Econometric Reviews

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 24 0 48 0 0.08 1997 0.21 23 25 52 0 0.08 1998 0.22 33 116 47 0 1 0.03 0.1 1999 0.18 0.28 24 85 56 10 0 1 0.04 0.13 2000 0.19 0.37 22 277 57 11 0 4 0.18 0.16 2001 0.37 0.37 23 48 46 17 0 3 0.13 0.16 2002 0.4 0.41 21 167 45 18 5.6 3 0.14 0.19 2003 0.45 0.42 24 75 44 20 0 2 0.08 0.2 2004 0.4 0.47 8 46 45 18 0 1 0.13 0.21 2005 0.34 0.5 29 106 32 11 0 9 0.31 0.23 2006 0.76 0.51 21 86 37 28 0 9 0.43 0.22 2007 0.5 0.4 34 169 50 25 0 14 0.41 0.18 2008 1.22 0.42 41 55 55 67 0 4 0.1 0.21 2009 0.77 0.43 50 42 75 58 0 11 0.22 0.19
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:taf:emetrv:v:19:y:2000:i:3:p:321-340 GMM Estimation with persistent panel data: an application to production functions (2000).
Cited: 182 times.

(2) RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172 Bayesian Analysis of DSGE Models (2007).
Cited: 79 times.

(3) RePEc:taf:emetrv:v:17:y:1998:i:1:p:57-84 A residual-based test of the null of cointegration in panel data (1998).
Cited: 65 times.

(4) RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47 SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002).
Cited: 46 times.

(5) RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404 Evaluating Direct Multistep Forecasts (2005).
Cited: 43 times.

(6) RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286 Nonstationary panel data analysis: an overview of some recent developments (2000).
Cited: 37 times.

(7) RePEc:taf:emetrv:v:21:y:2002:i:4:p:431-447 ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS (2002).
Cited: 34 times.

(8) RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175 Multivariate Stochastic Volatility: A Review (2006).
Cited: 34 times.

(9) RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87 LONG-RUN STRUCTURAL MODELLING (2002).
Cited: 30 times.

(10) RePEc:taf:emetrv:v:18:y:1999:i:1:p:119-126 Reply (1999).
Cited: 29 times.

(11) RePEc:taf:emetrv:v:24:y:2005:i:2:p:151-173 A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2005).
Cited: 22 times.

(12) RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90 MIDAS Regressions: Further Results and New Directions (2007).
Cited: 21 times.

(13) RePEc:taf:emetrv:v:17:y:1998:i:1:p:1-29 Confidence intervals for impulse responses under departures from normality (1998).
Cited: 20 times.

(14) RePEc:taf:emetrv:v:25:y:2006:i:1:p:85-116 The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study (2006).
Cited: 19 times.

(15) RePEc:taf:emetrv:v:22:y:2003:i:3:p:269-287 A Consistent Method for the Selection of Relevant Instruments (2003).
Cited: 19 times.

(16) RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78 The Volatility of Realized Volatility (2008).
Cited: 19 times.

(17) RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335 Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances (2003).
Cited: 19 times.

(18) RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:329-363 Forecast Combination and Model Averaging Using Predictive Measures (2007).
Cited: 18 times.

(19) RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45 Realized Volatility: A Review (2008).
Cited: 18 times.

(20) RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219 Bayesian Analysis of DSGE Models—Rejoinder (2007).
Cited: 17 times.

(21) RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318 A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001).
Cited: 17 times.

(22) RePEc:taf:emetrv:v:23:y:2004:i:2:p:125-147 Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model (2004).
Cited: 16 times.

(23) RePEc:taf:emetrv:v:18:y:1999:i:1:p:1-73 Using simulation methods for bayesian econometric models: inference, development,and communication (1999).
Cited: 15 times.

(24) RePEc:taf:emetrv:v:18:y:1999:i:1:p:75-87 Estimating consumer surplus comments on using simulation methods for bayesian econometric models: inference development and communication (1999).
Cited: 15 times.

(25) RePEc:taf:emetrv:v:22:y:2003:i:2:p:135-154 Regularity of the Generalized Quadratic Production Model: A Counterexample (2003).
Cited: 15 times.

(26) RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70 Automatic Block-Length Selection for the Dependent Bootstrap (2004).
Cited: 14 times.

(27) RePEc:taf:emetrv:v:26:y:2007:i:6:p:609-641 Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (2007).
Cited: 14 times.

(28) RePEc:taf:emetrv:v:19:y:2000:i:3:p:287-320 Stochastic dominance amongst swedish income distributions (2000).
Cited: 14 times.

(29) RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:221-252 Normalization in Econometrics (2007).
Cited: 14 times.

(30) RePEc:taf:emetrv:v:18:y:1999:i:1:p:113-118 Using simulation methods for bayesian econometric models: inference, development and communication: some comments (1999).
Cited: 13 times.

(31) RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440 Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (2009).
Cited: 13 times.

(32) RePEc:taf:emetrv:v:21:y:2002:i:3:p:309-336 A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS (2002).
Cited: 13 times.

(33) RePEc:taf:emetrv:v:18:y:1999:i:3:p:287-330 An introduction to hypergeometric functions for economists (1999).
Cited: 13 times.

(34) RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328 Forecasting Performance of an Open Economy DSGE Model (2007).
Cited: 11 times.

(35) RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:79-111 Moving Average-Based Estimators of Integrated Variance (2008).
Cited: 11 times.

(36) RePEc:taf:emetrv:v:28:y:2009:i:6:p:495-521 Pairwise Tests of Purchasing Power Parity (2009).
Cited: 10 times.

(37) RePEc:taf:emetrv:v:21:y:2002:i:3:p:273-307 SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES (2002).
Cited: 10 times.

(38) RePEc:taf:emetrv:v:19:y:2000:i:3:p:341-366 Estimation of tobit-type models with individual specific effects (2000).
Cited: 10 times.

(39) RePEc:taf:emetrv:v:23:y:2004:i:1:p:25-52 Estimator Choice and Fishers Paradox: A Monte Carlo Study (2004).
Cited: 10 times.

(40) RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384 Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (2006).
Cited: 9 times.

(41) RePEc:taf:emetrv:v:19:y:2000:i:1:p:1-48 Recent developments in bootstrapping time series (2000).
Cited: 9 times.

(42) RePEc:taf:emetrv:v:19:y:2000:i:1:p:69-103 Problems related to confidence intervals for impulse responses of autoregressive processes (2000).
Cited: 9 times.

(43) RePEc:taf:emetrv:v:21:y:2002:i:4:p:477-496 A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS (2002).
Cited: 8 times.

(44) RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:230-253 Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (2008).
Cited: 8 times.

(45) RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:335-360 Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models (2006).
Cited: 8 times.

(46) RePEc:taf:emetrv:v:22:y:2003:i:3:p:217-237 Statistical Adequacy and the Testing of Trend Versus Difference Stationarity (2003).
Cited: 8 times.

(47) RePEc:taf:emetrv:v:24:y:2005:i:1:p:1-37 RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS (2005).
Cited: 8 times.

(48) RePEc:taf:emetrv:v:17:y:1998:i:4:p:339-359 Count data models with selectivity (1998).
Cited: 8 times.

(49) RePEc:taf:emetrv:v:25:y:2006:i:4:p:523-544 Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models (2006).
Cited: 7 times.

(50) RePEc:taf:emetrv:v:16:y:1997:i:2:p:131-156 Locally optimal one-sided tests for multiparameter hypotheses (1997).
Cited: 7 times.

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

Recent citations received in: 2009

(1) RePEc:cfi:fseres:cf170 Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets (2009). CARF F-Series

(2) RePEc:cfi:fseres:cf178 VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds (2009). CARF F-Series

(3) RePEc:dgr:eureir:1765017295 VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds (2009). Econometric Institute Report

(4) RePEc:dgr:umamet:2009056 Detrending Bootstrap Unit Root Tests (2009). Research Memoranda

(5) RePEc:ecb:ecbwps:20091087 Modelling Global Trade Flows - Results from a GVAR Model. (2009). Working Paper Series

(6) RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:45-63 Interest rate transmission in the UK: a comparative analysis across financial firms and products (2009). International Journal of Finance & Economics

(7) RePEc:tky:fseres:2009cf639 Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return (2009). CIRJE F-Series

(8) RePEc:tky:fseres:2009cf640 Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets (2009). CIRJE F-Series

(9) RePEc:tky:fseres:2009cf641 Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets (2009). CIRJE F-Series

(10) RePEc:ucm:doicae:0910 The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009). Documentos del Instituto Complutense de Análisis Económico

(11) RePEc:wat:wpaper:0904 The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey (2009). Working Papers

Recent citations received in: 2008

(1) RePEc:par:dipeco:2008-me01 Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise (2008). Economics Department Working Papers

(2) RePEc:pra:mprapa:23721 Implied Volatility with Time-Varying Regime Probabilities (2008). MPRA Paper

(3) RePEc:pra:mprapa:8692 Decimalization, Realized Volatility, and Market Microstructure Noise (2008). MPRA Paper

(4) RePEc:usi:wpaper:534 Volatility forecasting: the jumps do matter (2008). Department of Economics University of Siena

Recent citations received in: 2007

(1) RePEc:cpr:ceprdp:6373 Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (2007). CEPR Discussion Papers

(2) RePEc:ecl:harjfk:rwp07-057 Monetary and Fiscal Policies in a Sudden Stop: Is Tighter Brighter? (2007). Working Paper Series

(3) RePEc:ecl:ucdeco:06-24 Joint Inference and Counterfactual Experimentation for Impulse Response Functions by Local Projections (2007). Working Papers

(4) RePEc:ecl:ucdeco:07-7 Inference for Impulse Responses (2007). Working Papers

(5) RePEc:ecl:ucdeco:07-8 Estimation and Inference by the Method of Projection Minimum Distance (2007). Working Papers

(6) RePEc:hhs:oruesi:2007_013 Bayesian Forecast Combination for VAR Models (2007). Working Papers

(7) RePEc:hhs:rbnkwp:0216 Bayesian forecast combination for VAR models (2007). Working Paper Series

(8) RePEc:ifs:ifsewp:07/16 Heterogeneity in consumer demands and the income effect: evidence from panel data (2007). IFS Working Papers

(9) RePEc:irv:wpaper:070805 Political Business Cycles in the New Keynesian Model (2007). Working Papers

(10) RePEc:lvl:lacicr:0749 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity (2007). Cahiers de recherche

(11) RePEc:nbr:nberwo:13099 Monetary Policy Analysis with Potentially Misspecified Models (2007). NBER Working Papers

(12) RePEc:pra:mprapa:3419 The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001. (2007). MPRA Paper

(13) RePEc:rpo:ripoec:v:97:y:2007:i:6:p:149-202 Classical and Bayesian Methods for the VAR Analysis: International Comparisons (2007). Rivista di Politica Economica

(14) RePEc:zbw:bubdp1:5573 Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities (2007). Discussion Paper Series 1: Economic Studies

Recent citations received in: 2006

(1) RePEc:hhb:hanken:0519 Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series (2006). Working Papers

(2) RePEc:ihs:ihsesp:197 The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics? (2006). Economics Series

(3) RePEc:msh:ebswps:2006-22 Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models (2006). Monash Econometrics and Business Statistics Working Papers

(4) RePEc:rio:texdis:531 Realized volatility: a review (2006). Textos para discussão

(5) RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:425-451 Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model (2006). Econometric Reviews

(6) RePEc:ven:wpaper:2006_53 A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation (2006). Working Papers

(7) RePEc:zbw:sfb475:200644 Cross-Sectional Correlation Robust Tests for Panel Cointegration (2006). Technical Reports

(8) RePEc:zbw:sfb475:200646 The Error-in-Rejection Probability of Meta-Analytic Panel Tests (2006). Technical Reports

(9) RePEc:zbw:sfb475:200647 For Which Countries did PPP hold? A Multiple Testing Approach (2006). Technical Reports

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