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 32 0 0 1 0.06 0.09 1998 0.06 0.2 10 36 17 1 0 0.12 1999 0.11 0.26 2 0 27 3 0 0.16 2000 0.17 0.36 22 75 12 2 0 8 0.36 0.17 2001 0.25 0.35 12 64 24 6 50 5 0.42 0.17 2002 0.26 0.4 7 9 34 9 0 1 0.14 0.19 2003 0.32 0.4 12 46 19 6 33.3 1 0.08 0.2 2004 0.42 0.44 6 3 19 8 0 2 0.33 0.22 2005 0.17 0.46 10 28 18 3 33.3 2 0.2 0.27 2006 0.19 0.48 13 15 16 3 66.7 6 0.46 0.24 2007 0.3 0.4 10 5 23 7 28.6 3 0.3 0.2 2008 0.26 0.4 2 1 23 6 0 0.2 2009 0.36 12 3 12 0 0.21
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: 26 times.

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

(3) RePEc:cep:stiecm:/2003/450 Estimation of Semiparametric Models when the Criterion Function is not Smooth (2003).
Cited: 24 times.

(4) 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: 21 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: 10 times.

(10) 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: 10 times.

(11) RePEc:cep:stiecm:/1997/340 Some Practical Issues in Maximum Simulated Likelihood (1997).
Cited: 10 times.

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

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

(14) RePEc:cep:stiecm:/2006/509 Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError (2006).
Cited: 8 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:/2005/482 Distribution Free Goodness-of-Fit Tests for Linear Processes (2005).
Cited: 7 times.

(18) RePEc:cep:stiecm:/2001/423 Determination of Cointegrating Rank in Fractional Systems (2001).
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:/2002/433 Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002).
Cited: 6 times.

(21) RePEc:cep:stiecm:/2005/486 A Parametric Bootstrap Test for Cycles (2005).
Cited: 6 times.

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

(23) RePEc:cep:stiecm:/2000/400 Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems (2000).
Cited: 5 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:/2003/449 Cointegration in Fractional Systems with Unkown Integration Orders (2003).
Cited: 3 times.

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

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

(30) RePEc:cep:stiecm:/2007/523 Inference about Realized Volatility using Infill Subsampling (2007).
Cited: 2 times.

(31) 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.

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

(33) RePEc:cep:stiecm:/2009/536 An Alternative Way of ComputingEfficient Instrumental VariableEstimators (2009).
Cited: 2 times.

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

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

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

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

(38) RePEc:cep:stiecm:/2007/525 Multiple Local Whittle Estimation in StationarySystems (2007).
Cited: 1 times.

(39) RePEc:cep:stiecm:/2005/485 Testable Implications of Forecast Optimality (2005).
Cited: 1 times.

(40) RePEc:cep:stiecm:/2001/415 The Estimation of Conditional Densities (2001).
Cited: 1 times.

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

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

(43) RePEc:cep:stiecm:/2000/378 Contemporaneous Aggregation of GARCH Processes (2000).
Cited: 1 times.

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

(45) RePEc:cep:stiecm:/2003/452 An Alternative Bootstrap to Moving Blocks for Time Series Regression Models (2003).
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:/2005/484 Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap (2005).
Cited: 1 times.

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

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

(50) RePEc:cep:stiecm:/2009/541 Efficient Estimation of a Multivariate Multiplicative Volatility Model (2009).
Cited: 1 times.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

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). CREATES Research Papers

(2) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007). CREATES Research Papers

(3) RePEc:zbw:sfb475:200741 Microstructure noise in the continuous case: the pre-averaging approach (2007). Technical Reports

Recent citations received in: 2006

(1) RePEc:cep:stiecm:/2006/500 Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions (2006). STICERD - Econometrics Paper Series

(2) RePEc:cwl:cwldpp:1547 Optimal Estimation of Cointegrated Systems with Irrelevant Instruments (2006). Cowles Foundation Discussion Papers

(3) RePEc:nuf:econwp:0603 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). Economics Papers

(4) RePEc:nuf:econwp:0610 Subsampling realised kernels (2006). Economics Papers

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

(6) RePEc:zbw:sfb475:200652 Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise (2006). Technical Reports

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