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Citation Profile [Updated: 2021-03-03 18:38:23]
5 Years H
80
Impact Factor
0.87
5 Years IF
0.97
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 61 685 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 1026 28 49 105 10 236 18 0 4 0.08 0.04
1992 0.05 0.09 0.19 0.06 72 186 840 29 84 114 6 253 16 0 2 0.03 0.04
1993 0.07 0.11 0.11 0.05 79 265 885 29 113 125 9 286 15 0 3 0.04 0.05
1994 0.09 0.12 0.19 0.09 71 336 1418 56 176 151 14 309 28 0 6 0.08 0.06
1995 0.15 0.19 0.31 0.18 100 436 3207 131 310 150 22 336 60 0 8 0.08 0.08
1996 0.26 0.22 0.4 0.27 81 517 1167 203 515 171 45 375 100 0 5 0.06 0.1
1997 0.29 0.22 0.36 0.21 74 591 1437 211 728 181 53 403 84 0 14 0.19 0.1
1998 0.3 0.26 0.54 0.34 45 636 1202 337 1069 155 47 405 138 3 0.9 5 0.11 0.12
1999 0.39 0.27 0.59 0.43 41 677 1147 394 1467 119 47 371 161 4 1 18 0.44 0.13
2000 0.71 0.32 0.77 0.64 48 725 1193 541 2022 86 61 341 218 4 0.7 13 0.27 0.14
2001 0.61 0.35 0.73 0.61 46 771 754 545 2586 89 54 289 176 0 12 0.26 0.15
2002 0.62 0.38 0.71 0.72 70 841 1591 587 3183 94 58 254 182 0 24 0.34 0.19
2003 0.73 0.4 0.85 0.76 80 921 1177 775 3970 116 85 250 190 4 0.5 25 0.31 0.19
2004 0.69 0.44 1.02 0.81 66 987 2384 984 4979 150 104 285 232 14 1.4 18 0.27 0.2
2005 0.67 0.46 1 0.75 61 1048 1663 1027 6024 146 98 310 234 4 0.4 42 0.69 0.21
2006 1.04 0.46 1.15 0.87 57 1105 693 1228 7291 127 132 323 281 0 28 0.49 0.21
2007 0.79 0.42 1 0.85 53 1158 480 1113 8452 118 93 334 284 11 1 19 0.36 0.18
2008 0.84 0.44 1.21 1.14 69 1227 1319 1448 9933 110 92 317 362 6 0.4 59 0.86 0.2
2009 0.91 0.43 1.28 1.25 82 1309 1247 1660 11609 122 111 306 384 0 53 0.65 0.21
2010 0.86 0.43 1.09 0.84 67 1376 1283 1488 13115 151 130 322 270 5 0.3 28 0.42 0.18
2011 1.05 0.45 1.16 0.87 50 1426 550 1640 14770 149 156 328 286 0 29 0.58 0.2
2012 1.33 0.45 1.3 1.19 53 1479 635 1910 16689 117 156 321 381 13 0.7 21 0.4 0.19
2013 1.13 0.51 1.34 1.31 45 1524 408 2045 18736 103 116 321 419 4 0.2 17 0.38 0.21
2014 1.05 0.53 1.26 1.24 43 1567 235 1964 20711 98 103 297 367 0 12 0.28 0.2
2015 1.06 0.53 1.3 1.3 51 1618 291 2095 22809 88 93 258 336 4 0.2 25 0.49 0.2
2016 0.76 0.52 1.2 0.88 39 1657 192 1993 24804 94 71 242 213 1 0.1 13 0.33 0.19
2017 0.79 0.53 1.15 0.92 48 1705 150 1962 26769 90 71 231 212 0 21 0.44 0.19
2018 0.87 0.59 1.09 0.93 46 1751 102 1914 28686 87 76 226 211 3 0.2 18 0.39 0.23
2019 0.76 0.67 0.96 0.78 32 1783 44 1713 30399 94 71 227 178 0 11 0.34 0.25
2020 0.87 1.01 1.07 0.97 34 1817 10 1953 32352 78 68 216 209 0 10 0.29 0.4
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
#YearTitleCited
11995Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00.

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1682
22004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20.

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1395
32003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19.

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603
41991Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00.

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524
51996Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00.

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469
61993Testing 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.

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402
72005AUTOMATED 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.

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372
81997Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00.

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333
91990Stationarity 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.

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330
101999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Baltagi, Badi ; Wu, Ping X.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15.

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274
111998STRONG 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.

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265
121994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). shin, yongcheol. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00.

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258
131994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00.

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257
142009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09.

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257
152004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20.

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251
162002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong ; Carrasco, Marine. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

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242
172001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). Lippi, Marco ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17.

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214
181996Markov Chain Monte Carlo Simulation Methods in Econometrics. (1996). Greenberg, Edward ; Chib, Siddhartha . In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00.

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199
191986Asymptotic Theory for ARCH Models: Estimation and Testing. (1986). Weiss, Andrew A.. In: Econometric Theory. RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01.

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192
201995Inference in Models with Nearly Integrated Regressors. (1995). Elliott, Graham ; Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00.

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183
212005MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). Pötscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05.

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183
222005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

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180
231998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Simar, Leopold ; Kneip, Alois ; Park, Byeong U.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14.

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179
241988Statistical Inference in Regressions with Integrated Processes: Part 1. (1988). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01.

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174
251997Optimal Prediction Under Asymmetric Loss. (1997). Diebold, Francis ; Christoffersen, Peter. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00.

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174
262002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18.

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167
271997Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00.

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165
282000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut. In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16.

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165
291992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01.

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165
301991Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00.

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165
312002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS. (2002). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18.

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161
321998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). White, Halbert ; Stinchcombe, Maxwell. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14.

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156
331992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01.

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155
342008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix ; Lieberman, Offer. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

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152
351995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (1995). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00.

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152
361999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1999). Phillips, Peter ; Park, Joon. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15.

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152
371995Causality in the Long Run. (1995). Lin, Jin-Lung ; Clive, W. J.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00.

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151
381997Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995. (1997). Baltagi, Badi ; Boozer, Michael A.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00.

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148
392009GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Carrion-i-Silvestre, Josep Llu?s, . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99.

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146
401989Statistical Inference in Regressions with Integrated Processes: Part 2. (1989). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01.

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145
412008UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA. (2008). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:726-748_08.

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141
422008ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS. (2008). Wilson, Paul ; Simar, Leopold ; Kneip, Alois. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1663-1697_08.

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135
432005NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH. (2005). THOMAS-AGNAN, Christine ; Daouia, Abdelaati ; Aragon, Y.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:02:p:358-389_05.

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132
441989Testing for Unit Roots in Time Series Data. (1989). Pantula, Sastry G.. In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01.

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132
451989Partially Identified Econometric Models. (1989). Phillips, Peter ; Phillips, P. C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01.

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130
461988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data. (1988). Lo, Andrew. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:02:p:231-247_01.

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129
472002CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18.

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126
482005ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. (2005). Pesaran, M ; hsiao, cheng ; Binder, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05.

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125
491988Partially 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.

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123
501990A Unified Approach to Robust, Regression-Based Specification Tests. (1990). Wooldridge, Jeffrey. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:01:p:17-43_00.

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123
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20.

Full description at Econpapers || Download paper

234
21995Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00.

Full description at Econpapers || Download paper

190
31993Testing 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

70
41991Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00.

Full description at Econpapers || Download paper

58
52004INSTRUMENTAL 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

47
62012A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Song, Song ; Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K.. In: Econometric Theory. RePEc:cup:etheor:v:28:y:2012:i:04:p:861-887_00.

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41
72003ASYMPTOTIC 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

39
82005MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). Pötscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05.

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39
92009OPENING 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

36
102005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

Full description at Econpapers || Download paper

36
111997Estimating 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

35
122009GLS-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

32
132008UNIFORM 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

32
141999UNEQUALLY 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

29
152008ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS. (2008). Wilson, Paul ; Simar, Leopold ; Kneip, Alois. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1663-1697_08.

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24
162008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES. (2008). Johansen, Soren. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08.

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24
172005NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH. (2005). THOMAS-AGNAN, Christine ; Daouia, Abdelaati ; Aragon, Y.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:02:p:358-389_05.

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23
181992Estimation 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

23
191991Asymptotics 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

22
201996Which 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

21
212013A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS. (2013). Politis, Dimitris N. ; Giacomini, Raffaella ; White, Halbert. In: Econometric Theory. RePEc:cup:etheor:v:29:y:2013:i:03:p:567-589_00.

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21
222017DYNAMIC 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.

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21
232002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong ; Carrasco, Marine. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

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241994Kernel Estimation of Partial Means and a General Variance Estimator. (1994). Newey, Whitney. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:02:p:1-21_00.

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251998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Simar, Leopold ; Kneip, Alois ; Park, Byeong U.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14.

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262015TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS. (2015). Inoue, Atsushi ; Han, Xu. In: Econometric Theory. RePEc:cup:etheor:v:31:y:2015:i:05:p:1117-1152_00.

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271997Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00.

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282010TIME-VARYING COINTEGRATION. (2010). Martins, Luis ; Bierens, Herman. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:05:p:1453-1490_99.

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292010EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND. (2010). Shimotsu, Katsumi. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:501-540_10.

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301999COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS. (1999). Park, Joon ; Hahn, Sang B.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:05:p:664-703_15.

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312005ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. (2005). Pesaran, M ; hsiao, cheng ; Binder, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05.

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321994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). shin, yongcheol. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00.

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332000GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS. (2000). Carrasco, Marine ; FLORENS, Jean-Pierre. In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:06:p:797-834_16.

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341997Optimal Prediction Under Asymmetric Loss. (1997). Diebold, Francis ; Christoffersen, Peter. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00.

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352010A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS. (2010). Yu, Jihai ; Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:564-597_10.

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362002TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS. (2002). Whited, Toni ; Erickson, Timothy . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:776-799_18.

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371990Stationarity 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.

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381996Conditional Quantile Estimation and Inference for Arch Models. (1996). Zhao, Quanshui ; Koenker, Roger. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:05:p:793-813_00.

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392010GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY. (2010). Phillips, Peter ; Han, Chirok ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:119-151_09.

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402002HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE. (2002). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:06:p:1350-1366_18.

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412010PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION. (2010). Ng, Serena ; Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:04:p:1088-1114_99.

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421988Statistical Inference in Regressions with Integrated Processes: Part 1. (1988). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01.

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432013TESTING 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.

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441988Partially 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.

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452010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT. (2010). Ng, Serena ; Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:06:p:1577-1606_99.

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462008FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES. (2008). Wolf, Michael ; Shaikh, Azeem ; Romano, Joseph P.. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:02:p:404-447_08.

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471994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00.

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482002CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18.

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492010EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES. (2010). Liu, Xiaodong ; Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:187-230_09.

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502005HAC ESTIMATION BY AUTOMATED REGRESSION. (2005). Phillips, Peter. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:116-142_05.

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2020On 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.

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2020Out 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.

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2020Trend 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.

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2020Kolmogorov–Smirnov type test for generated variables. (2020). Taniguchi, GO ; Otsu, Taisuke. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302500.

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Recent citations received in 2019

YearCiting document
2019Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2019Improved 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.

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2019Macro-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.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:crs:wpaper:2019-09.

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2019Helicopter Drops of Money under Secular Stagnation. (2019). Michau, Jean-Baptiste. In: Working Papers. RePEc:crs:wpaper:2019-10.

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2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: THEMA Working Papers. RePEc:ema:worpap:2019-07.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing *. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:hal:wpaper:hal-02175760.

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2019Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa. In: MPRA Paper. RePEc:pra:mprapa:92734.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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Recent citations received in 2018

YearCiting document
2018State-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.

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2018State-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.

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2018Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157.

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2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

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2018Medical Marijuana Laws and Mental Health in the United States. (2018). Stutzer, Alois ; Odermatt, Reto ; Kalbfuss, Jorg. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1546.

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2018Dynamic Panel Modeling of Climate Change. (2018). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2150.

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2018HAR Testing for Spurious Regression in Trend. (2018). Phillips, Peter ; Wang, Xiaohu ; Zhang, Yonghui ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2153.

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2018A 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.

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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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2018Behavioral 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.

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2018Equilibrium 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.

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2018Medical 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.

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2018Econometric 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.

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2018Change 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.

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2018A Frequency-Domain Approach to Dynamic Macroeconomic Models. (2018). Tan, Fei. In: MPRA Paper. RePEc:pra:mprapa:90487.

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2018
2018Nonparametric 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.

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Recent citations received in 2017

YearCiting document
2017Is 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.

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

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

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2017Uniform 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.

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2017Structural 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.

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2017Identification of Counterfactuals in Dynamic Discrete Choice Models. (2017). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12470.

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

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

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

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

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

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

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

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

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

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

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2017Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa17-3.

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

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

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2017Powerful t-Tests in the presence of nonclassical measurement error. (2017). Wilhelm, Daniel ; Kim, Dongwoo. In: CeMMAP working papers. RePEc:ifs:cemmap:57/17.

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

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