Most cited documents in this series:

Year	Title	Cited
2000	Testing for stationarity in heterogeneous panel data RePEc:ect:emjrnl:v:3:y:2000:i:2:p:148-161 [Citation Analysis]	227
1999	Statistical algorithms for models in state space using SsfPack 2.2 RePEc:ect:emjrnl:v:2:y:1999:i:1:p:107-160 [Citation Analysis]	134
1999	Some tests for parameter constancy in cointegrated VAR-models RePEc:ect:emjrnl:v:2:y:1999:i:2:p:306-333 [Citation Analysis]	130
2000	Cointegration analysis in the presence of structural breaks in the deterministic trend RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249 [Citation Analysis]	129
2003	Dynamic panel estimation and homogeneity testing under cross section dependence RePEc:ect:emjrnl:v:6:y:2003:i:1:p:217-259 [Citation Analysis]	125
1999	Data mining reconsidered: encompassing and the general-to-specific approach to specification search RePEc:ect:emjrnl:v:2:y:1999:i:2:p:167-191 [Citation Analysis]	101
2001	Likelihood-based cointegration tests in heterogeneous panels RePEc:ect:emjrnl:v:4:y:2001:i:1:p:41 [Citation Analysis]	91
2004	Some cautions on the use of panel methods for integrated series of macroeconomic data RePEc:ect:emjrnl:v:7:y:2004:i:2:p:322-340 [Citation Analysis]	81
2005	Breaking the panels: An application to the GDP per capita RePEc:ect:emjrnl:v:8:y:2005:i:2:p:159-175 [Citation Analysis]	80
2004	Pooling of forecasts RePEc:ect:emjrnl:v:7:y:2004:i:1:p:1-31 [Citation Analysis]	73
2004	Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations RePEc:ect:emjrnl:v:7:y:2004:i:1:p:272-306 [Citation Analysis]	68
2003	Critical values for multiple structural change tests RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78 [Citation Analysis]	66
2002	Distributions of error correction tests for cointegration RePEc:ect:emjrnl:v:5:y:2002:i:2:p:285-318 [Citation Analysis]	64
2002	Model selection tests for nonlinear dynamic models RePEc:ect:emjrnl:v:5:y:2002:i:1:p:1-39 [Citation Analysis]	53
1999	Improving on Data mining reconsidered by K.D. Hoover and S.J. Perez RePEc:ect:emjrnl:v:2:y:1999:i:2:p:202-219 [Citation Analysis]	39
1999	Cointegration rank inference with stationary regressors in VAR models RePEc:ect:emjrnl:v:2:y:1999:i:1:p:76-91 [Citation Analysis]	37
1998	A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c47-c75 [Citation Analysis]	36
2000	Signal extraction and the formulation of unobserved components models RePEc:ect:emjrnl:v:3:y:2000:i:1:p:84-107 [Citation Analysis]	33
1998	Bayesian inference on GARCH models using the Gibbs sampler RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c23-c46 [Citation Analysis]	33
1998	Simulation-based finite sample normality tests in linear regressions RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c154-c173 [Citation Analysis]	32
2004	The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects RePEc:ect:emjrnl:v:7:y:2004:i:1:p:98-119 [Citation Analysis]	31
2003	A full-factor multivariate GARCH model RePEc:ect:emjrnl:v:6:y:2003:i:2:p:312-334 [Citation Analysis]	28
2000	Non-monotonic hazard functions and the autoregressive conditional duration model RePEc:ect:emjrnl:v:3:y:2000:i:1:p:16-38 [Citation Analysis]	26
1999	Inference for Lorenz curve orderings RePEc:ect:emjrnl:v:2:y:1999:i:1:p:49-75 [Citation Analysis]	26
2004	Forecasting in dynamic factor models using Bayesian model averaging RePEc:ect:emjrnl:v:7:y:2004:i:2:p:550-565 [Citation Analysis]	25
2003	Tests for a change in persistence against the null of difference-stationarity RePEc:ect:emjrnl:v:6:y:2003:i:2:p:291-311 [Citation Analysis]	24
2001	Fiscal forecasting: The track record of the IMF, OECD and EC RePEc:ect:emjrnl:v:4:y:2001:i:1:p:s20-s36 [Citation Analysis]	24
2002	Exact interpretation of dummy variables in semilogarithmic equations RePEc:ect:emjrnl:v:5:y:2002:i:1:p:149-159 [Citation Analysis]	24
2003	Econometric inflation targeting RePEc:ect:emjrnl:v:6:y:2003:i:2:p:430-461 [Citation Analysis]	22
2003	Modelling sample selection using Archimedean copulas RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123 [Citation Analysis]	21
1999	Simulated maximum likelihood estimation of multivariate mixed-Poisson regression models, with application RePEc:ect:emjrnl:v:2:y:1999:i:1:p:29-48 [Citation Analysis]	20
2004	Testing linearity in cointegrating smooth transition regressions RePEc:ect:emjrnl:v:7:y:2004:i:2:p:341-365 [Citation Analysis]	20
2002	Modelling methodology and forecast failure RePEc:ect:emjrnl:v:5:y:2002:i:2:p:319-344 [Citation Analysis]	19
2000	BUGS for a Bayesian analysis of stochastic volatility models RePEc:ect:emjrnl:v:3:y:2000:i:2:p:198-215 [Citation Analysis]	19
2006	Unit root tests in three-regime SETAR models RePEc:ect:emjrnl:v:9:y:2006:i:2:p:252-278 [Citation Analysis]	18
2004	Cointegration analysis in the presence of outliers RePEc:ect:emjrnl:v:7:y:2004:i:1:p:249-271 [Citation Analysis]	18
2001	Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process RePEc:ect:emjrnl:v:4:y:2001:i:2:p:8 [Citation Analysis]	18
2004	A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error RePEc:ect:emjrnl:v:7:y:2004:i:2:p:585-617 [Citation Analysis]	17
2005	Measurement of aggregate risk with copulas RePEc:ect:emjrnl:v:8:y:2005:i:3:p:428-454 [Citation Analysis]	16
2004	Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques RePEc:ect:emjrnl:v:7:y:2004:i:1:p:143-167 [Citation Analysis]	16
2002	An investigation of tests for linearity and the accuracy of likelihood based inference using random fields RePEc:ect:emjrnl:v:5:y:2002:i:2:p:263-284 [Citation Analysis]	16
2005	Testing for stationarity in heterogeneous panel data where the time dimension is finite RePEc:ect:emjrnl:v:8:y:2005:i:1:p:55-69 [Citation Analysis]	15
2004	Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts RePEc:ect:emjrnl:v:7:y:2004:i:2:p:566-584 [Citation Analysis]	15
2005	Temporal disaggregation using multivariate structural time series models RePEc:ect:emjrnl:v:8:y:2005:i:2:p:214-234 [Citation Analysis]	15
2009	More on monotone instrumental variables RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s200-s216 [Citation Analysis]	15
2003	ARMA representation of integrated and realized variances RePEc:ect:emjrnl:v:6:y:2003:i:2:p:335-356 [Citation Analysis]	15
2003	The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series RePEc:ect:emjrnl:v:6:y:2003:i:1:p:79-98 [Citation Analysis]	14
2001	Nonlinear econometric models with cointegrated and deterministically trending regressors RePEc:ect:emjrnl:v:4:y:2001:i:1:p:1-36 [Citation Analysis]	14
2006	Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization RePEc:ect:emjrnl:v:9:y:2006:i:2:p:307-331 [Citation Analysis]	14
1998	Estimating stochastic volatility models through indirect inference RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c113-c128 [Citation Analysis]	14

Citing documents used to compute impact factor 39:

Year	Title	See
2011	Tariffs and economic growth in the first era of globalization RePEc:kap:jecgro:v:16:y:2011:i:1:p:33-70	[Citation Analysis]
2011	Regional Agricultural Endowments and Shifts of Poverty Trap Equilibria: Evidence from Ethiopian Panel Data RePEc:gwi:wpaper:2011-01	[Citation Analysis]
2011	A panel data analysis of the growth effects of remittances RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:701-709	[Citation Analysis]
2011	A Long Memory Model with Normal Mixture GARCH RePEc:kap:compec:v:38:y:2011:i:4:p:517-539	[Citation Analysis]
2011	Are temporary jobs a port of entry into permanent employment?: Evidence from matched employer-employee RePEc:eme:ijmpps:v:32:y:2011:i:8:p:879-899	[Citation Analysis]
2011	Robust variable selection with application to quality of life research RePEc:spr:stmapp:v:20:y:2011:i:1:p:65-82	[Citation Analysis]
2011	The Effects of Employment Uncertainty and Wealth Shocks on the Labor Supply and Claiming Behavior of Older American Workers RePEc:fda:fdaddt:2011-09	[Citation Analysis]
2011	Effects of Legal and Unauthorized Immigration on the US Social Security System RePEc:lev:wrkpap:wp_689	[Citation Analysis]
2011	Effects of Legal and Unauthorized Immigration on the U.S. Social Security System RePEc:mrr:papers:wp250	[Citation Analysis]
2011	The Effects of Employment Uncertainty and Wealth Shocks on the Labor Supply and Claiming Behavior of Older American Workers RePEc:bge:wpaper:564	[Citation Analysis]
2011	The effects of employment uncertainty and wealth shocks on the labor supply and claiming behavior of older American workers RePEc:upf:upfgen:1275	[Citation Analysis]
2011	Realized Laplace transforms for estimation of jump diffusive volatility models RePEc:eee:econom:v:164:y:2011:i:2:p:367-381	[Citation Analysis]
2011	Bayesian estimation of an extended local scale stochastic volatility model RePEc:fri:dqewps:wp0015	[Citation Analysis]
2011	Bayesian estimation of an extended local scale stochastic volatility model RePEc:eee:econom:v:162:y:2011:i:2:p:369-382	[Citation Analysis]
2011	What Does a Temporary Help Service Job Offer? Empirical suggestions from a Japanese survey RePEc:eti:dpaper:11077	[Citation Analysis]
2011	Asymmetry and Long Memory in Volatility Modelling RePEc:ucm:doicae:1129	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:ucm:doicae:1120	[Citation Analysis]
2011	Bayesian inference with monotone instrumental variables RePEc:pra:mprapa:32672	[Citation Analysis]
2011	Sampling Variation, Monotone Instrumental Variables and the Bootstrap Bias Correction RePEc:pra:mprapa:32634	[Citation Analysis]
2011	Set identified linear models RePEc:ifs:cemmap:13/11	[Citation Analysis]
2011	The Impact of the National School Lunch Program on Child Health: A Nonparametric Bounds Analysis RePEc:isu:genres:32719	[Citation Analysis]
2011	Intersection bounds: estimation and inference RePEc:ifs:cemmap:34/11	[Citation Analysis]
2011	Practical implications of higher moments in risk management RePEc:spr:stmapp:v:20:y:2011:i:4:p:487-506	[Citation Analysis]
2011	Blockwise empirical likelihood for time series of counts RePEc:eee:jmvana:v:102:y:2011:i:3:p:661-673	[Citation Analysis]
2011	Multivariate density estimation using dimension reducing information and tail flattening transformations RePEc:eee:insuma:v:48:y:2011:i:1:p:99-110	[Citation Analysis]
2011	Dynamic linear economies with social interactions RePEc:cla:levarc:786969000000000036	[Citation Analysis]
2011	The empirical content of models with multiple equilibria in economies with social interactions RePEc:fip:fednsr:504	[Citation Analysis]
2011	Estimating and predicting the distribution of the number of visits to the medical doctor RePEc:mar:magkse:201148	[Citation Analysis]
2011	Validate Correlation of an ESG: Treasury Yields across RePEc:han:dpaper:dp-476	[Citation Analysis]
2011	The impact of the European Union emission trading scheme on the electricity-generation sector RePEc:eee:eneeco:v:33:y:2011:i:5:p:995-1003	[Citation Analysis]
2011	Semiparametrically weighted robust estimation of regression models RePEc:eee:csdana:v:55:y:2011:i:1:p:774-788	[Citation Analysis]
2011	Long Memory Dynamics for Multivariate Dependence under Heavy Tails RePEc:dgr:uvatin:20110175	[Citation Analysis]
2011	High-frequency returns, jumps and the mixture of normals hypothesis RePEc:eee:econom:v:160:y:2011:i:1:p:119-128	[Citation Analysis]
2011	Data-based ranking of realised volatility estimators RePEc:eee:econom:v:161:y:2011:i:2:p:284-303	[Citation Analysis]
2011	GMM Estimation of short dynamic panel data models with error cross-sectional dependence RePEc:pra:mprapa:25176	[Citation Analysis]
2011	Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence RePEc:rug:rugwps:11/723	[Citation Analysis]
2011	Locally stationary volatility modelling RePEc:cor:louvco:2011041	[Citation Analysis]
2011	Bias in estimating multivariate and univariate diffusions RePEc:eee:econom:v:161:y:2011:i:2:p:228-245	[Citation Analysis]
2011	GMM Estimation and Uniform Subvector Inference with Possible Identification Failure RePEc:cwl:cwldpp:1828	[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

Year	Title	See
2011	Testing for Panel Cointegration Using Common Correlated Effects RePEc:bir:birmec:11-16	[Citation Analysis]
2011	Spatial Interactions in Hedonic Pricing Models: The Urban Housing Market of Aveiro, Portugal RePEc:dun:dpaper:253	[Citation Analysis]
2011	Estimation of the Spatial Weights Matrix under Structural Constraints RePEc:dun:dpaper:254	[Citation Analysis]
2011	Demand for international reserves in developing nations: A quantile regression approach RePEc:eee:jimfin:v:30:y:2011:i:5:p:764-777	[Citation Analysis]
2011	GMM estimation of spatial panels with fixed effects and unknown heteroskedasticity RePEc:eee:regeco:v:41:y:2011:i:5:p:487-497	[Citation Analysis]
2011	Political Mergers as Coalition Formation RePEc:egc:wpaper:997	[Citation Analysis]
2011	Aggregation in large dynamic panels RePEc:fip:feddgw:101	[Citation Analysis]
2011	How have global shocks impacted the real effective exchange rates of individual Euro area countries since the Euros creation? RePEc:fip:feddgw:102	[Citation Analysis]
2011	Factor models RePEc:sgo:wpaper:1121	[Citation Analysis]
2011	Who Suffers the Penalty? A Panel Data Analysis of Earnings Gaps in Vietnam RePEc:zbw:gdec11:60	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	GMM estimation of social interaction models with centrality RePEc:eee:econom:v:159:y:2010:i:1:p:99-115	[Citation Analysis]

Recent citations received in: 2009

Year	Title	See
2009	Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise RePEc:aah:create:2009-16	[Citation Analysis]
2009	On the Economic Evaluation of Volatility Forecasts RePEc:aah:create:2009-56	[Citation Analysis]
2009	Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches RePEc:cfr:cefirw:w0136	[Citation Analysis]
2009	BANKRUPTCY CODES, LIQUIDATION TIMING, AND DEBT VALUATION RePEc:cmf:wpaper:wp2009_0902	[Citation Analysis]
2009	UNDERIDENTIFICATION? RePEc:cmf:wpaper:wp2009_0905	[Citation Analysis]
2009	ON WATSONS NON-FORCING CONTRACTS AND RENEGOTIATION RePEc:cmf:wpaper:wp2009_0907	[Citation Analysis]
2009	MULTIPLICITY OF MIXED EQUILIBRIA IN MECHANISMS: A UNIFIED APPROACH TO EXACT AND APPROXIMATE IMPLEMENTATION RePEc:cmf:wpaper:wp2009_0908	[Citation Analysis]
2009	EQUILIBRIUM BLOCKING IN LARGE QUASILINEAR ECONOMIES RePEc:cmf:wpaper:wp2009_0911	[Citation Analysis]
2009	Nonparametric Tests of Conditional Treatment Effects RePEc:cwl:cwldpp:1740	[Citation Analysis]
2009	Estimating Income Poverty in the Presence of Missing Data and Measurement Error RePEc:diw:diwsop:diw_sp252	[Citation Analysis]
2009	A General Framework for Estimating CO2 Emissions RePEc:got:iaidps:180	[Citation Analysis]
2009	Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa? RePEc:hal:wpaper:hal-00422522	[Citation Analysis]
2009	Inference on a Generalized Roy Model, with an Application to Schooling Decisions in France RePEc:iza:izadps:dp4606	[Citation Analysis]
2009	Estimating Income Poverty in the Presence of Missing Data and Measurement Error RePEc:rtv:ceisrp:145	[Citation Analysis]
2009	Partial Identification of Discrete Counterfactual Distributions with Sequential Update of Information RePEc:soz:wpaper:0918	[Citation Analysis]
2009	Set Identified Linear Models RePEc:tse:wpaper:22272	[Citation Analysis]
2009	Treatment evaluation in the presence of sample selection RePEc:usg:dp2009:2009-07	[Citation Analysis]

Recent citations received in: 2008

Year	Title	See
2008	Measuring productivity differentials – An application to milk production in Nordic countries RePEc:ags:eaae08:44277	[Citation Analysis]
2008	International Portfolios, Capital Accumulation and Foreign Assets Dynamics RePEc:cpr:ceprdp:6902	[Citation Analysis]
2008	Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests RePEc:dgr:umamet:2008048	[Citation Analysis]
2008	Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies RePEc:pra:mprapa:9257	[Citation Analysis]
2008	Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach RePEc:wat:wpaper:08007	[Citation Analysis]
2008	Time-Deformation Modeling Of Stock Returns Directed By Duration Processes RePEc:wat:wpaper:08010	[Citation Analysis]
2008	International portfolios, capital accumulation and foreign assets dynamics RePEc:zbw:bubdp1:7444	[Citation Analysis]