Econometrics Journal

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 0.22 0 0 0 0.09 1998 0.25 17 124 0 0 5 0.29 0.1 1999 0.29 0.31 18 336 17 5 0 1 0.06 0.15 2000 0.83 0.42 13 244 35 29 3.4 4 0.31 0.19 2001 1.45 0.41 21 123 31 45 0 0.16 2002 0.56 0.44 26 158 34 19 0 8 0.31 0.2 2003 0.45 0.46 22 185 47 21 0 8 0.36 0.21 2004 0.98 0.51 29 274 48 47 0 19 0.66 0.23 2005 1.35 0.54 25 78 51 69 0 5 0.2 0.24 2006 1.04 0.56 23 50 54 56 0 2 0.09 0.24 2007 0.5 0.45 29 44 48 24 0 7 0.24 0.21 2008 0.52 0.5 32 31 52 27 0 7 0.22 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:ect:emjrnl:v:3:y:2000:i:2:p:148-161 Testing for stationarity in heterogeneous panel data (2000).
Cited: 108 times.

(2) RePEc:ect:emjrnl:v:2:y:1999:i:1:p:107-160 Statistical algorithms for models in state space using SsfPack 2.2 (1999).
Cited: 100 times.

(3) RePEc:ect:emjrnl:v:2:y:1999:i:2:p:306-333 Some tests for parameter constancy in cointegrated VAR-models (1999).
Cited: 97 times.

(4) RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249 Cointegration analysis in the presence of structural breaks in the deterministic trend (2000).
Cited: 75 times.

(5) RePEc:ect:emjrnl:v:6:y:2003:i:1:p:217-259 Dynamic panel estimation and homogeneity testing under cross section dependence (2003).
Cited: 59 times.

(6) RePEc:ect:emjrnl:v:2:y:1999:i:2:p:167-191 Data mining reconsidered: encompassing and the general-to-specific approach to specification search (1999).
Cited: 55 times.

(7) RePEc:ect:emjrnl:v:7:y:2004:i:1:p:1-31 Pooling of forecasts (2004).
Cited: 52 times.

(8) RePEc:ect:emjrnl:v:7:y:2004:i:2:p:322-340 Some cautions on the use of panel methods for integrated series of macroeconomic data (2004).
Cited: 47 times.

(9) RePEc:ect:emjrnl:v:4:y:2001:i:1:p:41 Likelihood-based cointegration tests in heterogeneous panels (2001).
Cited: 47 times.

(10) RePEc:ect:emjrnl:v:5:y:2002:i:2:p:285-318 Distributions of error correction tests for cointegration (2002).
Cited: 44 times.

(11) RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78 Critical values for multiple structural change tests (2003).
Cited: 42 times.

(12) RePEc:ect:emjrnl:v:7:y:2004:i:1:p:272-306 Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations (2004).
Cited: 39 times.

(13) RePEc:ect:emjrnl:v:8:y:2005:i:2:p:159-175 Breaking the panels: An application to the GDP per capita (2005).
Cited: 31 times.

(14) RePEc:ect:emjrnl:v:5:y:2002:i:1:p:1-39 Model selection tests for nonlinear dynamic models (2002).
Cited: 30 times.

(15) RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c23-c46 Bayesian inference on GARCH models using the Gibbs sampler (1998).
Cited: 27 times.

(16) RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c154-c173 Simulation-based finite sample normality tests in linear regressions (1998).
Cited: 27 times.

(17) RePEc:ect:emjrnl:v:3:y:2000:i:1:p:84-107 Signal extraction and the formulation of unobserved components models (2000).
Cited: 25 times.

(18) RePEc:ect:emjrnl:v:2:y:1999:i:2:p:202-219 Improving on Data mining reconsidered by K.D. Hoover and S.J. Perez (1999).
Cited: 24 times.

(19) RePEc:ect:emjrnl:v:2:y:1999:i:1:p:76-91 Cointegration rank inference with stationary regressors in VAR models (1999).
Cited: 24 times.

(20) RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c47-c75 A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP (1998).
Cited: 24 times.

(21) RePEc:ect:emjrnl:v:7:y:2004:i:1:p:98-119 The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects (2004).
Cited: 20 times.

(22) RePEc:ect:emjrnl:v:3:y:2000:i:1:p:16-38 Non-monotonic hazard functions and the autoregressive conditional duration model (2000).
Cited: 20 times.

(23) RePEc:ect:emjrnl:v:4:y:2001:i:1:p:s20-s36 Fiscal forecasting: The track record of the IMF, OECD and EC (2001).
Cited: 20 times.

(24) RePEc:ect:emjrnl:v:7:y:2004:i:2:p:550-565 Forecasting in dynamic factor models using Bayesian model averaging (2004).
Cited: 18 times.

(25) RePEc:ect:emjrnl:v:6:y:2003:i:2:p:430-461 Econometric inflation targeting (2003).
Cited: 15 times.

(26) RePEc:ect:emjrnl:v:2:y:1999:i:1:p:49-75 Inference for Lorenz curve orderings (1999).
Cited: 14 times.

(27) RePEc:ect:emjrnl:v:4:y:2001:i:1:p:38 Are apparent findings of nonlinearity due to structural instability in economic time series? (2001).
Cited: 14 times.

(28) RePEc:ect:emjrnl:v:5:y:2002:i:1:p:149-159 Exact interpretation of dummy variables in semilogarithmic equations (2002).
Cited: 13 times.

(29) RePEc:ect:emjrnl:v:5:y:2002:i:2:p:263-284 An investigation of tests for linearity and the accuracy of likelihood based inference using random fields (2002).
Cited: 12 times.

(30) RePEc:ect:emjrnl:v:6:y:2003:i:2:p:291-311 Tests for a change in persistence against the null of difference-stationarity (2003).
Cited: 11 times.

(31) RePEc:ect:emjrnl:v:5:y:2002:i:2:p:319-344 Modelling methodology and forecast failure (2002).
Cited: 11 times.

(32) RePEc:ect:emjrnl:v:7:y:2004:i:1:p:143-167 Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques (2004).
Cited: 10 times.

(33) RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123 Modelling sample selection using Archimedean copulas (2003).
Cited: 10 times.

(34) RePEc:ect:emjrnl:v:2:y:1999:i:1:p:1-28 Nonparametric bounds on employment and income effects of continuous vocational training in East Germany (1999).
Cited: 10 times.

(35) RePEc:ect:emjrnl:v:1:y:1998:i:regularpapers:p:1-9 The relation between conditionally heteroskedastic factor models and factor GARCH models (1998).
Cited: 10 times.

(36) RePEc:ect:emjrnl:v:4:y:2001:i:2:p:10 The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model (2001).
Cited: 9 times.

(37) RePEc:ect:emjrnl:v:5:y:2002:i:1:p:76-90 Notation in econometrics: a proposal for a standard (2002).
Cited: 9 times.

(38) RePEc:ect:emjrnl:v:7:y:2004:i:1:p:249-271 Cointegration analysis in the presence of outliers (2004).
Cited: 9 times.

(39) RePEc:ect:emjrnl:v:7:y:2004:i:2:p:566-584 Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts (2004).
Cited: 9 times.

(40) RePEc:ect:emjrnl:v:8:y:2005:i:1:p:55-69 Testing for stationarity in heterogeneous panel data where the time dimension is finite (2005).
Cited: 9 times.

(41) RePEc:ect:emjrnl:v:7:y:2004:i:2:p:585-617 A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error (2004).
Cited: 9 times.

(42) RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c113-c128 Estimating stochastic volatility models through indirect inference (1998).
Cited: 9 times.

(43) RePEc:ect:emjrnl:v:5:y:2002:i:1:p:40-64 Progress from forecast failure -- the Norwegian consumption function (2002).
Cited: 8 times.

(44) RePEc:ect:emjrnl:v:6:y:2003:i:2:p:261-290 Semiparametric estimation of Value at Risk (2003).
Cited: 8 times.

(45) RePEc:ect:emjrnl:v:8:y:2005:i:3:p:428-454 Measurement of aggregate risk with copulas (2005).
Cited: 8 times.

(46) RePEc:ect:emjrnl:v:7:y:2004:i:2:p:341-365 Testing linearity in cointegrating smooth transition regressions (2004).
Cited: 8 times.

(47) RePEc:ect:emjrnl:v:6:y:2003:i:2:p:335-356 ARMA representation of integrated and realized variances (2003).
Cited: 7 times.

(48) RePEc:ect:emjrnl:v:8:y:2005:i:2:p:214-234 Temporal disaggregation using multivariate structural time series models (2005).
Cited: 7 times.

(49) RePEc:ect:emjrnl:v:7:y:2004:i:2:p:528-549 Testing for duration dependence in economic cycles (2004).
Cited: 7 times.

(50) RePEc:ect:emjrnl:v:6:y:2003:i:2:p:312-334 A full-factor multivariate GARCH model (2003).
Cited: 7 times.

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

Recent citations received in: 2008

(1) RePEc:ags:eaae08:44277 Measuring productivity differentials â?? An application to milk production in Nordic countries (2008). European Association of Agricultural Economists / 2008 International Congress, August 26-29, 2008, Ghent, Belgium

(2) RePEc:cpr:ceprdp:6902 International Portfolios, Capital Accumulation and Foreign Assets Dynamics (2008). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(3) 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

(4) RePEc:pra:mprapa:9257 Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies (2008). University Library of Munich, Germany / MPRA Paper

(5) RePEc:wat:wpaper:08007 Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach (2008). University of Waterloo, Department of Economics / Working Papers

(6) RePEc:wat:wpaper:08010 Time-Deformation Modeling Of Stock Returns Directed By Duration Processes (2008). University of Waterloo, Department of Economics / Working Papers

(7) RePEc:zbw:bubdp1:7444 International portfolios, capital accumulation and foreign assets dynamics (2008). Deutsche Bundesbank, Research Centre / Discussion Paper Series 1: Economic Studies

Recent citations received in: 2007

(1) RePEc:bpj:sndecm:v:11:y:2007:i:1:n:7 A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests (2007). Studies in Nonlinear Dynamics & Econometrics

(2) RePEc:bpj:sndecm:v:11:y:2007:i:2:n:5 A Class Test for Fractional Integration (2007). Studies in Nonlinear Dynamics & Econometrics

(3) RePEc:ces:ceswps:_2046 Long Run and Cyclical Dynamics in the US Stock Market (2007). CESifo GmbH / CESifo Working Paper Series

(4) RePEc:ebl:ecbull:v:3:y:2007:i:67:p:1-10 Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter (2007). Economics Bulletin

(5) RePEc:mos:moswps:2007-39 Non-Linear Unit Root Properties of Crude Oil Production (2007). Monash University, Department of Economics / Monash Economics Working Papers

(6) RePEc:not:notgts:07/01 A powerful test for linearity when the order of integration is unknown [Revised to become No. 07/06 above] (2007). University of Nottingham, Granger Centre for Time Series Econometrics / Discussion Papers

(7) RePEc:not:notgts:07/06 A powerful test for linearity when the order of integration is unknown (2007). University of Nottingham, Granger Centre for Time Series Econometrics / Discussion Papers

Recent citations received in: 2006

(1) RePEc:pra:mprapa:1641 Consumption risk sharing and adjustment costs (2006). University Library of Munich, Germany / MPRA Paper

(2) RePEc:pra:mprapa:1642 Present value relations, Granger non-causality and VAR stability (2006). University Library of Munich, Germany / MPRA Paper

Recent citations received in: 2005

(1) RePEc:aea:aecrev:v:95:y:2005:i:1:p:161-182 Estimation and Inference of Impulse Responses by Local Projections (2005). American Economic Review

(2) RePEc:cam:camdae:0535 Unit Roots and Cointegration in Panels (2005). Faculty of Economics (formerly DAE), University of Cambridge / Cambridge Working Papers in Economics

(3) RePEc:imf:imfwpa:05/164 Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis (2005). International Monetary Fund / IMF Working Papers

(4) RePEc:ins:quaeco:qf0504 Design of vector autoregressive processes for invariant statistics (2005). Department of Economics, University of Insubria / Economics and Quantitative Methods

(5) RePEc:uts:rpaper:168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

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