Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Econometric Theory / Cambridge University Press

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.070.096161130.21443997010.020.04
19910.090.0953114230.26071059030.060.04
19920.040.0971185290.165271145010.010.04
19930.070.179264260.14831249030.040.05
19940.090.1170334570.1789615014070.10.05
19950.140.21004341200.28176714921060.060.08
19960.240.24805141880.3780317041060.080.1
19970.240.3745881840.31884180440130.180.11
19980.290.29406282910.4672115445050.130.11
19990.40.34376653310.5708114460150.410.15
20000.710.42467114920.6968577550130.280.16
20010.70.44437545520.7347883580110.260.17
20020.620.45628165390.6689789550230.370.2
20030.690.47748906930.78629105720190.260.2
20040.620.53639538530.9956136841.2140.220.22
20050.660.566110149190.91777137901.1380.620.23
20060.970.5557107110971.023421241200200.350.22
20070.670.475311249620.86227118790180.340.19
20080.740.569119312351.04531110810550.80.21
20090.810.5181127413441.05429122990390.480.21
20100.760.4767134111820.883491501140220.330.17
20110.940.5550139113400.961541481390240.480.22
20121.190.6753144416011.11751171390.7150.280.26
20130.640.924514891490133103660150.330.34
20140.390.682315127450.4939838030.130.24
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Most cited documents in this series:

YearTitleCited
1995Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00.

Full description at Econpapers || Download paper

804
2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20.

Full description at Econpapers || Download paper

484
1996Which Moments to Match?. (1996). Gallant, A. ; Tauchen, George . In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00.

Full description at Econpapers || Download paper

336
2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19.

Full description at Econpapers || Download paper

327
1991Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00.

Full description at Econpapers || Download paper

286
2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). McAleer, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05.

Full description at Econpapers || Download paper

246
1990Stationarity and Persistence in the GARCH(1,1) Model. (1990). Nelson, Daniel B.. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:03:p:318-334_00.

Full description at Econpapers || Download paper

208
1994A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). shin, yongcheol. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00.

Full description at Econpapers || Download paper

169
1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00.

Full description at Econpapers || Download paper

162
1993Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00.

Full description at Econpapers || Download paper

161
1997Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00.

Full description at Econpapers || Download paper

157
1996Markov Chain Monte Carlo Simulation Methods in Econometrics. (1996). Greenberg, Edward ; Chib, Siddhartha . In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00.

Full description at Econpapers || Download paper

153
1997Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995. (1997). Baltagi, Badi ; Boozer, Michael A.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:747-754_00.

Full description at Econpapers || Download paper

152
1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS. (1998). Jeantheau, Thierry. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14.

Full description at Econpapers || Download paper

151
2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Carrasco, Marine ; Chen, Xiaohong . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18.

Full description at Econpapers || Download paper

147
1999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Baltagi, Badi ; Wu, Ping X.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15.

Full description at Econpapers || Download paper

145
2001THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). Lippi, Marco ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17.

Full description at Econpapers || Download paper

122
1995Inference in Models with Nearly Integrated Regressors. (1995). Elliott, Graham ; Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00.

Full description at Econpapers || Download paper

122
1988Statistical Inference in Regressions with Integrated Processes: Part 1. (1988). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:468-497_01.

Full description at Econpapers || Download paper

117
1986Asymptotic Theory for ARCH Models: Estimation and Testing. (1986). Weiss, Andrew A.. In: Econometric Theory. RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01.

Full description at Econpapers || Download paper

115
1999ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1999). Phillips, Peter ; Park, Joon. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:269-298_15.

Full description at Econpapers || Download paper

114
1997Optimal Prediction Under Asymmetric Loss. (1997). Diebold, Francis ; Christoffersen, Peter. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:808-817_00.

Full description at Econpapers || Download paper

112
111
1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes. (1992). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:04:p:489-500_01.

Full description at Econpapers || Download paper

108
2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS. (2002). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:03:p:722-729_18.

Full description at Econpapers || Download paper

103
1988Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data. (1988). Lo, Andrew. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:02:p:231-247_01.

Full description at Econpapers || Download paper

102
1998CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE. (1998). White, Halbert ; Stinchcombe, Maxwell. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:03:p:295-325_14.

Full description at Econpapers || Download paper

99
1995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power. (1995). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1148-1171_00.

Full description at Econpapers || Download paper

98
1989Testing for Unit Roots in Time Series Data. (1989). Pantula, Sastry G.. In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:256-271_01.

Full description at Econpapers || Download paper

98
1989Partially Identified Econometric Models. (1989). Phillips, Peter ; Phillips, P. C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:02:p:181-240_01.

Full description at Econpapers || Download paper

98
97
1989Statistical Inference in Regressions with Integrated Processes: Part 2. (1989). Phillips, Peter ; Park, Joon ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:5:y:1989:i:01:p:95-131_01.

Full description at Econpapers || Download paper

92
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; LTKEPOHL, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18.

Full description at Econpapers || Download paper

88
1990A Unified Approach to Robust, Regression-Based Specification Tests. (1990). Wooldridge, Jeffrey. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:01:p:17-43_00.

Full description at Econpapers || Download paper

86
1995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified. (1995). Watson, Mark ; Horvath, Michael T. K., . In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:984-1014_00.

Full description at Econpapers || Download paper

82
1998A NOTE ON THE CONVERGENCE OF NONPARAMETRIC DEA ESTIMATORS FOR PRODUCTION EFFICIENCY SCORES. (1998). Simar, Leopold ; Kneip, Alois ; PARK, Byeong U.. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:06:p:783-793_14.

Full description at Econpapers || Download paper

82
2004INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20.

Full description at Econpapers || Download paper

82
1995Causality in the Long Run. (1995). Lin, Jin-Lung ; Clive, W. J.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:530-536_00.

Full description at Econpapers || Download paper

81
1995Nonparametric Kernel Estimation for Semiparametric Models. (1995). Andrews, Donald. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:03:p:560-586_00.

Full description at Econpapers || Download paper

79
1991Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00.

Full description at Econpapers || Download paper

79
1994Testing for Second-Order Stochastic Dominance of Two Distributions. (1994). Kaur, Amarjot ; Prakasa Rao, B. L. S., ; Singh, Harshinder . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00.

Full description at Econpapers || Download paper

77
1999THE NONSTATIONARY FRACTIONAL UNIT ROOT. (1999). Tanaka, Katsuto . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:04:p:549-582_15.

Full description at Econpapers || Download paper

77
1997Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series. (1997). Vogelsang, Timothy. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:06:p:818-848_00.

Full description at Econpapers || Download paper

77
1999THE SIZE DISTORTION OF BOOTSTRAP TESTS. (1999). MacKinnon, James ; Davidson, Russell. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:03:p:361-376_15.

Full description at Econpapers || Download paper

74
1997Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00.

Full description at Econpapers || Download paper

73
2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION. (2008). McAleer, Michael ; Chan, Felix ; Lieberman, Offer ; Hoti, Suhejla . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1554-1583_08.

Full description at Econpapers || Download paper

73
2005A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05.

Full description at Econpapers || Download paper

69
1995An LM Test for a Unit Root in the Presence of a Structural Change. (1995). Lee, Junsoo ; Amsler, Christine. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:02:p:359-368_00.

Full description at Econpapers || Download paper

69
2009OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09.

Full description at Econpapers || Download paper

65
1992A Representation of Vector Autoregressive Processes Integrated of Order 2. (1992). Johansen, Soren. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:02:p:188-202_01.

Full description at Econpapers || Download paper

65

Citing documents used to compute impact factor 38:

YearTitleSee
2014[Citation Analysis]
2014Testing cointegration relationship in a semiparametric varying coefficient model. (2014). Liang, Zhongwen ; Gu, Jingping . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p1:p:57-70.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Integrated modified OLS estimation and fixed-b inference for cointegrating regressions. (2014). Wagner, Martin ; Vogelsang, Timothy J.. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:741-760.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity. (2014). Roca, Eduardo ; Cheung, Adrian (Wai-Kong) ; Su, Jen-Je . In: Economic Modelling. RePEc:eee:ecmode:v:36:y:2014:i:c:p:161-171.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Specification Tests for Nonlinear Dynamic Models. (2014). Kheifets, Igor. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1937.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. (2014). Ouysse, Rachida . In: Computational Statistics. RePEc:spr:compst:v:29:y:2014:i:1:p:233-261.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Liu, Cheng ; Tang, Cheng Yong . In: Journal of Econometrics. RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the Measurement of Economic Tail Risk. (2014). Kou, Steven ; Peng, Xianhua . In: Papers. RePEc:arx:papers:1401.4787.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence. (2014). Chen, Jia ; Gao, Jiti . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-15.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Noncausal Bayesian Vector Autoregression. (2014). Lanne, Markku ; Luoto, Jani . In: CREATES Research Papers. RePEc:aah:create:2014-07.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Forecasting with a noncausal VAR model. (2014). Nyberg, Henri ; Saikkonen, Pentti . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:536-555.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Testing stationarity of functional time series. (2014). Horvath, Lajos ; Kokoszka, Piotr ; Rice, Gregory . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:66-82.

Full description at Econpapers || Download paper

[Citation Analysis]
2014[Citation Analysis]
2014Optimal estimation of cointegrated systems with irrelevant instruments. (2014). Phillips, Peter ; Phillips, Peter C. B., . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p2:p:210-224.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates. (2014). Zhu, Ke ; Li, Wai Keung ; Yu, Philip L. H., . In: MPRA Paper. RePEc:pra:mprapa:53874.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Inflation Expectations Spillovers between the United States and Euro Area. (2014). Todorov, Viktor ; Rei, Markus ; Tauchen, George . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-022.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A unified approach to validating univariate and multivariate conditional distribution models in time series. (2014). Hong, Yongmiao ; Chen, Bin . In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p1:p:22-44.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Testing for seasonal unit roots by frequency domain regression. (2014). Taylor, Robert ; Chambers, Marcus ; Taylor, A. M. Robert, ; Ercolani, Joanne S.. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p2:p:243-258.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Multiple break detection in the correlation structure of random variables. (2014). Wied, Dominik ; Galeano, Pedro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:262-282.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution. (2014). Wied, Dominik ; Vogel, Daniel ; van Kampen, Maarten ; Dehling, Herold . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:723-736.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Estimating multivariate GARCH and stochastic correlation models equation by equation. (2014). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:54250.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Dynamic factor multivariate GARCH model. (2014). Santos, Andre A. P., ; Moura, Guilherme V.. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:606-617.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2014). GAO, Jiti ; Yin, Jiying ; Dong, Chaohua ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-8.

Full description at Econpapers || Download paper

[Citation Analysis]
2014On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. (2014). Ouysse, Rachida . In: Computational Statistics. RePEc:spr:compst:v:29:y:2014:i:1:p:233-261.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A new Pearson-type QMLE for conditionally heteroskedastic models. (2014). Zhu, Ke ; Li, Wai Keung . In: MPRA Paper. RePEc:pra:mprapa:52732.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Measuring and testing for the systemically important financial institutions. (2014). Ferrari, Stijn ; Castro, Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:25:y:2014:i:c:p:1-14.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Nonparametric kernel density estimation near the boundary. (2014). Schienle, Melanie ; Malec, Peter. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:72:y:2014:i:c:p:57-76.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data. (2014). Madani, Fethi ; Abdali, Abdel ; Demongeot, Jacques ; Laksaci, Ali ; Rachdi, Mustapha . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:73:y:2014:i:c:p:53-68.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Uniform Inference in Nonlinear Models with Mixed Identification Strength. (2014). Cheng, Xu. In: PIER Working Paper Archive. RePEc:pen:papers:14-018.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle. (2014). Bada, Oualid ; Kneip, Alois . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:95-115.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Inflation Expectations Spillovers between the United States and Euro Area. (2014). Todorov, Viktor ; Rei, Markus ; Tauchen, George . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-022.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Large and moderate deviations of realized covolatility. (2014). Samoura, Yacouba ; Djellout, Hacene. In: Statistics & Probability Letters. RePEc:eee:stapro:v:86:y:2014:i:c:p:30-37.

Full description at Econpapers || Download paper

[Citation Analysis]
2014How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test. (2014). Yang, Lixiong ; Shie, Fu Shuen ; Lee, Chingnun . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:26:y:2014:i:c:p:198-226.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence. (2014). GAO, Jiti ; Dong, Chaohua ; Peng, Bin . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-9.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators. (2014). Lee, Seojeong. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:p3:p:398-413.

Full description at Econpapers || Download paper

[Citation Analysis]
2014TESTING FOR A GENERAL CLASS OF FUNCTIONAL INEQUALITIES. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul . In: KIER Working Papers. RePEc:kyo:wpaper:889.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Testing for a general class of functional inequalities. (2014). Lee, Sokbae (Simon) ; Whang, Yoon-Jae ; Song, Kyungchul ; Sokbae 'Simon' Lee, . In: CeMMAP working papers. RePEc:ifs:cemmap:09/14.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Confidence Corridors for Multivariate Generalized Quantile Regression. (2014). Chao, Shih-Kang ; Hardle, Wolfgang ; DETTE, HOLGER ; PROKSCH, KATHARINA . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-028.

Full description at Econpapers || Download paper

[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

YearTitleSee
2014Nonparametric inference based on conditional moment inequalities. (2014). shi, xiaoxia ; Andrews, Donald W. K., . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:31-45.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Asymptotically efficient estimation of weighted average derivatives with an interval censored variable. (2014). Kaido, Hiroaki. In: CeMMAP working papers. RePEc:ifs:cemmap:03/14.

Full description at Econpapers || Download paper

[Citation Analysis]
2014[Citation Analysis]

Recent citations received in: 2013

YearTitleSee
2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2013-35.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Oracle Inequalities for Convex Loss Functions with Non-Linear Targets. (2013). Caner, Mehmet ; Kock, Anders Bredahl . In: CREATES Research Papers. RePEc:aah:create:2013-51.

Full description at Econpapers || Download paper

[Citation Analysis]
2013News Driven Business Cycles: Insights and Challenges. (2013). Portier, Franck ; Beaudry, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9624.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models. (2013). Zakoian, Jean-Michel ; Li, Dong ; Ling, Shiqing . In: Working Papers. RePEc:crs:wpaper:2013-51.

Full description at Econpapers || Download paper

[Citation Analysis]
2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2013). Velasco, Carlos ; Kheifets, Igor. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Inference on an extended Roy model, with an application to schooling decisions in France. (2013). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; DHaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:174:y:2013:i:2:p:95-106.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Parametric and Nonparametric Frequentist Model Selection and Model Averaging. (2013). Amanullah, ; Wang, Huansha . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:157-179:d:28948.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Risk Measure Inference. (2013). Smeekes, Stephan ; Quaedvlieg, Rogier ; Laurent, Sébastien ; Hurlin, Christophe. In: Working Papers. RePEc:hal:wpaper:halshs-00877279.

Full description at Econpapers || Download paper

[Citation Analysis]
2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. In: Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover. RePEc:han:dpaper:dp-519.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Testing for a unit root in noncausal autoregressive models. (2013). Saikkonen, Pentti ; Sandberg, Rickard . In: Research Discussion Papers. RePEc:hhs:bofrdp:2013_026.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Properties of the maximum likelihood estimator in spacial autoregressive models. (2013). Hillier, Grant ; Martellosio, Federico . In: CeMMAP working papers. RePEc:ifs:cemmap:44/13.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Parameter Identification in the Logistic STAR Model. (2013). Ekner, Line ; Nejstgaard, Emil . In: Discussion Papers. RePEc:kud:kuiedp:1307.

Full description at Econpapers || Download paper

[Citation Analysis]
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-27.

Full description at Econpapers || Download paper

[Citation Analysis]
2013News Driven Business Cycles: Insights and Challenges. (2013). Portier, Franck ; Beaudry, Paul. In: NBER Working Papers. RePEc:nbr:nberwo:19411.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2012

YearTitleSee
2012Alternative Asymptotics and the Partially Linear Model with Many Regressors. (2012). Newey, Whitney ; Jansson, Michael ; Cattaneo, Matias. In: CREATES Research Papers. RePEc:aah:create:2012-02.

Full description at Econpapers || Download paper

[Citation Analysis]
2012An Overview of the Special Regressor Method. (2012). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:810.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Time irreversible copula-based Markov Models. (2012). Beare, Brendan K. ; Seo, Juwon . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt31f8500p.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters. (2012). Guggenberger, Patrik . In: Economics Letters. RePEc:eee:ecolet:v:117:y:2012:i:3:p:901-904.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Regression towards the mode. (2012). Santos Silva, João ; Kemp, Gordon C. R., ; Santos Silva, J. M. C., . In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:1:p:92-101.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Underidentification?. (2012). Sentana, Enrique ; Hansen, Lars ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:170:y:2012:i:2:p:256-280.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Independence Test for High Dimensional Random Vectors. (2012). gao, jassduke ; Pan, G. ; Yang, Y. ; Guo, M.. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2012-1.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Nonlinear Regression with Harris Recurrent Markov Chains. (2012). Li, Degui ; GAO, Jiti ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2012-14.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments. (2012). Cheng, Xu ; Liao, Zhipeng . In: PIER Working Paper Archive. RePEc:pen:papers:12-045.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Subset hypotheses testing and instrument exclusion in the linear IV regression. (2012). Doko Tchatoka, Firmin. In: MPRA Paper. RePEc:pra:mprapa:29611.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Identification and estimation of dynamic factor models. (2012). Bai, Jushan ; Wang, Peng . In: MPRA Paper. RePEc:pra:mprapa:38434.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Specification Tests with Weak and Invalid Instruments. (2012). Doko Tchatoka, Firmin ; Doko Tchatoka, Firmin Sabro, . In: MPRA Paper. RePEc:pra:mprapa:40185.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Efficient Estimation of Approximate Factor Models. (2012). Liao, Yuan ; Bai, Jushan. In: MPRA Paper. RePEc:pra:mprapa:41558.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Forecasting Korean inflation. (2012). Choi, In ; Hwang, Seong Jin . In: Working Papers. RePEc:sgo:wpaper:1202.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A new fluctuation test for constant variances with applications to finance. (2012). Wied, Dominik ; Ziggel, Daniel ; Bissantz, Nicolai ; Arnold, Matthias . In: Metrika. RePEc:spr:metrik:v:75:y:2012:i:8:p:1111-1127.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2011

YearTitleSee
2011Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard . In: CREATES Research Papers. RePEc:aah:create:2011-31.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Wealth mobility and dynamics over entire individual working life cycles. (2011). Ohlsson, Henry ; Hochguertel, Stefan. In: BCL working papers. RePEc:bcl:bclwop:bclwp056.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models. (2011). Rombouts, Jeroen ; Bauwens, Luc ; Dufays, Arnaud . In: CIRANO Working Papers. RePEc:cir:cirwor:2011s-72.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Marginal likelihood for Markov-switching and change-point GARCH models. (2011). Rombouts, Jeroen ; Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen V. K., . In: CORE Discussion Papers. RePEc:cor:louvco:2011013.

Full description at Econpapers || Download paper

[Citation Analysis]
2011State dependence and heterogeneity in health using a bias corrected fixed effects estimator. (2011). Carro, Jesus ; Traferri, Alejandra . In: Economics Working Papers. RePEc:cte:werepe:we1118.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals. (2011). Pouzo, Demian ; Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1650rr.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (2011). Otsu, Taisuke ; Marmer, Vadim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1724.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Examples of L^2-Complete and Boundedly-Complete Distributions. (2011). Andrews, Donald ; Donald W. K. Andrews, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1801.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Fitting dynamic factor models to non-stationary time series. (2011). Eichler, Michael ; Motta, Giovanni ; von Sachs, Rainer . In: Journal of Econometrics. RePEc:eee:econom:v:163:y:2011:i:1:p:51-70.

Full description at Econpapers || Download paper

[Citation Analysis]
2011A cautionary note on tests for overidentifying restrictions. (2011). Santos Silva, João ; Parente, Paulo ; J. M. C. Santos Silva, ; Paulo M. D. C. Parente, ; J. M. C. Santos Silva, . In: Economics Discussion Papers. RePEc:esx:essedp:699.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Reestablishing the income-democracy nexus. (2011). Spiegel, Mark ; Corvalan, Alejandro ; Benhabib, Jess. In: Working Paper Series. RePEc:fip:fedfwp:2011-09.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Multivariate trend comparisons between autocorrelated climate series with general trend regressors. (2011). Vogelsang, Timothy ; McKitrick, Ross. In: Working Papers. RePEc:gue:guelph:2011-09..

Full description at Econpapers || Download paper

[Citation Analysis]
2011Nonparametric LAD Cointegrating Regression. (2011). Honda, Toshio. In: Global COE Hi-Stat Discussion Paper Series. RePEc:hst:ghsdps:gd11-207.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Nonparametric identification using instrumental variables: sufficient conditions for completeness. (2011). Hu, Yingyao ; Shiu, Ji-Liang . In: CeMMAP working papers. RePEc:ifs:cemmap:25/11.

Full description at Econpapers || Download paper

[Citation Analysis]
2011State Dependence and Heterogeneity in Health Using a Bias Corrected Fixed Effects Estimator. (2011). Carro, Jesus ; Traferri, Alejandra . In: Documentos de Trabajo. RePEc:ioe:doctra:402.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Nonparametric Identification Using Instrumental Variables: Sufficient Conditions For Completeness. (2011). Hu, Yingyao ; Shiu, Ji-Liang . In: Economics Working Paper Archive. RePEc:jhu:papers:581.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Nonparametric Identification and Estimation of Transformation Models. (2011). Kristensen, Dennis ; Komunjer, Ivana ; Chiappori, Pierre. In: CAM Working Papers. RePEc:kud:kuieca:2011_01.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models. (2011). Bauwens, Luc ; Dufays, Arnaud ; Jeroen V. K. Rombouts, . In: Cahiers de recherche. RePEc:lvl:lacicr:1138.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Reestablishing the Income-Democracy Nexus. (2011). Spiegel, Mark ; Corvalan, Alejandro ; Benhabib, Jess. In: NBER Working Papers. RePEc:nbr:nberwo:16832.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties. (2011). Ng, Serena ; Gorodnichenko, Yuriy ; Mikusheva, Anna . In: NBER Working Papers. RePEc:nbr:nberwo:17424.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Posterior consistency of nonparametric conditional moment restricted models. (2011). Liao, Yuan ; Jiang, Wenxin . In: MPRA Paper. RePEc:pra:mprapa:38700.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Nonlinear Panel Data Models with Expected a Posteriori Values of Correlated Random Effects. (2011). Tiwari, Amaresh ; Palm, Franz . In: CREPP Working Papers. RePEc:rpp:wpaper:1113.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects. (2011). Sun, Yixiao ; Kim, Min Seong. In: Working Papers. RePEc:rye:wpaper:wp029.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit. (2011). Otsu, Taisuke ; Marmer, Vadim. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:vadim_marmer-2008-13.

Full description at Econpapers || Download paper

[Citation Analysis]

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.