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Econometric Theory Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.
Most cited documents in this series: (1) RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00 Multivariate Simultaneous Generalized ARCH (1995). (2) RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00 Which Moments to Match? (1996). (3) RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00 Econometric Analysis of Panel Data (1997). (4) RePEc:cup:etheor:v:12:y:1996:i:4:p:657-81 Which Moments to Match? (). (5) RePEc:cup:etheor:v:11:y:1995:i:1:p:122-50 Multivariate Simultaneous Generalized ARCH. (). (6) RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19 ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003). (7) RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20 PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004). (8) RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00 Estimating Multiple Breaks One at a Time (1997). (9) RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00 Markov Chain Monte Carlo Simulation Methods in Econometrics (1996). (10) RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00 Asymptotically Efficient Estimation of Cointegration Regressions (1991). (11) RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00 Optimal Prediction Under Asymmetric Loss (1997). (12) RePEc:cup:etheor:v:12:y:1996:i:3:p:409-31 Markov Chain Monte Carlo Simulation Methods in Econometrics. (). (13) RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00 A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration (1994). (14) RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00 Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994). (15) RePEc:cup:etheor:v:13:y:1997:i:3:p:315-52 Estimating Multiple Breaks One at a Time. (). (16) RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18 MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002). (17) RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00 Inference in Models with Nearly Integrated Regressors (1995). (18) RePEc:cup:etheor:v:15:y:1999:i:04:p:549-582_15 THE NONSTATIONARY FRACTIONAL UNIT ROOT (1999). (19) RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14 STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998). (20) RePEc:cup:etheor:v:13:y:1997:i:6:p:808-17 Optimal Prediction under Asymmetric Loss. (). (21) RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18 NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002). (22) RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17 THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY (2001). (23) RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05 AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005). (24) RePEc:cup:etheor:v:17:y:2001:i:04:p:686-710_17 ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS (2001). (25) RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00 Testing Identifiability and Specification in Instrumental Variable Models (1993). (26) RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14 A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES (1998). (27) RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15 ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES (1999). (28) RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00 Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power (1995). (29) RePEc:cup:etheor:v:10:y:1994:i:1:p:95-115 A Residual-Based Test of the Null of Cointegration against the Alternative of No Cointegration. (). (30) RePEc:cup:etheor:v:13:y:1997:i:06:p:818-848_00 Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series (1997). (31) RePEc:cup:etheor:v:7:y:1991:i:1:p:1-21 Asymptotically Efficient Estimation of Cointegration Regressions. (). (32) RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00 Causality in the Long Run (1995). (33) RePEc:cup:etheor:v:11:y:1995:i:5:p:1131-47 Inference in Models with Nearly Integrated Regressors. (). (34) RePEc:cup:etheor:v:11:y:1995:i:03:p:560-586_00 Nonparametric Kernel Estimation for Semiparametric Models (1995). (35) RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00 Testing for Second-Order Stochastic Dominance of Two Distributions (1994). (36) RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15 THE SIZE DISTORTION OF BOOTSTRAP TESTS (1999). (37) RePEc:cup:etheor:v:11:y:1995:i:5:p:1148-71 Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (). (38) RePEc:cup:etheor:v:17:y:2001:i:02:p:451-470_17 ASYMPTOTIC PROPERTIES OF WEIGHTED M-ESTIMATORS FOR STANDARD STRATIFIED SAMPLES (2001). (39) RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18 TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME (2002). (40) RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14 CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE (1998). (41) RePEc:cup:etheor:v:11:y:1995:i:05:p:984-1014_00 Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified (1995). (42) RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20 INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL (2004). (43) RePEc:cup:etheor:v:8:y:1992:i:4:p:489-500 Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (). (44) RePEc:cup:etheor:v:18:y:2002:i:02:p:469-490_18 AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES (2002). (45) RePEc:cup:etheor:v:16:y:2000:i:02:p:176-199_16 TESTS OF COMMON STOCHASTIC TRENDS (2000). (46) RePEc:cup:etheor:v:13:y:1997:i:05:p:667-678_00 Multiplicative Panel Data Models Without the Strict Exogeneity Assumption (1997). (47) RePEc:cup:etheor:v:14:y:1998:i:02:p:222-259_14 TESTS FOR STRUCTURAL CHANGE IN COINTEGRATED SYSTEMS (1998). (48) RePEc:cup:etheor:v:11:y:1995:i:02:p:359-368_00 An LM Test for a Unit Root in the Presence of a Structural Change (1995). (49) RePEc:cup:etheor:v:9:y:1993:i:04:p:539-569_00 Adaptive Estimation in ARCH Models (1993). (50) RePEc:cup:etheor:v:8:y:1992:i:1:p:1-27 Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (). Recent citations received in: | 2008 | 2007 | 2006 | 2005 Recent citations received in: 2008 (1) RePEc:aah:create:2008-37 Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers (2) RePEc:aah:create:2008-50 Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers (3) RePEc:aah:create:2008-62 Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers (4) RePEc:bos:wpaper:wp2008-010 Testing for Breaks in Coefficients and Error Variance: Simulations and Applications (2008). Department of Economics, Boston University / Boston University Working Papers Series (5) RePEc:bos:wpaper:wp2008-011 Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model (2008). Department of Economics, Boston University / Boston University Working Papers Series (6) RePEc:col:000163:005087 Una nueva prueba para el parámetro de diferenciación fraccional (2008). REVISTA COLOMBIANA DE ESTADISTICA / Revista Colombiana de EstadÃÂstica (7) RePEc:dgr:umamet:2008048 Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests (2008). Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization / Research Memoranda (8) RePEc:eab:financ:1660 Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar (2008). East Asian Bureau of Economic Research / Finance Working Papers (9) RePEc:eui:euiwps:eco2008/24 Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term (2008). (10) RePEc:hst:ghsdps:gd08-006 Model Selection Criteria for the Leads-and-Lags Cointegrating Regression (2008). Institute of Economic Research, Hitotsubashi University / Global COE Hi-Stat Discussion Paper Series (11) RePEc:ise:isegwp:wp182008 Persistence in Airline Accidents (2008). Department of Economics, Institute for Economics and Business Administration (ISEG), Technical University of Lisbon / Working Papers (12) RePEc:kof:wpskof:08-189 Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model (2008). Swiss Institute for Business Cycle Research (KOF), Swiss Federal Institute of Technology Zurich (ETH), / Working papers (13) RePEc:nbr:nberwo:14447 Inferring Welfare Maximizing Treatment Assignment under Budget Constraints (2008). National Bureau of Economic Research, Inc / NBER Working Papers (14) RePEc:ner:maastr:urn:nbn:nl:ui:27-22287 Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. (2008). Maastricht University / Open Access publications from Maastricht University (15) RePEc:nuf:econwp:0806 Unit Root Testing with Unstable Volatility (2008). Economics Group, Nuffield College, University of Oxford / Economics Papers (16) RePEc:oxf:wpaper:396 Parameter estimation in nonlinear AR-GARCH models (2008). University of Oxford, Department of Economics / Economics Series Working Papers (17) RePEc:pad:wpaper:0064 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2008). Marco Fanno Working Papers (18) RePEc:pra:mprapa:11988 Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation (2008). University Library of Munich, Germany / MPRA Paper (19) RePEc:pra:mprapa:12008 Now, whose schools are really better (or weaker) than Germanys? A multiple testing approach (2008). University Library of Munich, Germany / MPRA Paper (20) RePEc:pra:mprapa:6913 On the distribution of the adaptive LASSO estimator (2008). University Library of Munich, Germany / MPRA Paper (21) RePEc:sca:scaewp:0805 Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar (2008). National University of Singapore, Department of Economics, SCAPE / SCAPE Policy Research Working Paper Series (22) RePEc:spr:alstar:v:92:y:2008:i:1:p:91-99 Bias correction for the regression-based LM fractional integration test (2008). AStA Advances in Statistical Analysis (23) RePEc:spr:testjl:v:17:y:2008:i:3:p:461-471 Rejoinder on: Control of the false discovery rate under dependence using the bootstrap and subsampling (2008). TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (24) RePEc:ssb:dispap:539 Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations (2008). Research Department of Statistics Norway / Discussion Papers (25) RePEc:uct:uconnp:2008-49 Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience (2008). University of Connecticut, Department of Economics / Working papers (26) RePEc:zur:iewwpx:320 Robust Performance Hypothesis Testing with the Sharpe Ratio (2008). Institute for Empirical Research in Economics - IEW / IEW - Working Papers (27) RePEc:zur:iewwpx:337 Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling (2008). Institute for Empirical Research in Economics - IEW / IEW - Working Papers Recent citations received in: 2007 (1) RePEc:aah:aarhec:2007-16 A Statistical Programme Assignment Model (2007). Department of Economics, University of Aarhus / Department of Economics, Working Papers (2) RePEc:cmf:wpaper:wp2007_0713 ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS (2007). CEMFI / Working Papers (3) RePEc:ctl:louvec:2007033 Theory and inference for a Markov switching GARCH model (2007). Université catholique de Louvain, Département des Sciences Economiques / Université catholique de Louvain, Département des Sciences Economiques Workin (4) RePEc:cwl:cwldpp:1595 Transition Modeling and Econometric Convergence Tests (2007). Cowles Foundation, Yale University / Cowles Foundation Discussion Papers (5) RePEc:hhs:osloec:2007_010 Long-term Outcomes of Vocational Rehabilitation Programs: Labor Market Transitions and Job Durations for Immigrants (2007). Oslo University, Department of Economics / Memorandum (6) RePEc:hhs:osloec:2007_013 Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions (2007). Oslo University, Department of Economics / Memorandum (7) RePEc:iea:carech:0709 Theory and inference for a Markov switching Garch model. (2007). HEC Montréal, Institut d'économie appliquée / Cahiers de recherche (8) RePEc:inu:caeprp:2007019 Detecting Misspecifications in Autoregressive Conditional Duration Models (2007). Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington / Caepr Working Papers (9) RePEc:iza:izadps:dp2877 Unemployment Insurance in Welfare States: Soft Constraints and Mild Sanctions (2007). Institute for the Study of Labor (IZA) / IZA Discussion Papers (10) RePEc:iza:izadps:dp3165 A Statistical Programme Assignment Model (2007). Institute for the Study of Labor (IZA) / IZA Discussion Papers (11) RePEc:lvl:lacicr:0733 Theory and Inference for a Markov-Switching GARCH Model (2007). (12) RePEc:not:notgts:06/03 Testing for a unit root when uncertain about the trend [Revised to become 07/03 above] (2007). University of Nottingham, Granger Centre for Time Series Econometrics / Discussion Papers (13) RePEc:not:notgts:07/03 Unit root testing in practice: dealing with uncertainty over the trend and initial condition (2007). University of Nottingham, Granger Centre for Time Series Econometrics / Discussion Papers (14) RePEc:pra:mprapa:11980 Specification testing in discretized diffusion models: Theory and practice (2007). University Library of Munich, Germany / MPRA Paper (15) RePEc:pra:mprapa:2744 A Gravity approach to evaluate the significance of trade liberalization in vertically-related goods in the presence of non-tariff barriers (2007). University Library of Munich, Germany / MPRA Paper Recent citations received in: 2006 (1) RePEc:cor:louvco:2006042 Deciding between GARCH and stochastic volatility via strong decision rules (2006). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers (2) RePEc:cor:louvco:2006068 A GARCH (1,1) estimator with (almost) no moment conditions on the error term (2006). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers (3) RePEc:cor:louvco:2006071 Asymptotic theory for a factor GARCH model (2006). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers (4) RePEc:cwl:cwldpp:1594 Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression (2006). Cowles Foundation, Yale University / Cowles Foundation Discussion Papers (5) RePEc:dgr:uvatin:20060078 The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations (2006). Tinbergen Institute / Tinbergen Institute Discussion Papers (6) RePEc:hum:wpaper:sfb649dp2006-012 Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms (2006). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany / SFB 649 Discussion Papers (7) RePEc:msh:ebswps:2006-20 Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations (2006). Monash University, Department of Econometrics and Business Statistics / Monash Econometrics and Business Statistics Working Papers (8) RePEc:qed:wpaper:1029 Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach (2006). Queen's University, Department of Economics / Working Papers (9) RePEc:qed:wpaper:1101 Simple (but effective) tests of long memory versus structural breaks (2006). Queen's University, Department of Economics / Working Papers Recent citations received in: 2005 (1) RePEc:ags:aaea05:19558 In Search of the Bank Lending Channel: Causality Analysis for the Transmission Mechanism of U.S. Monetary Policy (2005). American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) / 2005 Annual meeting, July 24-27, Provide (2) RePEc:bfr:banfra:122 Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI. (2005). Banque de France / Documents de Travail (3) RePEc:bri:uobdis:05/580 What determines financial development? (2005). Department of Economics, University of Bristol, UK / Bristol Economics Discussion Papers (4) RePEc:cfr:cefirw:w0069 Optimal Instruments in Time Series: A Survey (2005). Center for Economic and Financial Research / CEFIR Working Papers (5) RePEc:cpr:ceprdp:5279 Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management (2005). C.E.P.R. Discussion Papers / CEPR Discussion Papers (6) RePEc:ecb:ecbwps:20050463 Break in the mean and persistence of inflation - a sectoral analysis of French CPI (2005). European Central Bank / Working Paper Series (7) RePEc:han:dpaper:dp-327 Empirical likelihood confidence intervals for the mean of a long-range dependent process (2005). Universität Hannover, Wirtschaftswissenschaftliche Fakultät / Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hanno (8) RePEc:hhs:rbnkwp:0189 Bayesian Inference of General Linear Restrictions on the Cointegration Space (2005). Sveriges Riksbank (Central Bank of Sweden) / Working Paper Series (9) RePEc:ifs:cemmap:13/05 Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura (2005). Centre for Microdata Methods and Practice, Institute for Fiscal Studies / CeMMAP working papers (10) RePEc:ifs:cemmap:18/05 GMM with many weak moment conditions (2005). Centre for Microdata Methods and Practice, Institute for Fiscal Studies / CeMMAP working papers (11) RePEc:ihs:ihsesp:174 Autoregressive Approximations of Multiple Frequency I(1) Processes (2005). Institute for Advanced Studies / Economics Series (12) RePEc:mlb:wpaper:949 Computing the Distributions of Economic Models Via Simulation (2005). The University of Melbourne / Department of Economics - Working Papers Series (13) RePEc:ner:leuven:urn:hdl:123456789/122703 An asymptotic theory for model selection inference in general semiparametric problems. (2005). Katholieke Universiteit Leuven / Open Access publications from Katholieke Universiteit Leuven (14) RePEc:ner:oxford:http://economics.ouls.ox.ac.uk/10417/ A Dialogue Concerning a New Instrument for Econometric Modeling.. (2005). University of Oxford / Open Access publications from University of Oxford (15) RePEc:pit:wpaper:208 Exponential Tilting With Weak Instruments (2005). University of Pittsburgh, Department of Economics / Working Papers (16) RePEc:taf:applec:v:37:y:2005:i:20:p:2335-2347 Testing mean reversion in target-zone exchange rates (2005). Applied Economics (17) RePEc:tcb:wpaper:0501 A Dynamic Model of Central Bank Intervention (2005). Research and Monetary Policy Department, Central Bank of the Republic of Turkey / Working Papers (18) RePEc:ubi:deawps:11 Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives (2005). Universitat de les Illes Balears, Departament d'EconomÃa Aplicada / DEA Working Papers (19) RePEc:ubi:deawps:12 Asymmetric Multivariate Stochastic Volatility (2005). Universitat de les Illes Balears, Departament d'EconomÃa Aplicada / DEA Working Papers (20) RePEc:ubi:deawps:14 Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments (2005). Universitat de les Illes Balears, Departament d'EconomÃa Aplicada / DEA Working Papers (21) RePEc:wpa:wuwpem:0503014 Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis (2005). EconWPA / Econometrics (22) RePEc:wpa:wuwpem:0509017 Exponential Tilting with Weak Instruments: Estimation and Testing (2005). EconWPA / Econometrics (23) RePEc:wpa:wuwpem:0510005 What Happens to Japan if China Catches Cold? - A causal analysis of the Chinese growth and the Japanese growth (2005). EconWPA / Econometrics (24) RePEc:wpa:wuwpif:0503006 Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability (2005). EconWPA / International Finance 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. |
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