Citation analysis for Econometric Theory / Cambridge University Press

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

0.86

5 Years IF

0.91

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	0.1	0.09	0.33	0.09	61	61	698	19	20	100	10	199	17	1	5.3	2	0.03	0.04
1991	0.1	0.08	0.25	0.08	53	114	1059	28	49	105	10	236	18		0	4	0.08	0.04
1992	0.05	0.09	0.19	0.06	72	186	876	29	84	114	6	253	16		0	2	0.03	0.04
1993	0.07	0.11	0.11	0.05	79	265	915	29	113	125	9	286	15		0	3	0.04	0.05
1994	0.09	0.12	0.18	0.09	71	336	1453	55	175	151	14	309	27		0	6	0.08	0.06
1995	0.15	0.19	0.31	0.18	100	436	3295	130	308	150	22	336	60		0	8	0.08	0.08
1996	0.26	0.22	0.4	0.27	81	517	1184	203	513	171	45	375	100		0	5	0.06	0.1
1997	0.3	0.22	0.36	0.21	74	591	1488	213	728	181	54	403	85		0	14	0.19	0.09
1998	0.3	0.26	0.53	0.34	45	636	1209	337	1067	155	47	405	137	3	0.9	5	0.11	0.12
1999	0.39	0.27	0.59	0.44	41	677	1178	396	1467	119	47	371	162	4	1	18	0.44	0.13
2000	0.71	0.32	0.77	0.64	48	725	1231	542	2024	86	61	341	219	4	0.7	13	0.27	0.14
2001	0.61	0.35	0.73	0.61	46	771	777	545	2588	89	54	289	176		0	12	0.26	0.15
2002	0.63	0.37	0.71	0.72	70	841	1628	591	3189	94	59	254	183		0	24	0.34	0.19
2003	0.72	0.4	0.85	0.75	80	921	1148	767	3968	116	84	250	188	4	0.5	25	0.31	0.19
2004	0.7	0.44	1.03	0.82	66	987	2613	989	4981	150	105	285	233	14	1.4	18	0.27	0.2
2005	0.67	0.45	1.01	0.76	61	1048	1708	1038	6036	146	98	310	235	4	0.4	43	0.7	0.21
2006	1.05	0.46	1.16	0.88	57	1105	736	1247	7321	127	133	323	283		0	28	0.49	0.2
2007	0.78	0.42	1	0.85	53	1158	500	1109	8477	118	92	334	283	11	1	19	0.36	0.18
2008	0.84	0.44	1.21	1.14	69	1227	1383	1449	9957	110	92	317	362	6	0.4	59	0.86	0.2
2009	0.87	0.43	1.25	1.21	82	1309	1300	1618	11591	122	106	306	370		0	49	0.6	0.21
2010	0.85	0.43	1.09	0.83	67	1376	1388	1484	13091	151	129	322	268	5	0.3	27	0.4	0.18
2011	1.05	0.45	1.13	0.87	50	1426	584	1595	14700	149	157	328	285		0	28	0.56	0.2
2012	1.33	0.45	1.29	1.17	53	1479	704	1896	16605	117	156	321	375	13	0.7	21	0.4	0.19
2013	1.1	0.5	1.33	1.3	45	1524	457	2029	18636	103	113	321	416	4	0.2	17	0.38	0.21
2014	1.05	0.51	1.26	1.24	43	1567	263	1959	20605	98	103	297	367		0	12	0.28	0.2
2015	1.06	0.5	1.3	1.3	51	1618	334	2095	22704	88	93	258	336	4	0.2	26	0.51	0.19
2016	0.77	0.5	1.19	0.88	39	1657	241	1963	24669	94	72	242	214	1	0.1	13	0.33	0.18
2017	0.79	0.5	1.16	0.92	48	1705	211	1982	26654	90	71	231	213		0	22	0.46	0.18
2018	0.9	0.54	1.11	0.95	46	1751	150	1948	28606	87	78	226	215	3	0.2	17	0.37	0.21
2019	0.79	0.58	0.98	0.8	32	1783	70	1747	30356	94	74	227	182		0	10	0.31	0.21
2020	0.86	0.75	1.07	0.91	34	1817	31	1953	32309	78	67	216	197		0	9	0.26	0.29

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	1726
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	1570
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	558
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	542
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	473
6	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	428
7	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	349
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	337
9	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	321
10	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	285
11	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	270
12	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	268
13	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	259
14	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	259
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	252
16	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	247
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	218
18	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÆÃÂ¶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	203
19	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	201
20	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	196
21	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	195
22	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	188
23	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	185
24	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	179
25	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	178
26	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	177
27	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	174
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	171
29	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	171
30	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	170
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	161
32	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	160
33	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	159
34	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	158
35	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	155
36	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	154
37	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	150
38	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	148
39	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	148
40	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	148
41	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	146
42	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	141
43	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	134
44	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	134
45	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	133
46	1988	Maximum Likelihood Estimation of Generalized ItÃÂ´ 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	132
47	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	131
48	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	131
49	2012	A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Song, Song ; HÃÆÃÂ¤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	130
50	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	125

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	378
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	248
3	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	94
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	74
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	62
6	2012	A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Song, Song ; HÃÆÃÂ¤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	57
7	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÆÃÂ¶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	55
8	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	51
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	49
10	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	48
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	47
12	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	43
13	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	40
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	38
15	2017	DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS. (2017). Weidner, Martin ; Moon, Hyungsik Roger. In: Econometric Theory. RePEc:cup:etheor:v:33:y:2017:i:01:p:158-195_00. Full description at Econpapers \|\| Download paper	38
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2020	A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frdric. In: Working Papers. RePEc:crs:wpaper:2020-28. Full description at Econpapers \|\| Download paper
2020	A simple unit root test consistent against any stationary alternative. (2020). Bec, FrÃÂ©dÃÂ©rique ; Guay, Alain. In: THEMA Working Papers. RePEc:ema:worpap:2020-10. Full description at Econpapers \|\| Download paper
2020	Loan market markups and noncausal autoregressions. (2020). Kramkov, Viacheslav ; Maksimov, Andrey. In: Applied Econometrics. RePEc:ris:apltrx:0406. Full description at Econpapers \|\| Download paper
2020	Multiway Cluster Robust Double/Debiased Machine Learning. (2019). Sasaki, Yuya ; Ma, Yukun ; Kato, Kengo ; Chiang, Harold D. In: Papers. RePEc:arx:papers:1909.03489. Full description at Econpapers \|\| Download paper
2020	Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747. Full description at Econpapers \|\| Download paper
2020	Tests for multivariate normalityâa critical review with emphasis on weighted $$L^2$$ L 2 -statistics. (2020). Henze, Norbert ; Ebner, Bruno. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:4:d:10.1007_s11749-020-00740-0. Full description at Econpapers \|\| Download paper
2020	Comments on: Tests for multivariate normalityâa critical review with emphasis on weighted $$L^2$$ L 2 -statistics. (2020). Jimenez-Gamero, Dolores M. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:4:d:10.1007_s11749-020-00742-y. Full description at Econpapers \|\| Download paper
2020	Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:3:p:631-651. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document
2020	Revisiting empirical studies on the liquidity effect: An identication-robust approach. (2020). Masson, Virginie ; Doko Tchatoka, Firmin ; Slinger, Lauren. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-02. Full description at Econpapers \|\| Download paper
2020	Boosting the Hodrick-Prescott Filter. (2019). Phillips, Peter ; Shi, Zhentao ; PEter, . In: Papers. RePEc:arx:papers:1905.00175. Full description at Econpapers \|\| Download paper
2020	On the Time Trend of COVID-19: A Panel Data Study. (2020). Gao, Jiti ; Dong, Chaohua ; Peng, Bin ; Linton, Oliver. In: Papers. RePEc:arx:papers:2006.11060. Full description at Econpapers \|\| Download paper
2020	A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers \|\| Download paper
2020	On Time Trend of COVID-19: A Panel Data Study. (2020). Peng, B ; Linton, O ; Gao, J ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2065. Full description at Econpapers \|\| Download paper
2020	Out of sample predictability in predictive regressions with many predictor candidates. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31554. Full description at Econpapers \|\| Download paper
2020	Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve. (2020). Xia, Huizhu ; Chen, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:595-604. Full description at Econpapers \|\| Download paper
2020	KolmogorovâSmirnov type test for generated variables. (2020). Taniguchi, GO ; Otsu, Taisuke. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302500. Full description at Econpapers \|\| Download paper
2020	Aggregation of Seasonal Long-Memory Processes. (2020). del Barrio Castro, TomÃÆÃÂ¡s ; Rachinger, Heiko. In: MPRA Paper. RePEc:pra:mprapa:102890. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
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, FrÃÆÃÂ©dÃÆÃÂ©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, FrÃÆÃÂ©dÃÆÃÂ©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, FrÃÆÃÂ©dÃÆÃÂ©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	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	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 discussÃÂ£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). WÃÆÃÂ¼thrich, 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	Powerful t-Tests in the presence of nonclassical measurement error. (2017). Wilhelm, Daniel ; Kim, Dongwoo. In: CeMMAP working papers. RePEc:ifs:cemmap:57/17. Full description at Econpapers \|\| Download paper
2017	Vulnerable Growth. (2017). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: 2017 Meeting Papers. RePEc:red:sed017:1317. 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

10 most frequent citing series

#	Series	H	Cites
1	Journal of Econometrics / Elsevier	203	1260
2	Papers / arXiv.org	65	818
3	MPRA Paper / University Library of Munich, Germany	103	407
4	Economics Letters / Elsevier	112	207
5	Econometrics / MDPI	15	191
6	Economic Modelling / Elsevier	69	175
7	Energy Economics / Elsevier	135	151
8	Empirical Economics / Springer	59	148
9	Journal of Time Series Analysis / Wiley Blackwell	32	127
10	Computational Statistics & Data Analysis / Elsevier	44	125
11	Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University	64	125