Citation analysis for Econometric Theory / Cambridge University Press

Econometric Theory / Cambridge University Press

0.66

Impact Factor

0.89

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990	0.08	0.1	0.07	61	61	15	0.25	564	99	8	199	13	5 (%)	1	0.02	0.04
1991	0.1	0.09	0.09	53	114	27	0.24	818	105	10	236	21	3 (%)	3	0.06	0.04
1992	0.05	0.09	0.06	71	185	31	0.17	676	114	6	253	16	2 (%)	1	0.01	0.04
1993	0.07	0.1	0.07	79	264	27	0.1	662	124	9	284	19	(%)	3	0.04	0.05
1994	0.11	0.11	0.11	70	334	60	0.18	1156	150	16	308	33	3 (%)	6	0.09	0.05
1995	0.15	0.2	0.19	100	434	130	0.3	2459	149	22	334	65	5 (%)	7	0.07	0.07
1996	0.26	0.23	0.28	80	514	194	0.38	961	170	44	373	104	1 (%)	4	0.05	0.09
1997	0.27	0.27	0.24	74	588	199	0.34	1139	180	48	400	94	3 (%)	13	0.18	0.09
1998	0.29	0.29	0.39	40	628	322	0.51	1010	154	45	403	156	4 (%)	5	0.13	0.1
1999	0.41	0.32	0.5	37	665	379	0.57	933	114	47	364	181	3 (%)	17	0.46	0.13
2000	0.79	0.4	0.74	46	711	514	0.72	950	77	61	331	246	2 (%)	12	0.26	0.15
2001	0.67	0.4	0.72	43	754	565	0.75	632	83	56	277	200	1 (%)	12	0.28	0.15
2002	0.66	0.42	0.84	62	816	586	0.72	1261	89	59	240	202	5 (%)	26	0.42	0.18
2003	0.78	0.44	0.91	74	890	744	0.84	928	105	82	228	207	3 (%)	21	0.28	0.19
2004	0.74	0.49	0.94	63	953	919	0.96	1676	136	101	262	246	2 (%)	15	0.24	0.2
2005	0.68	0.53	0.86	61	1014	974	0.96	1239	137	93	288	248	1 (%)	39	0.64	0.21
2006	1.04	0.51	0.96	57	1071	1203	1.12	510	124	129	303	290	(%)	23	0.4	0.2
2007	0.76	0.45	0.98	53	1124	1084	0.96	362	118	90	317	312	2 (%)	19	0.36	0.18
2008	0.77	0.48	1.28	69	1193	1355	1.14	932	110	85	308	393	2 (%)	56	0.81	0.2
2009	0.92	0.47	1.38	81	1274	1536	1.21	895	122	112	303	419	1 (%)	45	0.56	0.19
2010	0.94	0.45	0.97	67	1341	1388	1.04	807	150	141	321	312	2 (%)	25	0.37	0.16
2011	1.06	0.52	0.94	50	1391	1587	1.14	375	148	157	327	309	1 (%)	27	0.54	0.2
2012	1.29	0.55	1.28	53	1444	1815	1.26	335	117	151	320	411	(%)	20	0.38	0.2
2013	1.02	0.62	1.42	45	1489	1851	1.24	196	103	105	320	453	(%)	15	0.33	0.22
2014	1.05	0.64	1.29	43	1532	1795	1.17	93	98	103	296	383	(%)	11	0.26	0.21
2015	0.95	0.69	1.34	51	1583	1859	1.17	92	88	84	258	346	(%)	19	0.37	0.22
2016	0.66	0.85	0.89	39	1622	1727	1.06	45	94	62	242	215	(%)	12	0.31	0.26

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
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
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%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

50 most cited documents in this series:

#	Year	Title	Cited
1	1995	Multivariate 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	1228
2	2004	PANEL 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	930
3	2003	ASYMPTOTIC 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	480
4	1991	Asymptotically 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	407
5	1996	Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00. Full description at Econpapers \|\| Download paper	400
6	2005	AUTOMATED 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	336
7	1990	Stationarity 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	266
8	1993	Testing 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	255
9	1997	Estimating 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	244
10	1998	STRONG 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	228
11	1999	UNEQUALLY 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	213
12	1994	Asymptotic 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	210
13	1994	A 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	203
14	2002	MIXING 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	196
15	2009	OPENING 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	181
16	1996	Markov 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	177
17	2001	THE 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	176
18	2004	INSTRUMENTAL 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	157
19	1986	Asymptotic 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	155
20	1995	Inference 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	149
21	1988	Statistical 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	145
22	1997	Econometric 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	145
23	1997	Optimal 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	143
24	1999	ASYMPTOTICS 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	136
25	1998	CONSISTENT 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	135
26	2002	NECESSARY 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	135
27	1992	Convergence 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	132
28	2002	TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18. Full description at Econpapers \|\| Download paper	129
29	2008	GENERALIZED 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	128
30	1995	Rethinking 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	128
31	1998	A 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	127
32	2000	TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16. Full description at Econpapers \|\| Download paper	126
33	1995	Causality 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	125
34	1991	Asymptotics 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	120
35	1989	Testing 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	118
36	2005	A 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	117
37	1992	Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01. Full description at Econpapers \|\| Download paper	116
38	1989	Statistical 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	115
39	1989	Partially 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	113
40	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÂ¶tscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05. Full description at Econpapers \|\| Download paper	111
41	1988	Maximum Likelihood Estimation of Generalized ItÃ´ 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	111
42	1997	Variance 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	111
43			103
44	1990	A 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	102
45	2002	CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18. Full description at Econpapers \|\| Download paper	99
46	1995	Nonparametric 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	97
47	1999	THE 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	97
48	1995	Testing 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	97
49	1999	THE 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	96
50	1994	Testing 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	96

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2004	PANEL 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	284
2	1995	Multivariate 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	266
3	2003	ASYMPTOTIC 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	92
4	1993	Testing 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	59
5	1997	Estimating 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	58
6	1998	STRONG 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	56
7	2009	OPENING 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	55
8	1991	Asymptotically 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	54
9	2009	GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Carrion-i-Silvestre, Josep Llu?s, . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99. Full description at Econpapers \|\| Download paper	48
10	2005	AUTOMATED 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	45
11	2004	INSTRUMENTAL 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	45
12	2012	A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). HÃÂ¤rdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K. ; Song, Song . In: Econometric Theory. RePEc:cup:etheor:v:28:y:2012:i:04:p:861-887_00. Full description at Econpapers \|\| Download paper	44
13	1999	UNEQUALLY 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	39
14	2005	A 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	37
15	2008	GENERALIZED 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	37
16	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÂ¶tscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05. Full description at Econpapers \|\| Download paper	35
17	2000	TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT. (2000). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:03:p:373-406_16. Full description at Econpapers \|\| Download paper	35
18	2008	UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA. (2008). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:726-748_08. Full description at Econpapers \|\| Download paper	33
19	2008	ASYMPTOTICS AND CONSISTENT BOOTSTRAPS FOR DEA ESTIMATORS IN NONPARAMETRIC FRONTIER MODELS. (2008). Wilson, Paul ; Simar, Leopold ; Kneip, Alois . In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:06:p:1663-1697_08. Full description at Econpapers \|\| Download paper	32
20	1996	Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00. Full description at Econpapers \|\| Download paper	31
21	2005	NONPARAMETRIC FRONTIER ESTIMATION: A CONDITIONAL QUANTILE-BASED APPROACH. (2005). THOMAS-AGNAN, Christine ; Daouia, Abdelaati ; Aragon, Y.. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:02:p:358-389_05. Full description at Econpapers \|\| Download paper	31
22	1991	Asymptotics 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	30
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24	2001	THE 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	29
25	1992	Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01. Full description at Econpapers \|\| Download paper	29
26	2002	MIXING 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	27
27	1995	Inference 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	25
28	2005	ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. (2005). Pesaran, M ; hsiao, cheng ; Binder, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:04:p:795-837_05. Full description at Econpapers \|\| Download paper	24
29	2010	UNIT ROOT TESTS WITH WAVELETS. (2010). Gencay, Ramazan ; Genay, Ramazan ; Fan, Yanqin . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:05:p:1305-1331_99. Full description at Econpapers \|\| Download paper	23
30	2002	HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE. (2002). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:06:p:1350-1366_18. Full description at Econpapers \|\| Download paper	23
31	2008	A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES. (2008). Johansen, Soren. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08. Full description at Econpapers \|\| Download paper	23
32	2009	VALIDITY OF SUBSAMPLING AND âPLUG-IN ASYMPTOTICâ INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES. (2009). Andrews, Donald ; Guggenberger, Patrik . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:03:p:669-709_09. Full description at Econpapers \|\| Download paper	23
33	2010	A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS. (2010). Yu, Jihai ; Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:564-597_10. Full description at Econpapers \|\| Download paper	22
34	1997	Variance 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	22
35	2002	CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS. (2002). Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:252-277_18. Full description at Econpapers \|\| Download paper	22
36	2010	EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND. (2010). Shimotsu, Katsumi. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:02:p:501-540_10. Full description at Econpapers \|\| Download paper	21
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38	1998	A 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	21
39	2010	EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES. (2010). Liu, Xiaodong ; Lee, Lung-Fei. In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:187-230_09. Full description at Econpapers \|\| Download paper	20
40	1988	Partially Adaptive Estimation of Regression Models via the Generalized T Distribution. (1988). Newey, Whitney ; McDonald, James. In: Econometric Theory. RePEc:cup:etheor:v:4:y:1988:i:03:p:428-457_01. Full description at Econpapers \|\| Download paper	18
41	2008	NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS. (2008). Li, Qi ; Cai, Zongwu. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:05:p:1321-1342_08. Full description at Econpapers \|\| Download paper	18
42	2011	BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS. (2011). Shephard, Neil ; Flury, Thomas. In: Econometric Theory. RePEc:cup:etheor:v:27:y:2011:i:05:p:933-956_00. Full description at Econpapers \|\| Download paper	18
43	2004	COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS. (2004). Yang, Yuhong . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:01:p:176-222_20. Full description at Econpapers \|\| Download paper	18
44	2010	GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY. (2010). Phillips, Peter ; Han, Chirok ; Phillips, Peter C. B., . In: Econometric Theory. RePEc:cup:etheor:v:26:y:2010:i:01:p:119-151_09. Full description at Econpapers \|\| Download paper	18
45	2004	THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS. (2004). Sancetta, Alessio ; Satchell, Stephen . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:535-562_20. Full description at Econpapers \|\| Download paper	17
46	2013	A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS. (2013). Politis, Dimitris N. ; Giacomini, Raffaella ; White, Halbert . In: Econometric Theory. RePEc:cup:etheor:v:29:y:2013:i:03:p:567-589_00. Full description at Econpapers \|\| Download paper	17
47	2011	BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS. (2011). Kuersteiner, Guido ; Hahn, Jinyong. In: Econometric Theory. RePEc:cup:etheor:v:27:y:2011:i:06:p:1152-1191_00. Full description at Econpapers \|\| Download paper	17
48	1997	Multiplicative Panel Data Models Without the Strict Exogeneity Assumption. (1997). Wooldridge, Jeffrey. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:05:p:667-678_00. Full description at Econpapers \|\| Download paper	17
49	2002	TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME. (2002). Saikkonen, Pentti ; tkepohl, Helmut L ; Ltkepohl, Helmut . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:02:p:313-348_18. Full description at Econpapers \|\| Download paper	17
50	1998	CONSISTENT 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	17

Citing documents used to compute impact factor 62:

Year	Title
2016	Jackknife Bias Reduction in the Presence of a Near-Unit Root. (2016). Kyriacou, Maria ; Chambers, Marcus. In: Economics Discussion Papers. RePEc:esx:essedp:17623. Full description at Econpapers \|\| Download paper
2016	PodmÃnÄnÃ½ politicko-rozpoÄtovÃ½ cyklus v zemÃch OECD. (2016). Jank, Jan . In: PolitickÃ¡ ekonomie. RePEc:prg:jnlpol:v:2016:y:2016:i:1:id:1055:p:65-82. Full description at Econpapers \|\| Download paper
2016	Econometrics as a Pluralistic Scientific Tool for Economic Planning: On Lawrence R. Kleins Econometrics. (2016). PinzÃÂ³n-Fuchs, Erich ; Pinzon-Fuchs, Erich . In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01364809. Full description at Econpapers \|\| Download paper
2016	Tribute to T. W. Anderson. (2016). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2081. Full description at Econpapers \|\| Download paper
2016	Shrinkage estimation of dynamic panel data models with interactive fixed effects. (2016). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:148-175. Full description at Econpapers \|\| Download paper
2016	â1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271. Full description at Econpapers \|\| Download paper
2016	Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109. Full description at Econpapers \|\| Download paper
2016	Forecasting using sparse cointegration. (2016). Croux, Christophe ; Wilms, Ines . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1256-1267. Full description at Econpapers \|\| Download paper
2016	Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne . In: Research Memorandum. RePEc:unm:umagsb:2016039. Full description at Econpapers \|\| Download paper
2016	Root-T consistent density estimation in GARCH models. (2016). Delaigle, Aurore ; Rombouts, Jeroen ; Meister, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:55-63. Full description at Econpapers \|\| Download paper
2016	Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68. Full description at Econpapers \|\| Download paper
2016	Slack-based directional distance function in the presence of bad outputs: Theory and Application to Vietnamese Banking. (2016). Zelenyuk, Valentin ; Pham, Manh D. In: CEPA Working Papers Series. RePEc:qld:uqcepa:117. Full description at Econpapers \|\| Download paper
2016	Efficient shrinkage in parametric models. (2016). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:115-132. Full description at Econpapers \|\| Download paper
2016	Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory. (2016). Doko Tchatoka, Firmin ; Dufour, Jean-Marie . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-62. Full description at Econpapers \|\| Download paper
2016	Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory. (2016). Doko Tchatoka, Firmin ; Dufour, Jean-Marie . In: Cahiers de recherche. RePEc:mtl:montec:14-2016. Full description at Econpapers \|\| Download paper
2016	Local composite quantile regression smoothing for Harris recurrent Markov processes. (2016). Li, Degui. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:44-56. Full description at Econpapers \|\| Download paper
2016	Deciding Between Alternative Approaches In Macroeconomics. (2016). Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:778. Full description at Econpapers \|\| Download paper
2016	Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation. (2016). Hendry, David ; Smerdon, Jason E ; Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:780. Full description at Econpapers \|\| Download paper
2016	Improving the Teaching of Econometrics. (2016). Mizon, Grayham ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:785. Full description at Econpapers \|\| Download paper
2016	Eliciting GDP forecasts from the FOMCâs minutes around the financial crisis. (2016). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:571-583. Full description at Econpapers \|\| Download paper
2016	Policy Analysis, Forediction, and Forecast Failure. (2016). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:809. Full description at Econpapers \|\| Download paper
2016	Macroeconomics and Consumption. (2016). muellbauer, john. In: Economics Series Working Papers. RePEc:oxf:wpaper:paper-811. Full description at Econpapers \|\| Download paper
2016	Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. (2016). Ericsson, Neil ; Neil, Ericsson . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:377-398:n:6. Full description at Econpapers \|\| Download paper
2016	Economic Forecasting in Theory and Practice: An Interview with David F. Hendry. (2016). Ericsson, Neil R. In: Working Papers. RePEc:gwc:wpaper:2016-012. Full description at Econpapers \|\| Download paper
2016	Macroeconomics and Consumption. (2016). muellbauer, john. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11588. Full description at Econpapers \|\| Download paper
2016	Tests of Equal Accuracy for Nested Models with Estimated Factors. (2016). Perron, Benoit ; McCracken, Michael ; Goncalves, Silvia. In: Working Papers. RePEc:fip:fedlwp:2015-025. Full description at Econpapers \|\| Download paper
2016	Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-415. Full description at Econpapers \|\| Download paper
2016	Cognitive load and mixed strategies: On brains and minimax. (2016). Smith, John ; Duffy, Sean ; Owens, David ; Naddeo, JJ. In: MPRA Paper. RePEc:pra:mprapa:71878. Full description at Econpapers \|\| Download paper
2016	A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Arteche, Josu ; Orbe, Jesus. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660. Full description at Econpapers \|\| Download paper
2016	Dynamic treatment effects. (2016). Veramendi, Gregory ; Humphries, John ; Heckman, James. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:276-292. Full description at Econpapers \|\| Download paper
2016	The Life-cycle Benefits of an Influential Early Childhood Program. (2016). Prados, MarÃÂa JosÃÂ© ; Heckman, James ; Garcia, Jorge Luis ; Leaf, Duncan Ermini . In: Working Papers. RePEc:hka:wpaper:2016-035. Full description at Econpapers \|\| Download paper
2016	The Life-cycle Benefits of an Influential Early Childhood Program. (2016). Prados, MarÃÂa JosÃÂ© ; Heckman, James ; Garcia, Jorge Luis ; Leaf, Duncan Ermini . In: NBER Working Papers. RePEc:nbr:nberwo:22993. Full description at Econpapers \|\| Download paper
2016	The Life-cycle Benefits of an Influential Early Childhood Program. (2016). Prados, MarÃÂa JosÃÂ© ; Heckman, James ; Garcia, Jorge Luis ; Leaf, Duncan Ermini . In: IZA Discussion Papers. RePEc:iza:izadps:dp10456. Full description at Econpapers \|\| Download paper
2016	The power envelope of panel unit root tests in case stationary alternatives offset explosive ones. (2016). Drost, Feike C. ; Wichert, Oliver ; van den Akker, Ramon ; Becheri, Gaia I. In: Statistics & Probability Letters. RePEc:eee:stapro:v:108:y:2016:i:c:p:1-8. Full description at Econpapers \|\| Download paper
2016	Nonparametric errors in variables models with measurement errors on both sides of the equation. (2016). Lewbel, Arthur ; de Nadai, Michele . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:19-32. Full description at Econpapers \|\| Download paper
2016	Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10. Full description at Econpapers \|\| Download paper
2016	EU-Fiskalregeln - Anker oder MÃ¼hlstein der europÃ¤ischen Wirtschaftspolitik?. (2016). Kitzmantel, Edith . In: Wirtschaft und Gesellschaft - WuG. RePEc:clr:wugarc:y:2016v:42i:03p:431. Full description at Econpapers \|\| Download paper
2016	EU-Fiskalregeln - Anker oder MÃ¼hlstein der europÃ¤ischen Wirtschaftspolitik?. (2016). Kitzmantel, Edith . In: Wirtschaft und Gesellschaft - WuG. RePEc:clr:wugarc:y:2016v:42i:3p:431. Full description at Econpapers \|\| Download paper
2016	On the relevance of weaker instruments. (2016). Renault, Eric ; Antoine, Bertille. In: Discussion Papers. RePEc:sfu:sfudps:dp14-04. Full description at Econpapers \|\| Download paper
2016	Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033. Full description at Econpapers \|\| Download paper
2016	A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214. Full description at Econpapers \|\| Download paper
2016	Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50. Full description at Econpapers \|\| Download paper
2016	Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68. Full description at Econpapers \|\| Download paper
2016	Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18. Full description at Econpapers \|\| Download paper
2016	The effect of additive outliers on a fractional unit root test. (2016). Hafner, Christian ; Preminger, Arie . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0265-5. Full description at Econpapers \|\| Download paper
2016	Robust Bayes estimation using the density power divergence. (2016). Basu, Ayanendranath ; Ghosh, Abhik . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:2:d:10.1007_s10463-014-0499-0. Full description at Econpapers \|\| Download paper
2016	Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14. Full description at Econpapers \|\| Download paper
2016	Strategic interaction in political competition: Evidence from spatial effects across Chinese cities. (2016). Zhu, Guozhong ; Zhou, Li-An ; Yu, Jihai . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:57:y:2016:i:c:p:23-37. Full description at Econpapers \|\| Download paper
2016	Horizontal and Vertical Firm Networks, Corporate Performance and Product Market Competition. (2016). Bischoff, Oliver ; Buchwald, Achim . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145730. Full description at Econpapers \|\| Download paper
2016	Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, JiÅÃ ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301. Full description at Econpapers \|\| Download paper
2016	Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262. Full description at Econpapers \|\| Download paper
2016	Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. (2016). Scaillet, Olivier ; Bajgrowicz, Pierre ; Treccani, Adrien . In: Management Science. RePEc:inm:ormnsc:v:62:y:2016:i:8:p:2198-2217. Full description at Econpapers \|\| Download paper
2016	GMM estimation of the Long Run Risks model. (2016). Tinang, Jules ; Meddahi, Nour . In: 2016 Meeting Papers. RePEc:red:sed016:1107. Full description at Econpapers \|\| Download paper
2016	Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model. (2016). Chen, Heng ; Liu, Ruixuan ; Fan, Yanqin . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:255-270. Full description at Econpapers \|\| Download paper
2016	Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289. Full description at Econpapers \|\| Download paper
2016	On the Stock-Yogo Tables. (2016). Windmeijer, Frank ; Skeels, Christopher. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/679. Full description at Econpapers \|\| Download paper
2016	Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits. (2016). He, Qianchuan ; Holland, Eric ; Chan, Timothy A ; Wang, Sijian ; Kong, Linglong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:95:y:2016:i:c:p:222-239. Full description at Econpapers \|\| Download paper
2016	Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:86-103. Full description at Econpapers \|\| Download paper
2016	Topics in nonparametric identification and estimation. (2016). Hubner, Stefan. In: Other publications TiSEM. RePEc:tiu:tiutis:08fce56b-3193-46e0-871b-0fa4402832b5. Full description at Econpapers \|\| Download paper
2016	Econometric estimation with high-dimensional moment equalities. (2016). Shi, Zhentao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:104-119. Full description at Econpapers \|\| Download paper
2016	Double asymptotics for explosive continuous time models. (2016). Yu, Jun ; Wang, Xiaohu . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:35-53. Full description at Econpapers \|\| Download paper
2016	Likelihood Inference in an Autoregression with Fixed Effects. (2016). Jochmans, Koen ; Dhaene, Geert. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/1mc4dip81d9t8r0t57fe1h8lap. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30. Full description at Econpapers \|\| Download paper
2016	IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models. (2016). Phillips, Peter ; PEter, ; Lieberman, Offer . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2061. Full description at Econpapers \|\| Download paper
2016	Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202. Full description at Econpapers \|\| Download paper
2016	Dynamic panels with threshold effect and endogeneity. (2016). shin, yongcheol ; Seo, Myunghwan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:169-186. Full description at Econpapers \|\| Download paper
2016	International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Toupin, Dominique ; Gagnon, Marie-Helene . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255. Full description at Econpapers \|\| Download paper
2016	Single index quantile regression for heteroscedastic data. (2016). Christou, Eliana ; Akritas, Michael G. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:150:y:2016:i:c:p:169-182. Full description at Econpapers \|\| Download paper
2016	Exploiting the monthly data flow in structural forecasting. (2016). Reichlin, Lucrezia ; Monti, Francesca ; Giannone, Domenico. In: Journal of Monetary Economics. RePEc:eee:moneco:v:84:y:2016:i:c:p:201-215. Full description at Econpapers \|\| Download paper
2016	Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160. Full description at Econpapers \|\| Download paper
2016	The Value of Knowing the Propensity Score for Estimating Average Treatment Effects. (2016). Rothe, Christoph. In: IZA Discussion Papers. RePEc:iza:izadps:dp9989. Full description at Econpapers \|\| Download paper
2016	Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14. Full description at Econpapers \|\| Download paper
2016	Controlling the Size of Autocorrelation Robust Tests. (2016). PÃÂ¶tscher, Benedikt ; Potscher, Benedikt M ; Preinerstorfer, David . In: MPRA Paper. RePEc:pra:mprapa:75657. Full description at Econpapers \|\| Download paper
2016	Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne . In: Research Memorandum. RePEc:unm:umagsb:2016039. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach. (2015). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2015-50. Full description at Econpapers \|\| Download paper
2015	Misspeciï¬cation Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0597. Full description at Econpapers \|\| Download paper
2015	Nonparametric Euler Equation Identification andEstimation. (2015). LINTON, OLIVER ; Lewbel, Arthur ; hoderlein, stefan ; Escanciano, Juan Carlos ; Srisuma, Sorawoot . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1560. Full description at Econpapers \|\| Download paper
2015	Estimating the common break date in large factor models. (2015). Chen, Liang . In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74. Full description at Econpapers \|\| Download paper
2015	New tools for understanding the local asymptotic power of panel unit root tests. (2015). , Joakimwesterlund ; Larsson, Rolf ; Westerlund, Joakim . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:59-93. Full description at Econpapers \|\| Download paper
2015	Carbon dioxide emission standards for U.S. power plants: An efficiency analysis perspective. (2015). Hampf, Benjamin ; Rodseth, Kenneth Lovold . In: Energy Economics. RePEc:eee:eneeco:v:50:y:2015:i:c:p:140-153. Full description at Econpapers \|\| Download paper
2015	Efficiency of wind power production and its determinants. (2015). Ritter, Matthias ; Odening, Martin ; Pieralli, Simone . In: Energy. RePEc:eee:energy:v:90:y:2015:i:p1:p:429-438. Full description at Econpapers \|\| Download paper
2015	Refinements in maximum likelihood inference on spatial autocorrelation in panel data. (2015). Rossi, Francesca ; Robinson, Peter . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:61432. Full description at Econpapers \|\| Download paper
2015	Glimpses of Henry Schultz in Mussoliniâs 1934 Italy. (2015). , . In: HISTORY OF ECONOMIC THOUGHT AND POLICY. RePEc:fan:spespe:v:html10.3280/spe2015-002005. Full description at Econpapers \|\| Download paper
2015	Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification. (2015). LEE, YING-YING. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:2-:d:61252. Full description at Econpapers \|\| Download paper
2015	Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification. (2015). Lee, Ying-Ying . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:2:d:61252. Full description at Econpapers \|\| Download paper
2015	Eliciting GDP Forecasts from the FOMCâs Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2015-003. Full description at Econpapers \|\| Download paper
2015	Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15. Full description at Econpapers \|\| Download paper
2015	Nonparametric Euler equation identification and estimation. (2015). Srisuma, Sorawoot ; LINTON, OLIVER ; Lewbel, Arthur ; hoderlein, stefan ; Escanciano, Juan Carlos. In: CeMMAP working papers. RePEc:ifs:cemmap:61/15. Full description at Econpapers \|\| Download paper
2015	Profits encourage investment, investment dampens profits, government spending does not prime the pump â A DAG investigation of business-cycle dynamics. (2015). Tapia, Jose. In: MPRA Paper. RePEc:pra:mprapa:64698. Full description at Econpapers \|\| Download paper
2015	Profits encourage investment, investment dampens profits, government spending does not prime the pump â A DAG investigation of business-cycle dynamics. (2015). Tapia, Jose. In: MPRA Paper. RePEc:pra:mprapa:64985. Full description at Econpapers \|\| Download paper
2015	A Note on Consistent Conditional Moment Tests. (2015). Wang, Xuexin. In: MPRA Paper. RePEc:pra:mprapa:69005. Full description at Econpapers \|\| Download paper
2015	An improved bootstrap test of density ratio ordering. (2015). Beare, Brendan ; Shi, Xiaoxia. In: MPRA Paper. RePEc:pra:mprapa:74772. Full description at Econpapers \|\| Download paper
2015	Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?. (2015). Hartigan, Luke . In: Discussion Papers. RePEc:swe:wpaper:2015-17. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Indirect inference with time series observed with error. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: CREATES Research Papers. RePEc:aah:create:2014-57. Full description at Econpapers \|\| Download paper
2014	Estimating the Spot Covariation of Asset Prices â Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Bibinger, Markus ; Reiss, Markus . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1464. Full description at Econpapers \|\| Download paper
2014	Weak Convergence to Stochastic Integrals for Econometric Applications. (2014). Phillips, Peter ; Wang, Hanchao ; Peter C. B. Phillips, ; Liang, Hanying . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1971. Full description at Econpapers \|\| Download paper
2014	Structural change estimation in time series regressions with endogenous variables. (2014). Su, Liangjun ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:3:p:415-421. Full description at Econpapers \|\| Download paper
2014	On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2014). Yilmaz, Kamil ; Diebold, Francis ; Ylmaz, Kamil . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:119-134. Full description at Econpapers \|\| Download paper
2014	Sieve M inference on irregular parameters. (2014). Liao, Zhipeng ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:70-86. Full description at Econpapers \|\| Download paper
2014	Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:2:p:364-384. Full description at Econpapers \|\| Download paper
2014	Minimum Distance Estimation of Dynamic Models with Errors-In-Variables. (2014). Ng, Serena ; Komunjer, Ivana ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2014-11. Full description at Econpapers \|\| Download paper
2014	Small Sample Properties of Bayesian Estimators of Labor Income Processes. (2014). Tonetti, Christopher ; Nakata, Taisuke. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2014-25. Full description at Econpapers \|\| Download paper
2014	Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models. (2014). Yabe, Ryota . In: Discussion Papers. RePEc:hit:econdp:2014-20. Full description at Econpapers \|\| Download paper
2014	Asymptotically 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

Recent citations received in 2013

Year	Citing document
2013	A 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
2013	Oracle Inequalities for Convex Loss Functions with Non-Linear Targets. (2013). Kock, Anders ; Caner, Mehmet. In: CREATES Research Papers. RePEc:aah:create:2013-51. Full description at Econpapers \|\| Download paper
2013	Testing for a unit root in noncausal autoregressive models. (2013). Saikkonen, Pentti ; Sandberg, Rickard . In: Research Discussion Papers. RePEc:bof:bofrdp:2013_026. Full description at Econpapers \|\| Download paper
2013	On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles. (2013). Taylor, Robert ; Rodrigues, Paulo ; del Barrio Castro, TomÃÂ¡s ; A. M. Robert Taylor, ; Tomas del Barrio Castro, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2013_11. Full description at Econpapers \|\| Download paper
2013	News 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
2013	Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models. (2013). Zakoian, Jean-Michel ; Ling, Shiqing. In: Working Papers. RePEc:crs:wpaper:2013-51. Full description at Econpapers \|\| Download paper
2013	New 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
2013	Uniform 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
2013	Inference 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
2013	Parametric 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
2013	A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-519. Full description at Econpapers \|\| Download paper
2013	Properties of the maximum likelihood estimator in spatial autoregressive models. (2013). Martellosio, Federico ; Hillier, Grant . In: CeMMAP working papers. RePEc:ifs:cemmap:44/13. Full description at Econpapers \|\| Download paper
2013	Parameter Identification in the Logistic STAR Model. (2013). Ekner, Line ; Nejstgaard, Emil . In: Discussion Papers. RePEc:kud:kuiedp:1307. Full description at Econpapers \|\| Download paper
2013	Uniform 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
2013	News 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

10 most frequent citing series

#	Series	Cites
1	Journal of Econometrics / Elsevier	429
2	MPRA Paper / University Library of Munich, Germany	127
3	CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies	84
4	CREATES Research Papers / Department of Economics and Business Economics, Aarhus University	81
5	Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University	76
6	Computational Statistics & Data Analysis / Elsevier	63
7	Economics Letters / Elsevier	56
8	Journal of Multivariate Analysis / Elsevier	52
9	Empirical Economics / Springer	51
10	Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics	50
11	Economic Modelling / Elsevier	48

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