Citation analysis for Econometric Theory / Cambridge University Press

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

0.68

5 Years IF

0.78

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.09	0.08	0.28	0.07	61	61	663	16	17	100	9	199	14	1	6.3	2	0.03	0.04
1991	0.09	0.08	0.24	0.07	53	114	960	26	44	105	9	236	16		0	4	0.08	0.04
1992	0.04	0.09	0.18	0.06	72	186	788	28	78	114	5	253	15		0	2	0.03	0.04
1993	0.06	0.1	0.1	0.05	79	265	817	27	105	125	8	286	13		0	3	0.04	0.05
1994	0.09	0.11	0.18	0.09	71	336	1343	55	167	151	14	309	28		0	6	0.08	0.06
1995	0.14	0.2	0.3	0.18	100	436	3025	128	298	150	21	336	59		0	8	0.08	0.08
1996	0.24	0.22	0.37	0.25	81	517	1127	191	491	171	41	375	94		0	5	0.06	0.1
1997	0.28	0.23	0.35	0.2	74	591	1357	207	700	181	51	403	81		0	14	0.19	0.1
1998	0.3	0.27	0.53	0.34	45	636	1156	335	1039	155	46	405	136	3	0.9	5	0.11	0.12
1999	0.39	0.29	0.58	0.43	41	677	1072	389	1432	119	47	371	159	4	1	18	0.44	0.14
2000	0.7	0.34	0.76	0.62	48	725	1124	535	1980	86	60	341	213	4	0.7	13	0.27	0.15
2001	0.61	0.36	0.73	0.61	46	771	723	545	2544	89	54	289	176		0	12	0.26	0.16
2002	0.63	0.4	0.73	0.73	70	841	1505	596	3155	94	59	254	185		0	26	0.37	0.21
2003	0.69	0.41	0.82	0.73	80	921	1129	746	3913	116	80	250	182	4	0.5	23	0.29	0.2
2004	0.64	0.46	0.96	0.75	66	987	2180	919	4857	150	96	285	215	14	1.5	17	0.26	0.21
2005	0.65	0.47	0.97	0.72	61	1048	1548	997	5872	146	95	310	224	4	0.4	42	0.69	0.22
2006	1.05	0.47	1.13	0.87	57	1105	645	1215	7126	127	133	323	280		0	28	0.49	0.21
2007	0.78	0.42	0.99	0.84	53	1158	458	1102	8274	118	92	334	281	11	1	19	0.36	0.19
2008	0.83	0.45	1.19	1.13	69	1227	1204	1434	9740	110	91	317	358	6	0.4	60	0.87	0.21
2009	0.91	0.44	1.27	1.25	82	1309	1157	1652	11408	122	111	306	383		0	51	0.62	0.21
2010	0.86	0.44	1.08	0.83	67	1376	1150	1464	12890	151	130	322	267	5	0.3	28	0.42	0.18
2011	1.03	0.46	1.14	0.85	50	1426	512	1616	14518	149	153	328	278		0	28	0.56	0.21
2012	1.32	0.47	1.28	1.17	53	1479	564	1887	16414	117	155	321	374	13	0.7	21	0.4	0.19
2013	1.1	0.53	1.31	1.25	45	1524	360	1996	18412	103	113	321	402	4	0.2	16	0.36	0.22
2014	1.05	0.55	1.26	1.23	43	1567	196	1959	20380	98	103	297	365		0	12	0.28	0.21
2015	1.05	0.55	1.28	1.29	51	1618	238	2069	22451	88	92	258	333	4	0.2	23	0.45	0.21
2016	0.77	0.56	1.18	0.87	39	1657	147	1959	24411	94	72	242	211	1	0.1	13	0.33	0.2
2017	0.79	0.58	1.14	0.91	48	1705	100	1933	26347	90	71	231	211		0	21	0.44	0.21
2018	0.85	0.7	1.05	0.9	46	1751	60	1844	28192	87	74	226	203	3	0.2	18	0.39	0.28
2019	0.68	0.88	0.92	0.78	32	1783	19	1643	29835	94	64	227	177		0	13	0.41	0.33

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations in y to articles published in y-1 plus y-2
%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	1995	Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00. Full description at Econpapers \|\| Download paper	1568
2	2004	PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20. Full description at Econpapers \|\| Download paper	1256
3	2003	ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19. Full description at Econpapers \|\| Download paper	589
4	1991	Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00. Full description at Econpapers \|\| Download paper	482
5	1996	Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00. Full description at Econpapers \|\| Download paper	460
6	2005	AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). McAleer, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05. Full description at Econpapers \|\| Download paper	369
7	1993	Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00. Full description at Econpapers \|\| Download paper	357
8	1990	Stationarity and Persistence in the GARCH(1,1) Model. (1990). Nelson, Daniel B.. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:03:p:318-334_00. Full description at Econpapers \|\| Download paper	319
9	1997	Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00. Full description at Econpapers \|\| Download paper	316
10	1998	STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS. (1998). Jeantheau, Thierry. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14. Full description at Econpapers \|\| Download paper	259
11	1999	UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Baltagi, Badi ; Wu, Ping X.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15. Full description at Econpapers \|\| Download paper	251
12	1994	Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00. Full description at Econpapers \|\| Download paper	247
13	2009	OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09. Full description at Econpapers \|\| Download paper	242
14	1994	A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). shin, yongcheol. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00. Full description at Econpapers \|\| Download paper	241
15	2002	MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong ; Carrasco, Marine. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18. Full description at Econpapers \|\| Download paper	231
16	2004	INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20. Full description at Econpapers \|\| Download paper	222
17	2001	THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). Lippi, Marco ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17. Full description at Econpapers \|\| Download paper	211
18	1996	Markov Chain Monte Carlo Simulation Methods in Econometrics. (1996). Greenberg, Edward ; Chib, Siddhartha . In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00. Full description at Econpapers \|\| Download paper	196
19	1986	Asymptotic Theory for ARCH Models: Estimation and Testing. (1986). Weiss, Andrew A.. In: Econometric Theory. RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01. Full description at Econpapers \|\| Download paper	184
20	1995	Inference in Models with Nearly Integrated Regressors. (1995). Elliott, Graham ; Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00. Full description at Econpapers \|\| Download paper	176
21	2005	A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05. Full description at Econpapers \|\| Download paper	167
22	1988	Statistical Inference in Regressions with Integrated Processes: Part 1. (1988). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01. Full description at Econpapers \|\| Download paper	165
23	1997	Optimal Prediction Under Asymmetric Loss. (1997). Diebold, Francis ; Christoffersen, Peter. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00. Full description at Econpapers \|\| Download paper	164
24	2000	TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut. In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16. Full description at Econpapers \|\| Download paper	161
25	1998	A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Simar, Leopold ; Kneip, Alois ; Park, Byeong U.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14. Full description at Econpapers \|\| Download paper	161
26	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÂ¶tscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05. Full description at Econpapers \|\| Download paper	158
27	2002	TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18. Full description at Econpapers \|\| Download paper	158
28	1991	Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00. Full description at Econpapers \|\| Download paper	154
29	2002	NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS. (2002). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18. Full description at Econpapers \|\| Download paper	153
30	1995	Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (1995). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00. Full description at Econpapers \|\| Download paper	152
31	1998	CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). White, Halbert ; Stinchcombe, Maxwell. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14. Full description at Econpapers \|\| Download paper	151
32	1992	Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01. Full description at Econpapers \|\| Download paper	151
33	1997	Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995. (1997). Baltagi, Badi ; Boozer, Michael A.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00. Full description at Econpapers \|\| Download paper	147
34	2008	GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix ; Lieberman, Offer. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08. Full description at Econpapers \|\| Download paper	147
35	1992	Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01. Full description at Econpapers \|\| Download paper	147
36	1999	ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1999). Phillips, Peter ; Park, Joon. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15. Full description at Econpapers \|\| Download paper	146
37	1997	Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00. Full description at Econpapers \|\| Download paper	146
38	1995	Causality in the Long Run. (1995). Lin, Jin-Lung ; Clive, W. J.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00. Full description at Econpapers \|\| Download paper	145
39	1989	Statistical Inference in Regressions with Integrated Processes: Part 2. (1989). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01. Full description at Econpapers \|\| Download paper	136
40	1989	Testing for Unit Roots in Time Series Data. (1989). Pantula, Sastry G.. In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01. Full description at Econpapers \|\| Download paper	128
41	1988	Maximum Likelihood Estimation of Generalized ItÃ´ Processes with Discretely Sampled Data. (1988). Lo, Andrew. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:02:p:231-247_01. Full description at Econpapers \|\| Download paper	125
42	2009	GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Carrion-i-Silvestre, Josep Llu?s, . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99. Full description at Econpapers \|\| Download paper	125
43	2008	UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA. (2008). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:726-748_08. Full description at Econpapers \|\| Download paper	124
44	1989	Partially Identified Econometric Models. (1989). Phillips, Peter ; Phillips, P. C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01. Full description at Econpapers \|\| Download paper	123
45	1990	A Unified Approach to Robust, Regression-Based Specification Tests. (1990). Wooldridge, Jeffrey. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:01:p:17-43_00. Full description at Econpapers \|\| Download paper	121
46	2005	ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. (2005). Pesaran, M ; hsiao, cheng ; Binder, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05. Full description at Econpapers \|\| Download paper	117
47	2002	CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18. Full description at Econpapers \|\| Download paper	117
48	1988	Partially Adaptive Estimation of Regression Models via the Generalized T Distribution. (1988). Newey, Whitney ; McDonald, James. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:428-457_01. Full description at Econpapers \|\| Download paper	114
49	2005	NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH. (2005). THOMAS-AGNAN, Christine ; Daouia, Abdelaati ; Aragon, Y.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:02:p:358-389_05. Full description at Econpapers \|\| Download paper	110
50	1999	THE NONSTATIONARY FRACTIONAL UNIT ROOT. (1999). Tanaka, Katsuto . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:04:p:549-582_15. Full description at Econpapers \|\| Download paper	110

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

#	Year	Title	Cited
1	2004	PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20. Full description at Econpapers \|\| Download paper	239
2	1995	Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00. Full description at Econpapers \|\| Download paper	210
3	2003	ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19. Full description at Econpapers \|\| Download paper	86
4	1993	Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00. Full description at Econpapers \|\| Download paper	67
5	2004	INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20. Full description at Econpapers \|\| Download paper	50
6	2012	A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Song, Song ; HÃÂ¤rdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K.. In: Econometric Theory. RePEc:cup:etheor:v:28:y:2012:i:04:p:861-887_00. Full description at Econpapers \|\| Download paper	49
7	1991	Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00. Full description at Econpapers \|\| Download paper	47
8	1996	Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00. Full description at Econpapers \|\| Download paper	42
9	1997	Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00. Full description at Econpapers \|\| Download paper	41
10	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÂ¶tscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05. Full description at Econpapers \|\| Download paper	39
11	2009	OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09. Full description at Econpapers \|\| Download paper	39
12	2005	A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05. Full description at Econpapers \|\| Download paper	38
13	2008	ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS. (2008). Wilson, Paul ; Simar, Leopold ; Kneip, Alois. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1663-1697_08. Full description at Econpapers \|\| Download paper	33
14	2008	A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES. (2008). Johansen, Soren. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08. Full description at Econpapers \|\| Download paper	26
15	2013	A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS. (2013). Politis, Dimitris N. ; Giacomini, Raffaella ; White, Halbert. In: Econometric Theory. RePEc:cup:etheor:v:29:y:2013:i:03:p:567-589_00. Full description at Econpapers \|\| Download paper	25
16	1997	Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00. Full description at Econpapers \|\| Download paper	24
17	2005	AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). McAleer, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05. Full description at Econpapers \|\| Download paper	23
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30	2015	WHEN BIAS KILLS THE VARIANCE: CENTRAL LIMIT THEOREMS FOR DEA AND FDH EFFICIENCY SCORES. (2015). Simar, Leopold ; Kneip, Alois ; Wilson, Paul W. In: Econometric Theory. RePEc:cup:etheor:v:31:y:2015:i:02:p:394-422_00. Full description at Econpapers \|\| Download paper	19
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45	2013	TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS. (2013). Su, Liangjun ; Chen, Qihui. In: Econometric Theory. RePEc:cup:etheor:v:29:y:2013:i:06:p:1079-1135_00. Full description at Econpapers \|\| Download paper	15
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Citing documents used to compute impact factor: 64

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2019	On a spiked model for large volatility matrix estimation from noisy high-frequency data. (2019). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:207-221. Full description at Econpapers \|\| Download paper
2019	Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337. Full description at Econpapers \|\| Download paper
2019	Empirical likelihood for high frequency data. (2019). Otsu, Taisuke ; Matsushita, Yukitoshi ; Camponovo, Lorenzo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100320. Full description at Econpapers \|\| Download paper
2019	Multiple Subordinated Modeling of Asset Returns. (2019). Fabozzi, Frank ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1907.12600. Full description at Econpapers \|\| Download paper
2019	Adjusted QMLE for the spatial autoregressive parameter. (2019). Hillier, Grant ; Martellosio, Federico. In: Papers. RePEc:arx:papers:1909.08141. Full description at Econpapers \|\| Download paper
2019	Learning non-smooth models: instrumental variable quantile regressions and related problems. (2019). Zhu, Yinchu. In: Papers. RePEc:arx:papers:1805.06855. Full description at Econpapers \|\| Download paper
2019	Identification and estimation of triangular models with a binary treatment. (2019). Pereda-FernÃÂ¡ndez, Santiago ; Fernandez, Santiago Pereda . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1210_19. Full description at Econpapers \|\| Download paper
2019	A closed-form estimator for quantile treatment effects with endogeneity. (2019). Wuthrich, Kaspar. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:219-235. Full description at Econpapers \|\| Download paper
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2019	Averaging estimation for instrumental variables quantile regression. (2019). Liu, Xin. In: Working Papers. RePEc:umc:wpaper:1907. Full description at Econpapers \|\| Download paper
2019	Unbiased Estimation as a Public Good. (2019). Kaplan, David. In: Working Papers. RePEc:umc:wpaper:1911. Full description at Econpapers \|\| Download paper
2019	Smoothed GMM for quantile models. (2019). Kaplan, David ; Liu, Xin ; Galvao, Antonio F ; de Castro, Luciano. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:121-144. Full description at Econpapers \|\| Download paper
2019	Quantiles via moments. (2019). Santos Silva, JoÃÂ£o ; Santos Silva, J. M. C., ; Jose , . In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:145-173. Full description at Econpapers \|\| Download paper
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2019	Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61. Full description at Econpapers \|\| Download paper
2019	Causal inference by quantile regression kink designs. (2019). Sasaki, Yuya ; Chiang, Harold D. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:405-433. Full description at Econpapers \|\| Download paper
2019	Peer Effects in Random Consideration Sets. (2019). Kashaev, Nail ; Lazzati, Natalia. In: Papers. RePEc:arx:papers:1904.06742. Full description at Econpapers \|\| Download paper
2019	A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527. Full description at Econpapers \|\| Download paper
2019	Nonparametric Gaussian inference for stable processes. (2019). Steland, Ansgar ; Mies, Fabian . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:22:y:2019:i:3:d:10.1007_s11203-018-9193-9. Full description at Econpapers \|\| Download paper
2019	Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity. (2019). Zhu, YU ; Grundl, Serafin. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:363-378. Full description at Econpapers \|\| Download paper
2019	Multimodality in Macro-Financial Dynamics. (2019). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:903. Full description at Econpapers \|\| Download paper
2019	Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013. Full description at Econpapers \|\| Download paper
2019	Testing treatment effect heterogeneity in regression discontinuity designs. (2019). Shen, Shu ; Hsu, Yu-Chin. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:468-486. Full description at Econpapers \|\| Download paper
2019	An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26. Full description at Econpapers \|\| Download paper
2019	Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models. (2019). Lee, Sokbae ; Chen, Le-Yu . In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:482-497. Full description at Econpapers \|\| Download paper
2019	Nonparametric tests for strategic interaction effects with rationalizability. (2019). Aradillas-Lopez, Andres. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:149-153. Full description at Econpapers \|\| Download paper
2019	Generalized Instrumental Variable Models, Methods, and Applications. (2019). Rosen, Adam ; Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:41/19. Full description at Econpapers \|\| Download paper
2019	Nonparametric Instrumental Variables Estimation Under Misspecification. (2019). Deaner, Ben. In: Papers. RePEc:arx:papers:1901.01241. Full description at Econpapers \|\| Download paper
2019	Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates. (2019). Li, Degui ; Chen, Xirong. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:433-450. Full description at Econpapers \|\| Download paper
2019	Residual bootstrap tests in linear models with many regressors. (2019). Richard, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:367-394. Full description at Econpapers \|\| Download paper
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2019	Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:30-53. Full description at Econpapers \|\| Download paper
2019	Robust optimization of forecast combinations. (2019). Karabati, Seluk ; Post, Thierry ; Arvanitis, Stelios. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:910-926. Full description at Econpapers \|\| Download paper
2019	Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345. Full description at Econpapers \|\| Download paper
2019	Relevant moment selection under mixed identification strength. (2019). Dovonon, Prosper ; Doko Tchatoka, Firmin ; Aguessy, Michael. In: School of Economics Working Papers. RePEc:adl:wpaper:2019-04. Full description at Econpapers \|\| Download paper
2019	On asymptotic size distortions in the random coefficients logit model. (2019). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:413-432. Full description at Econpapers \|\| Download paper
2019	The Uniform Validity of Impulse Response Inference in Autoregressions. (2019). Kilian, Lutz ; Inoue, Atsushi. In: Working Papers. RePEc:fip:feddwp:1908. Full description at Econpapers \|\| Download paper
2019	Specification tests for the propensity score. (2019). Song, Xiaojun. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:379-404. Full description at Econpapers \|\| Download paper
2019	Improved Central Limit Theorem and bootstrap approximations in high dimensions. (2019). Chernozhukov, Victor ; Koike, Yuta ; Kato, Kengo ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1912.10529. Full description at Econpapers \|\| Download paper
2019	Inference for Linear Conditional Moment Inequalities. (2019). Pakes, Ariel ; Roth, Jonathan ; Andrews, Isaiah. In: NBER Working Papers. RePEc:nbr:nberwo:26374. Full description at Econpapers \|\| Download paper
2019	Uniform Inference in Panel Autoregression. (2019). Phillips, Peter ; PEter, ; Chao, John C. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:45-:d:291103. Full description at Econpapers \|\| Download paper
2019	Cluster-Robust Standard Errors for Linear Regression Models with Many Controls. (2019). D'Adamo, Riccardo. In: Papers. RePEc:arx:papers:1806.07314. Full description at Econpapers \|\| Download paper
2019	On rank estimators in increasing dimensions. (2019). Zhou, Xiao-Hua ; Li, Wei ; Han, Fang ; Fan, Yanqin. In: Papers. RePEc:arx:papers:1908.05255. Full description at Econpapers \|\| Download paper
2019	Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:323-344. Full description at Econpapers \|\| Download paper
2019	Two-Step Estimation and Inference with Possibly Many Included Covariates. (2019). Jansson, Michael ; Ma, Xinwei ; Cattaneo, Matias D. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt86c7x315. Full description at Econpapers \|\| Download paper
2019	A simple method to estimate large fixed effects models applied to wage determinants. (2019). Mittag, Nikolas. In: Labour Economics. RePEc:eee:labeco:v:61:y:2019:i:c:s0927537119300922. Full description at Econpapers \|\| Download paper
2019	The identification problem for linear rational expectations models. (2019). Al-Sadoon, Majid ; Zwiernik, Piotr. In: Economics Working Papers. RePEc:upf:upfgen:1669. Full description at Econpapers \|\| Download paper
2019	The Identification Problem for Linear Rational Expectations Models. (2019). Al-Sadoon, Majid ; Zwiernik, Piotr. In: Working Papers. RePEc:bge:wpaper:1114. Full description at Econpapers \|\| Download paper
2019	Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice. (2019). Su, Liangjun ; Peng, Bin ; Feng, Guohua ; Yang, Thomas Tao. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:607-622. Full description at Econpapers \|\| Download paper
2019	Terms of Trade Effects of Productivity Shocks and Economic Development. (2019). Ozelik, Emre ; Tuan, Mustafa. In: MPRA Paper. RePEc:pra:mprapa:91473. Full description at Econpapers \|\| Download paper
2019	Exchange rate pass-through to import prices in Europe: A panel cointegration approach. (2019). Arsova, Antonia. In: Working Paper Series in Economics. RePEc:lue:wpaper:384. Full description at Econpapers \|\| Download paper
2019	Robust Nearly-Efficient Estimation of Large Panels with Factor Structures. (2019). Zaffaroni, Paolo ; Avarucci, Marco . In: Papers. RePEc:arx:papers:1902.11181. Full description at Econpapers \|\| Download paper
2019	Regime switching panel data models with interactive fixed effects. (2019). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:47-51. Full description at Econpapers \|\| Download paper
2019	A Uniform Bound of the Operator Norm of Random Element Matrices and Operator Norm Minimizing Estimation. (2019). Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1905.01096. Full description at Econpapers \|\| Download paper
2019	Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure. (2019). Yamagata, Takashi ; Sarafidis, Vasilis ; Cui, Guowei ; Norkute, Milda . In: ISER Discussion Paper. RePEc:dpr:wpaper:1019r. Full description at Econpapers \|\| Download paper
2019	Shrinkage Estimation of Network Spillovers with Factor Structured Errors. (2019). Martellosio, Federico ; Higgins, Ayden. In: Papers. RePEc:arx:papers:1909.02823. Full description at Econpapers \|\| Download paper
2019	Are larger labor market more resilient? Evidence of the French army restructuring on exit from unemployment. (2019). Vedrine, Lionel ; Sanch-Maritan, Mathieu. In: Working Papers. RePEc:hal:wpaper:hal-02332809. Full description at Econpapers \|\| Download paper
2019	Nonlinear factor models for network and panel data. (2019). Fernandez-Val, Ivan ; Chen, Mingli ; Weidner, Martin. In: CeMMAP working papers. RePEc:ifs:cemmap:18/19. Full description at Econpapers \|\| Download paper
2019	Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure. (2019). Sarafidis, Vasilis ; Cui, Guowei ; Yamagata, Takashi ; Norkute, Milda. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-32. Full description at Econpapers \|\| Download paper
2019	Weak Ï-convergence: Theory and applications. (2019). Sul, Donggyu ; Kong, Jianning. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:185-207. Full description at Econpapers \|\| Download paper
2019	Nonlinear Cointegrating Power Function Regression with Endogeneity. (2019). Phillips, Peter ; Wang, Qiying ; PEter, ; Hu, Zhishui. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2211. Full description at Econpapers \|\| Download paper
2019	Non-separable models with high-dimensional data. (2019). Su, Liangjun ; Ura, Takuya ; Zhang, Yichong. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:646-677. Full description at Econpapers \|\| Download paper
2019	On the uniform convergence of deconvolution estimators from repeated measurements. (2019). Otsu, Taisuke ; Kurisu, Daisuke. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:604. Full description at Econpapers \|\| Download paper
2019	Estimation of Varying Coefficient Models with Measurement Error. (2019). Dong, Hao ; Taylor, Luke ; Otsu, Taisuke. In: Departmental Working Papers. RePEc:smu:ecowpa:1905. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2019

Year	Citing document
2019	Testing nonparametric shape restrictions. (2019). Hidalgo, Javier ; Komarova, Tatiana. In: Papers. RePEc:arx:papers:1909.01675. Full description at Econpapers \|\| Download paper
2019	A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689. Full description at Econpapers \|\| Download paper
2019	Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers \|\| Download paper
2019	Improved Central Limit Theorem and bootstrap approximations in high dimensions. (2019). Chernozhukov, Victor ; Koike, Yuta ; Kato, Kengo ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1912.10529. Full description at Econpapers \|\| Download paper
2019	Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000. Full description at Econpapers \|\| Download paper
2019	Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, FrÃÂ©dÃÂ©rique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:crs:wpaper:2019-09. Full description at Econpapers \|\| Download paper
2019	Helicopter Drops of Money under Secular Stagnation. (2019). Michau, Jean-Baptiste. In: Working Papers. RePEc:crs:wpaper:2019-10. Full description at Econpapers \|\| Download paper
2019	Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053. Full description at Econpapers \|\| Download paper
2019	Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, FrÃÂ©dÃÂ©rique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: THEMA Working Papers. RePEc:ema:worpap:2019-07. Full description at Econpapers \|\| Download paper
2019	Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing . (2019). Bec, FrÃÂ©dÃÂ©rique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:hal:wpaper:hal-02175760*. Full description at Econpapers \|\| Download paper
2019	Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa. In: MPRA Paper. RePEc:pra:mprapa:92734. Full description at Econpapers \|\| Download paper
2019	Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26. Full description at Econpapers \|\| Download paper
2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers \|\| Download paper
2018	Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157. Full description at Econpapers \|\| Download paper
2018	A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557. Full description at Econpapers \|\| Download paper
2018	Medical Marijuana Laws and Mental Health in the United States. (2018). Stutzer, Alois ; Odermatt, Reto ; Kalbfuss, Jorg. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1546. Full description at Econpapers \|\| Download paper
2018	Dynamic Panel Modeling of Climate Change. (2018). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2150. Full description at Econpapers \|\| Download paper
2018	HAR Testing for Spurious Regression in Trend. (2018). Phillips, Peter ; Wang, Xiaohu ; Zhang, Yonghui ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2153. Full description at Econpapers \|\| Download paper
2018	A robust test for network generated dependence. (2018). Prucha, Ingmar ; Liu, Xiaodong. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:92-113. Full description at Econpapers \|\| Download paper
2018	Parallel 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. Full description at Econpapers \|\| Download paper
2018	Behavioral responses and welfare reform: Evidence from a randomized experiment. (2018). Hartley, Robert Paul ; Lamarche, Carlos . In: Labour Economics. RePEc:eee:labeco:v:54:y:2018:i:c:p:135-151. Full description at Econpapers \|\| Download paper
2018	Equilibrium selection, observability and backward-stable solutions. (2018). Evans, George W ; McGough, Bruce. In: Journal of Monetary Economics. RePEc:eee:moneco:v:98:y:2018:i:c:p:1-10. Full description at Econpapers \|\| Download paper
2018	Medical marijuana laws and mental health in the United States. (2018). Stutzer, Alois ; Odermatt, Reto ; Kalbfuss, Jorg. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:88697. Full description at Econpapers \|\| Download paper
2018	Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Fang, Ying ; Cai, Zongwu ; Tian, Dingshi. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201807. Full description at Econpapers \|\| Download paper
2018	Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837. Full description at Econpapers \|\| Download paper
2018	A Frequency-Domain Approach to Dynamic Macroeconomic Models. (2018). Tan, Fei. In: MPRA Paper. RePEc:pra:mprapa:90487. Full description at Econpapers \|\| Download paper
2018
2018	Nonparametric Estimation of the Error Functional of a Location-Scale Model. (2018). Torsen, Emmanuel ; Mungatu, Joseph K ; Mwita, Peter N. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:7:y:2018:i:4:f:7_4_1. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30. Full description at Econpapers \|\| Download paper
2017	Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers \|\| Download paper
2017	THE EFFECT OF MINIMUM WAGES ON EMPLOYMENT: A FACTOR MODEL APPROACH. (2017). Totty, Evan. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:1712-1737. Full description at Econpapers \|\| Download paper
2017	Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models. (2017). Hacioglu Hoke, Sinem ; Kapetanios, George. In: Bank of England working papers. RePEc:boe:boeewp:0683. Full description at Econpapers \|\| Download paper
2017	Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve. (2017). Bhattacharya, Debopam ; Kanaya, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1760. Full description at Econpapers \|\| Download paper
2017	Structural breaks in panel data: Large number of panels and short length time series. (2017). Wang, Shixuan ; Horvath, Lajos ; Hanousek, Jan ; Huskova, Marie ; Antoch, Jaromir . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11891. Full description at Econpapers \|\| Download paper
2017	Identification of Counterfactuals in Dynamic Discrete Choice Models. (2017). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12470. Full description at Econpapers \|\| Download paper
2017	Some copula inference procedures adapted to the presence of ties. (2017). Kojadinovic, Ivan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:24-41. Full description at Econpapers \|\| Download paper
2017	On bootstrap validity for specification testing with many weak instruments. (2017). Kaffo, Maximilien ; Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:107-111. Full description at Econpapers \|\| Download paper
2017	Spatial dynamic panel data models with interactive fixed effects. (2017). Lee, Lung-Fei ; Shi, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:323-347. Full description at Econpapers \|\| Download paper
2017	Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367. Full description at Econpapers \|\| Download paper
2017	Structural inference from reduced forms with many instruments. (2017). Phillips, Peter ; Gao, Wayne ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:96-116. Full description at Econpapers \|\| Download paper
2017	Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Tauchen, George ; Todorov, Viktor ; Li, Jia. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47. Full description at Econpapers \|\| Download paper
2017	The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics. (2017). Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:154-168. Full description at Econpapers \|\| Download paper
2017	Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135. Full description at Econpapers \|\| Download paper
2017	Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497. Full description at Econpapers \|\| Download paper
2017	Smoothing quantile regressions. (2017). Guerre, Emmanuel ; Fernandes, Marcelo ; Horta, Eduardo. In: Textos para discussÃ£o. RePEc:fgv:eesptd:457. Full description at Econpapers \|\| Download paper
2017	Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa17-3. Full description at Econpapers \|\| Download paper
2017	Evaluating local average and quantile treatment effects under endogeneity based on instruments: a review. (2017). WÃÂ¼thrich, Kaspar ; Huber, Martin ; Wuthrich, Kaspar. In: FSES Working Papers. RePEc:fri:fribow:fribow00479. Full description at Econpapers \|\| Download paper
2017	Binarization for panel models with fixed effects. (2017). Botosaru, Irene ; Muris, Chris. In: CeMMAP working papers. RePEc:ifs:cemmap:31/17. Full description at Econpapers \|\| Download paper
2017	Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (2017). Liu, Zhi. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0325-7. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30. Full description at Econpapers \|\| Download paper
2016	IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models. (2016). Phillips, Peter ; Lieberman, Offer ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2061. Full description at Econpapers \|\| Download paper
2016	Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202. Full description at Econpapers \|\| Download paper
2016	Dynamic panels with threshold effect and endogeneity. (2016). shin, yongcheol ; Seo, Myunghwan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:169-186. Full description at Econpapers \|\| Download paper
2016	International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Toupin, Dominique ; Gagnon, Marie-Helene . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255. Full description at Econpapers \|\| Download paper
2016	Single index quantile regression for heteroscedastic data. (2016). Christou, Eliana ; Akritas, Michael G. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:150:y:2016:i:c:p:169-182. Full description at Econpapers \|\| Download paper
2016	Exploiting the monthly data flow in structural forecasting. (2016). Reichlin, Lucrezia ; Monti, Francesca ; Giannone, Domenico. In: Journal of Monetary Economics. RePEc:eee:moneco:v:84:y:2016:i:c:p:201-215. Full description at Econpapers \|\| Download paper
2016	Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160. Full description at Econpapers \|\| Download paper
2016	The Value of Knowing the Propensity Score for Estimating Average Treatment Effects. (2016). Rothe, Christoph. In: IZA Discussion Papers. RePEc:iza:izadps:dp9989. Full description at Econpapers \|\| Download paper
2016	Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14. Full description at Econpapers \|\| Download paper
2016	A pairwise likelihood-based approach for changepoint detection in multivariate time series models. (2016). Ma, Ting Fung ; Yau, Chun Yip. In: Biometrika. RePEc:oup:biomet:v:103:y:2016:i:2:p:409-421.. Full description at Econpapers \|\| Download paper
2016	Controlling the Size of Autocorrelation Robust Tests. (2016). PÃÂ¶tscher, Benedikt ; Potscher, Benedikt M ; Preinerstorfer, David. In: MPRA Paper. RePEc:pra:mprapa:75657. Full description at Econpapers \|\| Download paper
2016	Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne. In: Research Memorandum. RePEc:unm:umagsb:2016039. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Journal of Econometrics / Elsevier	191	1275
2	Papers / arXiv.org	54	502
3	MPRA Paper / University Library of Munich, Germany	90	353
4	Econometrics / MDPI, Open Access Journal	11	180
5	Economics Letters / Elsevier	104	175
6	Economic Modelling / Elsevier	58	152
7	Journal of Time Series Analysis / Wiley Blackwell	28	151
8	CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies	32	134
9	Energy Economics / Elsevier	118	131
10	Journal of Multivariate Analysis / Elsevier	40	123
11	Computational Statistics & Data Analysis / Elsevier	38	114