Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.18 17 26 0 0 1 0.06 0.09 1998 0.06 0.21 10 35 17 1 0 0.13 1999 0.15 0.29 2 0 27 4 0 0.17 2000 0.17 0.39 22 76 12 2 0 8 0.36 0.2 2001 0.21 0.37 12 62 24 5 60 4 0.33 0.18 2002 0.32 0.42 7 9 34 11 0 0.2 2003 0.42 0.43 12 41 19 8 25 1 0.08 0.21 2004 0.47 0.49 6 3 19 9 0 2 0.33 0.24 2005 0.22 0.5 10 26 18 4 25 2 0.2 0.29 2006 0.25 0.53 13 15 16 4 50 4 0.31 0.28 2007 0.35 0.44 10 4 23 8 25 2 0.2 0.24
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:cep:stiecm:/2001/420 Semiparametric Fractional Cointegration Analysis (2001).
Cited: 25 times.

(2) RePEc:cep:stiecm:/2000/391 Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) (2000).
Cited: 24 times.

(3) RePEc:cep:stiecm:/2000/386 The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions (2000).
Cited: 23 times.

(4) RePEc:cep:stiecm:/2003/450 Estimation of Semiparametric Models when the Criterion Function is not Smooth (2003).
Cited: 19 times.

(5) RePEc:cep:stiecm:/2001/421 Narrow-Band Analysis of Nonstationary Processes (2001).
Cited: 18 times.

(6) RePEc:cep:stiecm:/1997/328 The Method of Simulated Scores for the Estimation of LDV Models (1997).
Cited: 16 times.

(7) RePEc:cep:stiecm:/1998/359 Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.) (1998).
Cited: 16 times.

(8) RePEc:cep:stiecm:/2001/410 The Memory of Stochastic Volatility Models (2001).
Cited: 12 times.

(9) RePEc:cep:stiecm:/2005/483 The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives (2005).
Cited: 9 times.

(10) RePEc:cep:stiecm:/2006/509 Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError (2006).
Cited: 9 times.

(11) RePEc:cep:stiecm:/2001/424 Gaussian Estimation of Parametric Spectral Density with Unknown Pole (2001).
Cited: 9 times.

(12) RePEc:cep:stiecm:/1998/365 Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.) (1998).
Cited: 8 times.

(13) RePEc:cep:stiecm:/2001/423 Determination of Cointegrating Rank in Fractional Systems (2001).
Cited: 8 times.

(14) RePEc:cep:stiecm:/1998/357 Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.) (1998).
Cited: 8 times.

(15) RePEc:cep:stiecm:/2002/433 Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002).
Cited: 7 times.

(16) RePEc:cep:stiecm:/2003/451 Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (2003).
Cited: 7 times.

(17) RePEc:cep:stiecm:/2000/408 The Averaged Periodogram for Nonstationary Vector Time Series (2000).
Cited: 7 times.

(18) RePEc:cep:stiecm:/2003/453 Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods (2003).
Cited: 6 times.

(19) RePEc:cep:stiecm:/2000/402 Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income (2000).
Cited: 6 times.

(20) RePEc:cep:stiecm:/2005/482 Distribution Free Goodness-of-Fit Tests for Linear Processes (2005).
Cited: 6 times.

(21) RePEc:cep:stiecm:/2000/400 Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems (2000).
Cited: 5 times.

(22) RePEc:cep:stiecm:/1997/340 Some Practical Issues in Maximum Simulated Likelihood (1997).
Cited: 5 times.

(23) RePEc:cep:stiecm:/2005/486 A Parametric Bootstrap Test for Cycles (2005).
Cited: 4 times.

(24) RePEc:cep:stiecm:/1997/323 Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in Journal of Time Series Analysis, 18 (1997), pp.49-60.) (1997).
Cited: 3 times.

(25) RePEc:cep:stiecm:/2003/463 A Quantilogram Approach to Evaluating Directional Predictability (2003).
Cited: 3 times.

(26) RePEc:cep:stiecm:/2000/406 Whittle Estimation of ARCH Models (2000).
Cited: 3 times.

(27) RePEc:cep:stiecm:/2004/480 Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series (2004).
Cited: 2 times.

(28) RePEc:cep:stiecm:/2000/392 Semi-Parametric Indirect Inference (2000).
Cited: 2 times.

(29) RePEc:cep:stiecm:/2005/492 Modified Whittle Estimation of Multilateral Models on a Lattice (2005).
Cited: 2 times.

(30) RePEc:cep:stiecm:/06/497 Consistent estimation of the memory parameterfor nonlinear time series (2006).
Cited: 2 times.

(31) RePEc:cep:stiecm:/2005/485 Testable Implications of Forecast Optimality (2005).
Cited: 2 times.

(32) RePEc:cep:stiecm:/1998/354 Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.) (1998).
Cited: 2 times.

(33) RePEc:cep:stiecm:/2005/481 Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole (2005).
Cited: 2 times.

(34) RePEc:cep:stiecm:/2000/396 Simulated Asymptotic Least Squares Theory (2000).
Cited: 2 times.

(35) RePEc:cep:stiecm:/2003/449 Cointegration in Fractional Systems with Unkown Integration Orders (2003).
Cited: 2 times.

(36) RePEc:cep:stiecm:/2006/497 Consistent estimation of the memory parameterfor nonlinear time series (2006).
Cited: 2 times.

(37) RePEc:cep:stiecm:/2003/455 Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos (2003).
Cited: 2 times.

(38) RePEc:cep:stiecm:/2003/452 An Alternative Bootstrap to Moving Blocks for Time Series Regression Models (2003).
Cited: 2 times.

(39) RePEc:cep:stiecm:/2000/380 On Intercept Estimation in the Sample Selection Model (2000).
Cited: 2 times.

(40) RePEc:cep:stiecm:/2000/397 Nonparametric Estimation with Aggregated Data (2000).
Cited: 1 times.

(41) RePEc:cep:stiecm:/2006/499 ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION (2006).
Cited: 1 times.

(42) RePEc:cep:stiecm:/2001/416 Parametric Estimation under Long-Range Dependence (2001).
Cited: 1 times.

(43) RePEc:cep:stiecm:/2007/522 DIAGNOSTIC TESTING FOR COINTEGRATION (2007).
Cited: 1 times.

(44) RePEc:cep:stiecm:/2002/438 Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory (2002).
Cited: 1 times.

(45) RePEc:cep:stiecm:/2007/517 Estimation of Nonlinear Error CorrectionModels (2007).
Cited: 1 times.

(46) RePEc:cep:stiecm:/2000/390 Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539. (2000).
Cited: 1 times.

(47) RePEc:cep:stiecm:/2006/504 TESTING FOR STOCHASTICMONOTONICITY (2006).
Cited: 1 times.

(48) RePEc:cep:stiecm:/2000/383 Stationarity and Memory of ARCH Models (2000).
Cited: 1 times.

(49) RePEc:cep:stiecm:/1997/329 Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices (1997).
Cited: 1 times.

(50) RePEc:cep:stiecm:/2006/502 Semiparametric Estimation of Fractional Cointegration (2006).
Cited: 1 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:aah:create:2007-38 Likelihood-Based Inference in Nonlinear Error-Correction Models (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(2) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

Recent citations received in: 2006

(1) RePEc:cep:stiecm:/2006/500 Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions (2006). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(2) RePEc:nuf:econwp:0603 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(3) RePEc:nuf:econwp:0610 Subsampling realised kernels (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(4) RePEc:oxf:wpaper:264 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). University of Oxford, Department of Economics / Economics Series Working Papers

Recent citations received in: 2005

(1) RePEc:cep:stiecm:/2005/481 Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole (2005). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(2) RePEc:cep:stiecm:/2005/486 A Parametric Bootstrap Test for Cycles (2005). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

Recent citations received in: 2004

(1) RePEc:cep:stiecm:/2004/476 Cointegration in Fractional Systems with Deterministic Trends (2004). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(2) RePEc:cwl:cwldpp:1469 Automated Discovery in Econometrics (2004). Cowles Foundation, Yale University / Cowles Foundation Discussion Papers

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.