview of some recent developments. (2000). Phillips, Peter ; Moon, Hyungsik. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286.

Full description at Econpapers || Download paper

118
182008The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Christian . In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

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111
192000Bootstrap tests: how many bootstraps?. (2000). MacKinnon, James ; Davidson, Russell. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:1:p:55-68.

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108
202006On Testing Equality of Distributions of Technical Efficiency Scores. (2006). Zelenyuk, Valentin ; Simar, Leopold. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:497-522.

Full description at Econpapers || Download paper

102
212013Weights in Multidimensional Indices of Wellbeing: An Overview. (2013). Lugo, Maria Ana ; Decancq, Koen. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:7-34.

Full description at Econpapers || Download paper

101
222002LONG-RUN STRUCTURAL MODELLING. (2002). shin, yongcheol ; Pesaran, M. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87.

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96
232000Recent developments in bootstrapping time series. (2000). Kilian, Lutz ; Berkowitz, Jeremy . In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:1:p:1-48.

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88
242012Cross-Sectional Dependence in Panel Data Analysis. (2012). Sarafidis, Vasilis ; Wansbeek, Tom. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:5:p:483-531.

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81
252007Forecasting Performance of an Open Economy DSGE Model. (2007). Villani, Mattias ; Lindé, Jesper ; Adolfson, Malin. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328.

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77
262007Forecast Combination and Model Averaging Using Predictive Measures. (2007). Karlsson, Sune ; Eklund, Jana. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:329-363.

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75
272006Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models. (2006). Racine, Jeffrey ; Li, Qi ; Hart, Jeffrey. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:523-544.

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74
282002ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS. (2002). Park, Joon ; Chang, Yoosoon. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:4:p:431-447.

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70
292015Testing Weak Cross-Sectional Dependence in Large Panels. (2015). Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1089-1117.

Full description at Econpapers || Download paper

58
302010The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study. (2010). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:29:y:2010:i:2:p:182-223.

Full description at Econpapers || Download paper

57
312001A REVIEW OF SYSTEMS COINTEGRATION TESTS. (2001). Saikkonen, Pentti ; Lütkepohl, Helmut ; Hubrich, Kirstin. In: Econometric Reviews. RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318.

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56
322005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?. (2005). Kilian, Lutz ; Inoue, Atsushi. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2005:i:4:p:371-402.

Full description at Econpapers || Download paper

55
332003A Consistent Method for the Selection of Relevant Instruments. (2003). Peixe, Fernanda ; Hall, Alastair. In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:3:p:269-287.

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54
342007Normalization in Econometrics. (2007). Zha, Tao ; Waggoner, Daniel ; Hamilton, James. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:221-252.

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52
352008Moving Average-Based Estimators of Integrated Variance. (2008). Lunde, Asger ; Large, Jeremy ; Hansen, Peter. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:79-111.

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51
362006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison. (2006). Yu, Jun ; JunYu, ; Meyer, Renate. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384.

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50
371998Confidence intervals for impulse responses under departures from normality. (1998). Kilian, Lutz. In: Econometric Reviews. RePEc:taf:emetrv:v:17:y:1998:i:1:p:1-29.

Full description at Econpapers || Download paper

50
382013On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors. (2013). Prucha, Ingmar ; Egger, Peter ; Drukker, David M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:686-733.

Full description at Econpapers || Download paper

49
392006Asymmetric Multivariate Stochastic Volatility. (2006). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:453-473.

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48
402005Unit Root Tests under Time-Varying Variances. (2005). Cavaliere, Giuseppe. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2005:i:3:p:259-292.

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46
412000Estimation of long-run inefficiency levels: a dynamic frontier approach. (2000). Sickles, Robin ; Ahn, Seung. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:461-492.

Full description at Econpapers || Download paper

46
422009Pairwise Tests of Purchasing Power Parity. (2009). Yamagata, Takashi ; Smith, Ronald ; Pesaran, M ; Hvozdyk, Lyudmyla . In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:6:p:495-521.

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44
432005New Simple Tests for Panel Cointegration. (2005). Westerlund, Joakim. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:3:p:297-316.

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43
442005RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS. (2005). Windmeijer, Frank ; Bond, Stephen . In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:1:p:1-37.

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42
452009A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets. (2009). Hafner, Christian ; Franses, Philip Hans. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:6:p:612-631.

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42
462013Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. (2013). Chudik, Alexander ; Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:592-649.

Full description at Econpapers || Download paper

42
472005Dynamic Asymmetric Leverage in Stochastic Volatility Models. (2005). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:3:p:317-332.

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41
482015Factor Model Forecasts of Exchange Rates. (2015). West, Kenneth ; Mark, Nelson ; Engel, Charles. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:32-55.

Full description at Econpapers || Download paper

40
492012A Survey on Time-Varying Copulas: Specification, Simulations, and Application. (2012). Manner, Hans ; Reznikova, Olga . In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:6:p:654-687.

Full description at Econpapers || Download paper

37
502008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?. (2008). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin . In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:199-229.

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37

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


#YearTitleCited
12000GMM Estimation with persistent panel data: an application to production functions. (2000). Blundell, Richard ; Bond, Stephen . In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:321-340.

Full description at Econpapers || Download paper

100
22007Bayesian Analysis of DSGE Models—Rejoinder. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219.

Full description at Econpapers || Download paper

94
32007Bayesian Analysis of DSGE Models. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172.

Full description at Econpapers || Download paper

94
42002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS. (2002). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47.

Full description at Econpapers || Download paper

55
52007MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Sinko, Arthur ; Ghysels, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90.

Full description at Econpapers || Download paper

53
61999Using simulation methods for bayesian econometric models: inference, development,and communication. (1999). Geweke, John. In: Econometric Reviews. RePEc:taf:emetrv:v:18:y:1999:i:1:p:1-73.

Full description at Econpapers || Download paper

48
72009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. (2009). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440.

Full description at Econpapers || Download paper

42
82015Testing Weak Cross-Sectional Dependence in Large Panels. (2015). Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1089-1117.

Full description at Econpapers || Download paper

39
92013Weights in Multidimensional Indices of Wellbeing: An Overview. (2013). Lugo, Maria Ana ; Decancq, Koen. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:7-34.

Full description at Econpapers || Download paper

38
102004Automatic Block-Length Selection for the Dependent Bootstrap. (2004). White, Halbert ; Politis, Dimitris N.. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70.

Full description at Econpapers || Download paper

35
112004Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model. (2004). Greene, William. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:2:p:125-147.

Full description at Econpapers || Download paper

30
122006On Testing Equality of Distributions of Technical Efficiency Scores. (2006). Zelenyuk, Valentin ; Simar, Leopold. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:497-522.

Full description at Econpapers || Download paper

27
132003Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances. (2003). Lee, Lung-Fei. In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335.

Full description at Econpapers || Download paper

24
142008The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Christian . In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

Full description at Econpapers || Download paper

22
152005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?. (2005). Kilian, Lutz ; Inoue, Atsushi. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2005:i:4:p:371-402.

Full description at Econpapers || Download paper

21
162012Cross-Sectional Dependence in Panel Data Analysis. (2012). Sarafidis, Vasilis ; Wansbeek, Tom. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:5:p:483-531.

Full description at Econpapers || Download paper

20
172008Realized Volatility: A Review. (2008). Medeiros, Marcelo ; McAleer, Michael. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45.

Full description at Econpapers || Download paper

19
182006Multivariate Stochastic Volatility: A Review. (2006). Yu, Jun ; McAleer, Michael ; Asai, Manabu ; JunYu, . In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175.

Full description at Econpapers || Download paper

19
192015A Simple Estimator for Binary Choice Models with Endogenous Regressors. (2015). Lewbel, Arthur ; Dong, Yingying. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:82-105.

Full description at Econpapers || Download paper

17
202015Factor Model Forecasts of Exchange Rates. (2015). West, Kenneth ; Mark, Nelson ; Engel, Charles. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:32-55.

Full description at Econpapers || Download paper

17
212005A Parametric approach to the Estimation of Cointegration Vectors in Panel Data. (2005). Breitung, Jörg. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:2:p:151-173.

Full description at Econpapers || Download paper

17
222006The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study. (2006). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:1:p:85-116.

Full description at Econpapers || Download paper

16
232005Evaluating Direct Multistep Forecasts. (2005). McCracken, Michael ; Clark, Todd. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404.

Full description at Econpapers || Download paper

15
242012A Survey on Time-Varying Copulas: Specification, Simulations, and Application. (2012). Manner, Hans ; Reznikova, Olga . In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:6:p:654-687.

Full description at Econpapers || Download paper

15
252000Estimation of long-run inefficiency levels: a dynamic frontier approach. (2000). Sickles, Robin ; Ahn, Seung. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:461-492.

Full description at Econpapers || Download paper

15
262009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White. (2009). White, Halbert ; Patton, Andrew ; Politis, Dimitris . In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:4:p:372-375.

Full description at Econpapers || Download paper

15
272013Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. (2013). Chudik, Alexander ; Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:592-649.

Full description at Econpapers || Download paper

14
281998A residual-based test of the null of cointegration in panel data. (1998). Kao, Chihwa ; McCoskey, Suzanne . In: Econometric Reviews. RePEc:taf:emetrv:v:17:y:1998:i:1:p:57-84.

Full description at Econpapers || Download paper

14
292013On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors. (2013). Prucha, Ingmar ; Egger, Peter ; Drukker, David M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:686-733.

Full description at Econpapers || Download paper

14
302000Nonstationary panel data analysis: an overview of some recent developments. (2000). Phillips, Peter ; Moon, Hyungsik. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286.

Full description at Econpapers || Download paper

13
312013Testing for Restricted Stochastic Dominance. (2013). Duclos, Jean-Yves ; Davidson, Russell. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:84-125.

Full description at Econpapers || Download paper

13
322010An Empirical Comparison of Machine Learning Models for Time Series Forecasting. (2010). Atiya, Amir ; Ahmed, Nesreen ; EL GAYAR, NEAMAT ; El-Shishiny, Hisham . In: Econometric Reviews. RePEc:taf:emetrv:v:29:y:2010:i:5-6:p:594-621.

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12
332015Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs. (2015). Pinto, Rodrigo ; Heckman, James. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:6-31.

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342015Hedonic Regressions and the Decomposition of a House Price Index into Land and Structure Components. (2015). Diewert, Walter ; Hendriks, Rens ; de Haan, Jan. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:106-126.

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11
352000Bootstrap tests: how many bootstraps?. (2000). MacKinnon, James ; Davidson, Russell. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:1:p:55-68.

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362010The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study. (2010). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:29:y:2010:i:2:p:182-223.

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372013State Space Models and MIDAS Regressions. (2013). Ghysels, Eric ; Wright, Jonathan H. ; Bai, Jennie . In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:7:p:779-813.

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382007Forecast Combination and Model Averaging Using Predictive Measures. (2007). Karlsson, Sune ; Eklund, Jana. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:329-363.

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392014Using Copulas to Model Time Dependence in Stochastic Frontier Models. (2014). Prokhorov, Artem ; Schmidt, Peter ; Amsler, Christine . In: Econometric Reviews. RePEc:taf:emetrv:v:33:y:2014:i:5-6:p:497-522.

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402015EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects. (2015). Baltagi, Badi ; Deng, Ying. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:659-694.

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412008Optimal Portfolio Diversification Using the Maximum Entropy Principle. (2008). Bera, Anil ; Park, Sung . In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:4-6:p:484-512.

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422017Specification and testing of multiplicative time-varying GARCH models with applications. (2017). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:4:p:421-446.

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9
432016Stochastic Model Specification Search for Time-Varying Parameter VARs. (2016). Strachan, Rodney ; Eisenstat, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1638-1665.

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442016Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence. (2016). Everaert, Gerdie ; de Groote, Tom . In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:3:p:428-463.

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452013A Generalized Spatial Panel Data Model with Random Effects. (2013). Pfaffermayr, Michael ; Egger, Peter ; Baltagi, Badi. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:650-685.

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462015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach. (2015). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:174-197.

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472003Provincial Conditional Income Convergence in China, 1953-1997: A Panel Data Approach. (2003). Yao, James Yudong ; Weeks, Melvyn . In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:1:p:59-77.

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482006Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models. (2006). Racine, Jeffrey ; Li, Qi ; Hart, Jeffrey. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:523-544.

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492015Marginal Likelihood Estimation with the Cross-Entropy Method. (2015). Eisenstat, Eric ; Chan, Joshua ; Joshua C. C. Chan, . In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:3:p:256-285.

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8
502007Forecasting Performance of an Open Economy DSGE Model. (2007). Villani, Mattias ; Lindé, Jesper ; Adolfson, Malin. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328.

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Citing documents used to compute impact factor 76:


YearTitle
2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

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2018A residual-based multivariate constant correlation test. (2018). Wied, Dominik ; Duan, Fang. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0675-y.

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2018Aggregation of metafrontier technology gap ratios: the case of European sectors in 1995–2015. (2018). Walheer, Barnabé. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1013-1026.

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2018Testing the adequacy of semiparametric transformation models. (2018). Allison, J S ; Meintanis, S G ; Hukova, M. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-017-0544-4.

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2018Testing for serial independence in vector autoregressive models. (2018). Meintanis, Simos G ; Allison, James ; Ngatchou-Wandji, Joseph . In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:4:d:10.1007_s00362-018-1039-4.

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2018Dimension reduction in nonparametric models of production. (2018). Wilson, Paul W. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:1:p:349-367.

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2018Fast and Efficient Computation of Directional Distance Estimators. (2018). Simar, Leopold ; Wilson, Paul W ; Daraio, Cinzia. In: DIAG Technical Reports. RePEc:aeg:report:2018-05.

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2018Fast and Efficient Computation of Directional Distance Estimators. (2018). Simar, Leopold ; Wilson, Paul W ; Daraio, Cinzia. In: LEM Papers Series. RePEc:ssa:lemwps:2018/21.

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2018Moment redundancy test with application to efficiency-improving copulas. (2018). Hao, Bowen ; Qian, Hailong ; Prokhorov, Artem. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2018Decomposing the Macroeconomic Effects of Natural Disasters: A National Income Accounting Perspective. (2018). Strobl, Eric ; Mohan, Preeya ; Ouattara, Bazoumana. In: Ecological Economics. RePEc:eee:ecolec:v:146:y:2018:i:c:p:1-9.

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2018On the nexus of financial development, economic growth, and energy consumption in China: New perspective from a GMM panel VAR approach. (2018). Ouyang, Yaofu ; Li, Peng. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:238-252.

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2018Credit risk in European banks: The bright side of the internal ratings based approach. (2018). Cucinelli, Doriana ; Nieri, Laura ; marchese, malvina ; di Battista, Maria Luisa . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:213-229.

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2018On the “utilisation controversy”: a comment. (2018). Gahn, Santiago J ; Gonzalez, Alejandro . In: Working Papers. RePEc:pke:wpaper:pkwp1814.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun. In: Papers. RePEc:arx:papers:1801.04672.

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2018Consistent estimator of nonparametric structural spurious regression model for high frequency data. (2018). Jeong, Minsoo. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:18-21.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2018Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109.

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2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

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2018On the Stock–Yogo Tables. (2018). Windmeijer, Frank ; Skeels, Christopher L. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2018Real‐Time Monitoring for Explosive Financial Bubbles. (2018). Taylor, Robert ; Harvey, David ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J ; Astill, Sam. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:863-891.

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2018The Grid Bootstrap for Continuous Time Models. (2018). Yu, Jun ; Xiao, Weilin ; Lui, Yiu Lim. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_020.

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2018Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models. (2018). Hsiao, Cheng ; Zhou, Qiankun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:114-128.

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2018Threshold autoregressive models for interval-valued time series data. (2018). Hong, Yongmiao ; Wang, Shouyang ; Han, AI ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:414-446.

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2018The impact of pollution abatement investments on production technology: a nonparametric approach. (2018). Mastromarco, Camilla ; Huiban, Jean Pierre ; Simioni, Michel ; Musolesi, Antonio. In: SEEDS Working Papers. RePEc:srt:wpaper:0918.

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2018Assessing the nonlinearity of the calorie-income relationship: An estimation strategy – With new insights on nutritional transition in Vietnam. (2018). THOMAS-AGNAN, Christine ; Simioni, Michel ; Thi, Huong Trinh. In: World Development. RePEc:eee:wdevel:v:110:y:2018:i:c:p:192-204.

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2018Reconciling the Porter hypothesis with the traditional paradigm about environmental regulation: a nonparametric approach. (2018). Huiban, Jean Pierre ; Simioni, Michel ; Musolesi, Antonio ; Mastromarco, Camilla. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:50:y:2018:i:3:d:10.1007_s11123-018-0536-8.

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2018Structural Break Tests Robust to Regression Misspecification. (2018). Boldea, Otilia ; Andreou, Elena ; Morshed, Alaa Abi. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:27-:d:148392.

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2018A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (2018). Walle, Yabibal ; Herwartz, Helmut. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0784-5.

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2018Rank based cointegration testing for dynamic panels with fixed T. (2018). Juodis, Artras. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1304-8.

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2018WHEN DO FIRMS LEAVE CARTELS? DETERMINANTS AND THE IMPACT ON CARTEL SURVIVAL. (2018). Hellwig, Michael ; Huschelrath, Kai. In: International Review of Law and Economics. RePEc:eee:irlaec:v:54:y:2018:i:c:p:68-84.

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2018Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2018Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2018Pros and cons of the impact factor in a rapidly changing digital world. (2018). McAleer, Michael ; Popp, Jozsef ; Olah, Judit. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1806.

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2018Pros and Cons of the Impact Factor in a Rapidly Changing Digital World. (2018). McAleer, Michael ; Popp, Jozsef ; Olah, Judit. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180014.

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2018Pros and Cons of the Impact Factor in a Rapidly Changing Digital World. (2018). McAleer, Michael ; Popp, J ; Olah, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:105877.

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2018Dynamic panel probit: finite-sample performance of alternative random-effects estimators. (2018). Pigini, Claudia ; Lucchetti, Riccardo (Jack). In: Working Papers. RePEc:anc:wpaper:426.

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2018Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model. (2018). Pigini, Claudia ; Bartolucci, Francesco ; Nigro, Valentina. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:1:p:61-88.

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2018A novel approach to modelling the distribution of financial returns. (2018). Cai, Yuzhi ; Li, Guodong. In: Working Papers. RePEc:swn:wpaper:2018-22.

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2018General Quantile Time Series Regressions for Applications in Population Demographics. (2018). Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588.

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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2018Powerful nonparametric seasonal unit root tests. (2018). Erolu, Burak Alparslan ; Troki, Mirza ; Goebakan, Kemal Alar. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:75-80.

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2018Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110.

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2018What Remains of Cross-Country Convergence?. (2018). Papageorgiou, Chris ; Johnson, Paul. In: MPRA Paper. RePEc:pra:mprapa:89355.

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2018The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046.

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2018Simple robust tests for the specification of high-frequency predictors of a low-frequency series. (2018). Miller, J.. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:45-66.

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2018Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes. (2018). Hecq, Alain ; Götz, Thomas ; Goetz, Thomas. In: MPRA Paper. RePEc:pra:mprapa:87746.

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2018Forecasting Tourist Arrivals: Google Trends Meets Mixed Frequency Data. (2018). Havranek, Tomas ; Zeynalov, Ayaz. In: MPRA Paper. RePEc:pra:mprapa:90205.

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2018Forecasting Tourist Arrivals with Google Trends and Mixed Frequency Data. (2018). Havranek, Tomas ; Zeynalov, Ayaz. In: EconStor Preprints. RePEc:zbw:esprep:187420.

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2018On the estimation of panel fiscal reaction functions: Heterogeneity or fiscal fatigue?. (2018). Everaert, Gerdie ; Jansen, Stijn . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:87-96.

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2018Does a flexible exchange rate regime increase inflation persistence?. (2018). Wu, Jo-Wei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:244-263.

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2018Panel models with interactive effects. (2018). Hsiao, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:645-673.

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2018Estimation of an unbalanced panel data Tobit model with interactive effects. (2018). Ye, Xiaoqing ; Wu, Xiangjun ; Xu, Juan. In: Journal of choice modelling. RePEc:eee:eejocm:v:28:y:2018:i:c:p:108-123.

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2018DOES THE LAUNCH OF THE EURO HINDER THE CURRENT ACCOUNT ADJUSTMENT OF THE EUROZONE?. (2018). Wu, Jowei. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:1116-1135.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Papers. RePEc:arx:papers:1607.04532.

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2018Is the US Phillips Curve Stable? Evidence from Bayesian VARs. (2018). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2018_005.

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2018Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean. (2018). Banbura, Marta ; van Vlodrop, Andries. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180025.

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2018Reducing Dimensions in a Large TVP-VAR. (2018). Strachan, Rodney ; Eisenstat, Eric. In: Working Paper Series. RePEc:uts:ecowps:43.

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2018Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean. (2018). Legrand, Romain. In: MPRA Paper. RePEc:pra:mprapa:88925.

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2018Reducing Dimensions in a Large TVP-VAR. (2018). Strachan, Rodney ; Eisenstat, Eric. In: Working Paper series. RePEc:rim:rimwps:18-37.

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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_005.

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2018Monetary facts revisited. (2018). Hofmann, Boris ; Gertler, Pavel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:154-170.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Discussion Papers. RePEc:hit:econdp:2018-03.

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2018Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations. (2018). Hungnes, HÃ¥vard. In: Discussion Papers. RePEc:ssb:dispap:871.

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2018A Thick ANN Model for Forecasting Inflation. (2018). Iqbal, Javed ; Hanif, Muhammad ; Mughal, Khurrum S. In: SBP Working Paper Series. RePEc:sbp:wpaper:99.

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2018Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Working Papers. RePEc:umc:wpaper:1801.

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2018Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:143-166.

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Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2018Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279.

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2018Testing for time-varying stochastic volatility in Bitcoin returns. (2018). Salisu, Afees ; Adediran, Idris. In: Working Papers. RePEc:cui:wpaper:0060.

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2018Does time-variation matter in the stochastic volatility components for G7 stock returns. (2018). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0062.

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2018A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects. (2018). Yamagata, Takashi ; Hayakawa, Kazuhiko ; Nagata, Shuichi . In: ISER Discussion Paper. RePEc:dpr:wpaper:1037.

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2018Crude oil and equity markets in major European countries: New evidence. (2018). miloudi, anthony ; Benkraiem, Ramzi ; Lahiani, Amine ; van Hoang, Thi Hong. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00237.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018The long-run effects of pandemic influenza on the development of children from elite backgrounds: Evidence from industrializing Japan. (2018). Ogasawara, Kota. In: Economics & Human Biology. RePEc:eee:ehbiol:v:31:y:2018:i:c:p:125-137.

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2018The contagious effects on economic development after resuming construction policy for nuclear power plants in Coastal China. (2018). Hsiao, Cody Yu-Ling ; Chen, Hsing Hung. In: Energy. RePEc:eee:energy:v:152:y:2018:i:c:p:291-302.

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2018Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination. (2018). Zhang, Wenjie ; Srinivasan, Dipti ; Quan, Hao. In: Energy. RePEc:eee:energy:v:160:y:2018:i:c:p:810-819.

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2018Unit root quantile autoregression testing with smooth structural changes. (2018). Li, Haiqi ; Zheng, Chaowen . In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:83-89.

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2018Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

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2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130.

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2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

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2018Renewable Energy, Oil Prices, and Economic Activity: A Granger-causality in Quantiles Analysis. (2018). Uddin, Gazi ; Troster, Victor ; Shahbaz, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:84194.

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2018Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. (2018). Bai, Jushan ; Ando, Tomohiro. In: MPRA Paper. RePEc:pra:mprapa:88765.

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2018Visiting the Economic Policy Uncertainty Shocks - Economic Growth Relationship: Wavelet-based Granger-Causality in Quantiles Approac. (2018). Jiang, Yonghong ; Nie, HE ; Meng, Juan. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:80-94.

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2018Growth in Stress. (2018). Ruiz, Esther ; Vicente, Javier ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:201805.

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Recent citations received in 2017

YearCiting document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017World Productivity Growth: A Model Averaging Approach. (2017). Duygun, Meryem ; Sickles, Robin C ; Isaksson, Anders ; Hao, Jiaqi . In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:4:p:587-619.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2017Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations. (2017). Butler, Ronald W ; Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:43-:d:112377.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:09/2017.

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2017A general class of SemiGARCH models based on the Box-Cox transformation. (2017). Zhang, Xuehai ; Peitz, Christian ; Feng, Yuanhua . In: Working Papers CIE. RePEc:pdn:ciepap:104.

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2017Modelling and Forecasting WIG20 Daily Returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:3:p:173-200.

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2017A nonparametric approach to identifying a subset of forecasters that outperforms the simple average. (2017). Sinclair, Tara ; Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Burgi, Constantin . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1152-y.

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2017Measuring uncertainty and assessing its predictive power in the euro area. (2017). Poncela, Pilar ; Senra, Eva . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1181-6.

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2017Dating multiple change points in the correlation matrix. (2017). Wied, Dominik ; Galeano, Pedro. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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Recent citations received in 2016

YearCiting document
2016Alternative Bayesian compression in Vector Autoregressions and related models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:216.

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2016Alternatives to large VAR, VARMA and multivariate stochastic volatility models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:217.

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

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2016EU Structural Funds and Regional Income Convergence - A Sobering Experience. (2016). Schmidt, Christoph ; Mitze, Timo ; Breidenbach, Philipp. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11210.

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2016Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24.

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

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2016Combining forecasts from successive data vintages: An application to U.S. growth. (2016). Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B ; Urbain, Jean-Pierre . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:61-74.

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2016xtdcce: Estimating Dynamic Common Correlated Effects in Stata. (2016). Ditzen, Jan. In: SEEC Discussion Papers. RePEc:hwe:seecdp:1601.

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2016Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud. In: Cahiers de recherche. RePEc:lvl:crrecr:1607.

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2016Accounting for Multiplicity in Inference on Economics Journal Rankings. (2016). Parmeter, Christopher ; Horrace, William. In: Working Papers. RePEc:mia:wpaper:2016-08.

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2016BIAS-CORRECTED COMMON CORRELATED EFFECTS POOLED ESTIMATION IN HOMOGENEOUS DYNAMIC PANELS. (2016). Everaert, Gerdie ; De Vos, Ignace. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:16/920.

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2016Integrated likelihoods in parametric survival models for highly clustered censored data. (2016). Cortese, Giuliana ; Sartori, Nicola. In: Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data. RePEc:spr:lifeda:v:22:y:2016:i:3:d:10.1007_s10985-015-9337-9.

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2016Testing for Deterministic Seasonality in Mixed-Frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: DEA Working Papers. RePEc:ubi:deawps:76.

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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. (2016). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp235.

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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. (2016). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:5178.

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2016EU structural funds and regional income convergence: A sobering experience. (2016). Schmidt, Christoph ; Mitze, Timo ; Breidenbach, Philipp. In: Ruhr Economic Papers. RePEc:zbw:rwirep:608.

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Recent citations received in 2015

YearCiting document
2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide ; de Magistris, Paolo Santucci. In: CREATES Research Papers. RePEc:aah:create:2015-30.

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2015Gold, currencies and market efficiency. (2015). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Vosvrda, Miloslav . In: Papers. RePEc:arx:papers:1510.08615.

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2015Econometricians Have Their Moments: GMM at 32. (2015). Dungey, Mardi ; Hall, Alastair R ; Tian, Jing ; Alexeev, Vitali. In: The Economic Record. RePEc:bla:ecorec:v:91:y:2015:i::p:1-24.

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2015Is there a Debt-Threshold Effect on Output Growth?. (2015). Raissi, Mehdi ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5434.

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2015Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Bernhofen, Daniel ; Li, Jianan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5580.

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2015Democracy and Income: taking parameter heterogeneity and cross-country dependency into account. (2015). Sequeira, Tiago. In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2015_10.

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2015Adding Flexibility to Markov Switching Models. (2015). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201509.

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2015MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1516.

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2015Unbiased Instrumental Variables Estimation under Known First-Stage Sign. (2015). Andrews, Isaiah ; Armstrong, Timothy B. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1984r2.

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2015Unbiased Instrumental Variables Estimation under Known First-Stage Sign. (2015). Andrews, Isaiah ; Armstrong, Timothy B. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1984r3.

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2015Education and regional mobility in Europe. (2015). Weiss, Christoph T. In: Economics of Education Review. RePEc:eee:ecoedu:v:49:y:2015:i:c:p:129-141.

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2015A modified test against spurious long memory. (2015). Kruse, Robinson. In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:34-38.

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2015Half-lives of currencies and aggregation bias. (2015). MacDonald, Ronald ; Kunkler, Michael . In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:58-60.

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2015The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series. (2015). Murasawa, Yasutomo. In: Economics Letters. RePEc:eee:ecolet:v:137:y:2015:i:c:p:157-162.

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2015Binary response correlated random coefficient panel data models. (2015). Liang, Zhongwen ; Gao, Yichen . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:421-434.

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2015Identification and estimation of games with incomplete information using excluded regressors. (2015). Lewbel, Arthur ; Tang, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:229-244.

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2015A misspecification test for multiplicative error models of non-negative time series processes. (2015). Saart, Patrick ; GAO, Jiti ; Kim, Namhyun . In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:346-359.

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2015A Bayesian stochastic frontier analysis of Chinese fossil-fuel electricity generation companies. (2015). Chen, Zhongfei ; Borges, Maria ; Barros, Carlos Pestana. In: Energy Economics. RePEc:eee:eneeco:v:48:y:2015:i:c:p:136-144.

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2015Carbon dioxide emissions reduction in Chinas transport sector: A dynamic VAR (vector autoregression) approach. (2015). Lin, Boqiang ; Xu, Bin. In: Energy. RePEc:eee:energy:v:83:y:2015:i:c:p:486-495.

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2015Higher order comoments of multifactor models and asset allocation. (2015). Boudt, Kris ; Peeters, Benedict ; Lu, Wanbo . In: Finance Research Letters. RePEc:eee:finlet:v:13:y:2015:i:c:p:225-233.

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2015Third-country effects on the exchange rate. (2015). Mark, Nelson ; Berg, Kimberly. In: Journal of International Economics. RePEc:eee:inecon:v:96:y:2015:i:2:p:227-243.

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2015The impact of commercial sweeping on the demand for monetary assets during the Great Recession. (2015). Jones, Barry ; Fleissig, Adrian R. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:45:y:2015:i:c:p:412-422.

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2015Financial markets integration: A vector error-correction approach. (2015). Oanea, Dumitru-Cristian . In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:12:y:2015:i:2:p:153-161.

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2015Modeling energy price dynamics: GARCH versus stochastic volatility. (2015). Grant, Angelia ; Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-20.

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2015A Bayesian model comparison for trend-cycle decompositions of output. (2015). Grant, Angelia ; Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-31.

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2015Bayesian model comparison for time-varying parameter VARs with stochastic volatility. (2015). Chan, Joshua ; Eisenstat, Eric. In: CAMA Working Papers. RePEc:een:camaaa:2015-32.

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2015Specification tests for time-varying parameter models with stochastic volatility. (2015). Chan, Joshua. In: CAMA Working Papers. RePEc:een:camaaa:2015-42.

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2015Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?. (2015). . In: European Journal of Economic and Political Studies. RePEc:fat:fejeps:ejeps0130.

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2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability. (2015). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2015-06.

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2015Is there a debt-threshold effect on output growth?. (2015). Raissi, Mehdi ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:245.

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2015Cost-benefit framework for policy action to navigate food price spikes. FOODSECURE Working Paper No 33.. (2015). Kalkuhl, Matthias ; Haile, Mekbib ; Kornher, Lukas ; Kozicka, Marta. In: FOODSECURE Working papers. RePEc:fsc:fspubl:33.

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2015A Multivariate Test Against Spurious Long Memory. (2015). Sibbertsen, Philipp ; Leschinski, Christian ; Holzhausen, Marie . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-547.

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2015Early Childhood Education. (2015). Heckman, James ; Garcia, Jorge Luis ; Elango, Sneha ; Hojman, Andres . In: Working Papers. RePEc:hka:wpaper:2015-017.

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2015Is There a Debt-threshold Effect on Output Growth?. (2015). Raissi, Mehdi ; Mohaddes, Kamiar ; Chudik, Alexander ; Pesaran, Hashem M. In: IMF Working Papers. RePEc:imf:imfwpa:15/197.

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2015Early Childhood Education. (2015). Heckman, James ; Garcia, Jorge Luis ; Elango, Sneha ; Hojman, Andres . In: IZA Discussion Papers. RePEc:iza:izadps:dp9476.

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2015Welfare Consequences of Information Aggregation and Optimal Market Size. (2015). Hajargasht, Gholamreza ; Griffiths, William E. In: Department of Economics - Working Papers Series. RePEc:mlb:wpaper:1190.

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2015A Predictive Likelihood Approach to Bayesian Averaging. (2015). Jeabek, Toma ; Perkova, Radka. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2015063041269.

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2015Early Childhood Education. (2015). Heckman, James ; Hojman, Andres ; Garcia, Jorge Luis ; Elango, Sneha . In: NBER Working Papers. RePEc:nbr:nberwo:21766.

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2015Globalization and Its (Dis-)Content: Trade Shocks and Voting Behavior. (2015). Heblich, Stephan ; Gold, Robert ; Dippel, Christian. In: NBER Working Papers. RePEc:nbr:nberwo:21812.

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2015Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Bernhofen, Daniel ; Li, Jianan. In: Discussion Papers. RePEc:not:notgep:15/12.

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2015The Common Factor of Bilateral U.S. Exchange Rates: What is it Related to?. (2015). Wang, Ben ; Sheen, Jeffrey ; Ponomareva, Natalia. In: MPRA Paper. RePEc:pra:mprapa:68966.

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2015Decoupling land values in residential property prices: smoothing methods for hedonic imputed price indices. (2015). Rambaldi, Alicia ; McAllister, Ryan ; Fletcher, Cameron S. In: Discussion Papers Series. RePEc:qld:uq2004:549.

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2015Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics. (2015). Thorp, Susan ; Silvennoinen, Annastiina. In: NCER Working Paper Series. RePEc:qut:auncer:2015_07.

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2015Effect of health on labor supply of elderly. (2015). Roshchin, Sergey ; Lyashok, Victor. In: Applied Econometrics. RePEc:ris:apltrx:0275.

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2015Visa waivers, multilateral resistance and international tourism: some evidence from Israel. (2015). Rubin, Ziv ; Beenstock, Michael ; Felsenstein, Daniel. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:8:y:2015:i:3:p:357-371.

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2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. (2015). Grassi, Stefano ; Delle Monache, Davide ; Santucci, Paolo . In: Studies in Economics. RePEc:ukc:ukcedp:1511.

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2015The Role of Spatial and Temporal Structure for Residential Rent Predictions. (2015). Füss, Roland ; Fuess, Roland ; Koller, Jan . In: Working Papers on Finance. RePEc:usg:sfwpfi:2015:23.

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