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 0.08 1997 0.18 17 26 0 0 1 0.06 0.09 1998 0.06 0.2 10 34 17 1 0 0.12 1999 0.11 0.27 2 0 27 3 0 0.16 2000 0.17 0.37 22 79 12 2 0 9 0.41 0.19 2001 0.25 0.37 12 62 24 6 50 5 0.42 0.18 2002 0.26 0.4 7 10 34 9 0 1 0.14 0.19 2003 0.42 0.41 12 44 19 8 25 1 0.08 0.2 2004 0.47 0.46 6 3 19 9 0 2 0.33 0.22 2005 0.17 0.47 10 26 18 3 33.3 2 0.2 0.27 2006 0.19 0.5 13 14 16 3 66.7 4 0.31 0.27 2007 0.3 0.43 10 4 23 7 28.6 2 0.2 0.22 2008 0.26 0.41 0 23 6 0 0.22
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:/2000/386 The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions (2000).
Cited: 27 times.

(2) RePEc:cep:stiecm:/2001/420 Semiparametric Fractional Cointegration Analysis (2001).
Cited: 26 times.

(3) 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: 23 times.

(4) RePEc:cep:stiecm:/2003/450 Estimation of Semiparametric Models when the Criterion Function is not Smooth (2003).
Cited: 22 times.

(5) RePEc:cep:stiecm:/2001/421 Narrow-Band Analysis of Nonstationary Processes (2001).
Cited: 17 times.

(6) 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.

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

(8) RePEc:cep:stiecm:/2001/410 The Memory of Stochastic Volatility Models (2001).
Cited: 13 times.

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

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

(11) RePEc:cep:stiecm:/2006/509 Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError (2006).
Cited: 8 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: 7 times.

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

(14) RePEc:cep:stiecm:/2005/482 Distribution Free Goodness-of-Fit Tests for Linear Processes (2005).
Cited: 7 times.

(15) 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: 7 times.

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

(17) RePEc:cep:stiecm:/2003/453 Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods (2003).
Cited: 7 times.

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

(19) RePEc:cep:stiecm:/2003/451 Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (2003).
Cited: 6 times.

(20) RePEc:cep:stiecm:/2001/423 Determination of Cointegrating Rank in Fractional Systems (2001).
Cited: 6 times.

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

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

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

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

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

(26) 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.

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

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

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

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

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

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

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

(34) 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.

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

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

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

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

(39) RePEc:cep:stiecm:/1998/350 Aggregation of Simple Linear Dynamics: Exact Asymptotic Results (1998).
Cited: 1 times.

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

(41) RePEc:cep:stiecm:/2007/523 Inference about Realized Volatility using Infill Subsampling (2007).
Cited: 1 times.

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

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

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

(45) RePEc:cep:stiecm:/2004/474 Nonparametric Inference for Unbalanced Time Series Data (2004).
Cited: 1 times.

(46) RePEc:cep:stiecm:/2007/519 Fractional Cointegration In StochasticVolatility Models (2007).
Cited: 1 times.

(47) RePEc:cep:stiecm:/1997/326 Semiparametric Estimation of a Sample Selection Model: A Simulation Study (1997).
Cited: 1 times.

(48) RePEc:cep:stiecm:/2002/436 Higher-Order Kernel Semiparametric M-Estimation of Long Memory (2002).
Cited: 1 times.

(49) RePEc:cep:stiecm:/06/499 ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION (2006).
Cited: 1 times.

(50) 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.

Recent citations received in: | 2008 | 2007 | 2006 | 2005

Recent citations received in: 2008

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

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.