0.06
Impact Factor
0.29
5-Years IF
10
5-Years H index
Journal of Time Series Econometrics / De Gruyter
[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 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1991 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.12 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.26 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.28 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.32 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.39 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2001 | 0.39 | 0 | 1 | 0 | 0 | (%) | 0.14 | |||||||||
| 2002 | 0.4 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2003 | 0.43 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2004 | 0.48 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2005 | 0.52 | 0 | 0 | 0 | (%) | 0.2 | ||||||||||
| 2006 | 0.51 | 0 | 0 | 0 | (%) | 0.2 | ||||||||||
| 2007 | 0.45 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2008 | 0.48 | 0 | 3 | 0 | 0 | (%) | 0.2 | |||||||||
| 2009 | 0.49 | 8 | 8 | 2 | 0.25 | 49 | 0 | 0 | 2 (4.1%) | 1 | 0.13 | 0.19 | ||||
| 2010 |  1 | 0.46 | 1 | 8 | 16 | 9 | 0.56 | 30 | 8 | 8 | 8 | 8 | 1 (3.3%) | 0.17 | ||
| 2011 |  0.31 | 0.49 | 0.31 | 22 | 38 | 15 | 0.39 | 153 | 16 | 5 | 16 | 5 | 1 (%) | 9 | 0.41 | 0.19 |
| 2012 | 0.67 | 0.52 | 0.74 | 9 | 47 | 32 | 0.68 | 21 | 30 | 20 | 38 | 28 | (%) | 0.19 | ||
| 2013 | 1.19 | 0.58 | 0.98 | 13 | 60 | 52 | 0.87 | 29 | 31 | 37 | 47 | 46 | (%) | 2 | 0.15 | 0.2 |
| 2014 | 0.18 | 0.6 | 0.67 | 4 | 64 | 47 | 0.73 | 10 | 22 | 4 | 60 | 40 | (%) | 4 | 1 | 0.2 |
| 2015 | 0.47 | 0.61 | 0.64 | 8 | 72 | 43 | 0.6 | 6 | 17 | 8 | 56 | 36 | (%) | 3 | 0.38 | 0.19 |
| 2016 | 0.17 | 0.68 | 0.5 | 8 | 80 | 40 | 0.5 | 4 | 12 | 2 | 56 | 28 | (%) | 0.2 | ||
| 2017 | 0.06 | 0.73 | 0.29 | 8 | 88 | 42 | 0.48 | 16 | 1 | 42 | 12 | (%) | 0.22 |
| 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 | 2011 | Evaluating Automatic Model Selection. (2011). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:8. Full description at Econpapers || Download paper | 46 |
| 2 | 2011 | Noncausal Autoregressions for Economic Time Series. (2011). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2. Full description at Econpapers || Download paper | 39 |
| 3 | 2011 | Econometric Modelling of Time Series with Outlying Observations. (2011). Mizon, Grayham ; Hendry, David. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:6. Full description at Econpapers || Download paper | 20 |
| 4 | 2011 | Estimation and Inference in Time Series with Omitted I(1) Variables. (2011). Everaert, Gerdie. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:2. Full description at Econpapers || Download paper | 18 |
| 5 | 2009 | Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities. (2009). Carrion-i-Silvestre, Josep ; Basher, Syed ; Josep Lluis Carrion-i-Silvestre, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:3. Full description at Econpapers || Download paper | 15 |
| 6 | 2013 | On Identifying Structural VAR Models via ARCH Effects. (2013). Yang, Minxian ; Milunovich, George ; George, Milunovich ; Minxian, Yang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:117-131:n:5. Full description at Econpapers || Download paper | 14 |
| 7 | 2010 | The PCSE Estimator is Good -- Just Not As Good As You Think. (2010). Reed, W. ; Webb, Rachel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:8. Full description at Econpapers || Download paper | 14 |
| 8 | 2011 | Consideration of Trends in Time Series. (2011). White, Halbert ; Granger, Clive ; Clive W. J. Granger, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2. Full description at Econpapers || Download paper | 12 |
| 9 | 2009 | Selecting Instrumental Variables in a Data Rich Environment. (2009). Ng, Serena ; Bai, Jushan. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:4. Full description at Econpapers || Download paper | 10 |
| 10 | 2009 | Asymptotics of the QMLE for Non-Linear ARCH Models. (2009). Rahbek, Anders ; Kristensen, Dennis. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:2. Full description at Econpapers || Download paper | 10 |
| 11 | 2014 | Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects. (2014). Okui, Ryo. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:53:n:4. Full description at Econpapers || Download paper | 9 |
| 12 | 2012 | Testing for Cointegration in the Presence of Moving Average Errors. (2012). Lence, Sergio ; Mallory, Mindy. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:2. Full description at Econpapers || Download paper | 7 |
| 13 | 2012 | Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect. (2012). Pauwels, Laurent ; Chan, Felix. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:3. Full description at Econpapers || Download paper | 7 |
| 14 | 2009 | The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series. (2009). Vogelsang, Timothy ; Schmidt, Peter ; Amsler, Christine. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:5. Full description at Econpapers || Download paper | 7 |
| 15 | 2013 | Asymptotic Theory for Regressions with Smoothly Changing Parameters. (2013). Medeiros, Marcelo ; Hillebrand, Eric ; Eric, Hillebrand ; Junyue, Xu ; Medeiros Marcelo C., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:133-162:n:3. Full description at Econpapers || Download paper | 6 |
| 16 | 2011 | Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index. (2011). Xu, Fang ; Lütkepohl, Helmut ; Luetkepohl, Helmut . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:7. Full description at Econpapers || Download paper | 6 |
| 17 | 2010 | Has the Volatility of U.S. Inflation Changed and How?. (2010). Proietti, Tommaso ; Grassi, Stefano. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:6. Full description at Econpapers || Download paper | 6 |
| 18 | 2009 | Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes. (2009). Demetrescu, Matei. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:2:n:3. Full description at Econpapers || Download paper | 6 |
| 19 | 2011 | Some New Results for Threshold AR(1) Models. (2011). Knight, John ; Satchell, Stephen. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:1. Full description at Econpapers || Download paper | 6 |
| 20 | 2012 | First Stage Estimation of Fractional Cointegration. (2012). Iacone, Fabrizio ; Hualde, Javier. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:2. Full description at Econpapers || Download paper | 5 |
| 21 | 2013 | Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles. (2013). Pollock, David ; Pollock D. S. G., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2013:i:1:p:81-102:n:2. Full description at Econpapers || Download paper | 4 |
| 22 | 2016 | On the Univariate Representation of BEKK Models with Common Factors. (2016). Palm, Franz ; Laurent, Sébastien ; Hecq, Alain ; Franz, Palm ; Sebastien, Laurent . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:2:p:91-113:n:4. Full description at Econpapers || Download paper | 4 |
| 23 | 2011 | Costationarity of Locally Stationary Time Series. (2011). Cardinali, Alessandro ; Nason, Guy P.. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:1. Full description at Econpapers || Download paper | 3 |
| 24 | 2010 | On Convergence of the QMLE for Misspecified GARCH Models. (2010). Lange, Theis ; Jensen, Anders Tolver . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:3. Full description at Econpapers || Download paper | 3 |
| 25 | 2011 | HYBRID GARCH Models and Intra-Daily Return Periodicity. (2011). Ghysels, Eric ; Chen, Xilong ; Wang, Fangfang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:11. Full description at Econpapers || Download paper | 3 |
| 26 | 2013 | Asymptotic Behavior of Temporal Aggregates in the Frequency Domain. (2013). Tsai, Henghsiu ; Hassler, Uwe ; Henghsiu, Tsai . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:1:p:47-60:n:4. Full description at Econpapers || Download paper | 3 |
| 27 | 2011 | Testing for a Deterministic Trend When There is Evidence of Unit Root. (2011). Ventosa-Santaulària, Daniel ; Gómez-ZaldÃÂvar, Manuel ; Ventosa-Santaulria, Daniel ; Gmez-Zaldvar, Manuel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:3. Full description at Econpapers || Download paper | 3 |
| 28 | 2010 | A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels. (2010). Miller, J.. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:5. Full description at Econpapers || Download paper | 3 |
| 29 | 2010 | Signal Extraction Revision Variances as a Goodness-of-Fit Measure. (2010). McElroy, Tucker ; Wildi, Marc . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:4. Full description at Econpapers || Download paper | 2 |
| 30 | 2015 | Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting. (2015). Burda, Martin ; Martin, Burda . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:19:n:3. Full description at Econpapers || Download paper | 2 |
| 31 | 2011 | Detecting Common Dynamics in Transitory Components. (2011). pagan, adrian ; Hurn, Stan ; Christensen, Timothy . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:3. Full description at Econpapers || Download paper | 2 |
| 32 | 2010 | Testing Unit Root Based on Partially Adaptive Estimation. (2010). Xiao, Zhijie ; Lima, Luiz. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:2. Full description at Econpapers || Download paper | 2 |
| 33 | 2011 | Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots. (2011). Nielsen, Morten ; Jansson, Michael. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:5. Full description at Econpapers || Download paper | 2 |
| 34 | 2011 | Nonparametric Tests for Periodic Integration. (2011). Osborn, Denise ; del Barrio Castro, Tomás ; Tomás del Barrio Castro, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:4. Full description at Econpapers || Download paper | 2 |
| 35 | 2011 | Forecasting with Universal Approximators and a Learning Algorithm. (2011). Kock, Anders. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:3. Full description at Econpapers || Download paper | 2 |
| 36 | 2013 | A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis. (2013). Wu, Jason ; Aaron, Game . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:163-192:n:2. Full description at Econpapers || Download paper | 2 |
| 37 | 2018 | What Proportion of Time is a Particular Market Inefficient? ⦠A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions. (2018). Farid, Ahmed Muhammad ; Stephen, Satchell . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:1. Full description at Econpapers || Download paper | 1 |
| 38 | 2015 | Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests. (2015). Demetrescu, Matei ; Born, Benjamin ; Matei, Demetrescu . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:2:p:143-179:n:2. Full description at Econpapers || Download paper | 1 |
| 39 | 2012 | Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models. (2012). Phillips, Garry ; Liu-Evans, Gareth. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:1. Full description at Econpapers || Download paper | 1 |
| 40 | 2011 | On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance. (2011). Perron, Pierre ; Ren, Linxia . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:1. Full description at Econpapers || Download paper | 1 |
| 41 | 2015 | A Test of the Long Memory Hypothesis Based on Self-Similarity. (2015). Rambaccussing, Dooruj ; James, Davidson ; Dooruj, Rambaccussing . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:2:p:115-141:n:4. Full description at Econpapers || Download paper | 1 |
| 42 | 2012 | Markov Breaks in Regression Models. (2012). Smith, Aaron. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:3. Full description at Econpapers || Download paper | 1 |
| 43 | 2014 | Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations. (2014). Demos, Antonis ; Stelios, Arvanitis . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:53:n:1. Full description at Econpapers || Download paper | 1 |
| 44 | 2011 | Detection of Additive Outliers in Seasonal Time Series. (2011). Sansó, Andreu ; Montañés, Antonio ; Haldrup, Niels ; Montaes, Antonio. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:2. Full description at Econpapers || Download paper | 1 |
| 45 | 2015 | Testing for Multiple Structural Changes with Non-Homogeneous Regressors. (2015). Kurozumi, Eiji ; Eiji, Kurozumi . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:35:n:1. Full description at Econpapers || Download paper | 1 |
| 46 | 2009 | Statistical Fourier Analysis: Clarifications and Interpretations. (2009). Pollock, David ; Stephen D. S. G. Pollock, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:1. Full description at Econpapers || Download paper | 1 |
| 47 | 2015 | Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes. (2015). Asai, Manabu ; Manabu, Asai ; So Mike K. P., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:26:n:2. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2011 | Evaluating Automatic Model Selection. (2011). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:8. Full description at Econpapers || Download paper | 15 |
| 2 | 2011 | Noncausal Autoregressions for Economic Time Series. (2011). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2. Full description at Econpapers || Download paper | 12 |
| 3 | 2010 | The PCSE Estimator is Good -- Just Not As Good As You Think. (2010). Reed, W. ; Webb, Rachel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:8. Full description at Econpapers || Download paper | 11 |
| 4 | 2011 | Econometric Modelling of Time Series with Outlying Observations. (2011). Mizon, Grayham ; Hendry, David. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:6. Full description at Econpapers || Download paper | 7 |
| 5 | 2013 | On Identifying Structural VAR Models via ARCH Effects. (2013). Yang, Minxian ; Milunovich, George ; George, Milunovich ; Minxian, Yang. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:117-131:n:5. Full description at Econpapers || Download paper | 6 |
| 6 | 2011 | Estimation and Inference in Time Series with Omitted I(1) Variables. (2011). Everaert, Gerdie. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:2. Full description at Econpapers || Download paper | 5 |
| 7 | 2014 | Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects. (2014). Okui, Ryo. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:53:n:4. Full description at Econpapers || Download paper | 4 |
| 8 | 2009 | Selecting Instrumental Variables in a Data Rich Environment. (2009). Ng, Serena ; Bai, Jushan. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:4. Full description at Econpapers || Download paper | 4 |
| 9 | 2012 | Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect. (2012). Pauwels, Laurent ; Chan, Felix. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:3. Full description at Econpapers || Download paper | 4 |
| 10 | 2012 | Testing for Cointegration in the Presence of Moving Average Errors. (2012). Lence, Sergio ; Mallory, Mindy. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:2. Full description at Econpapers || Download paper | 4 |
| 11 | 2013 | Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles. (2013). Pollock, David ; Pollock D. S. G., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2013:i:1:p:81-102:n:2. Full description at Econpapers || Download paper | 4 |
| 12 | 2016 | On the Univariate Representation of BEKK Models with Common Factors. (2016). Palm, Franz ; Laurent, Sébastien ; Hecq, Alain ; Franz, Palm ; Sebastien, Laurent . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:2:p:91-113:n:4. Full description at Econpapers || Download paper | 3 |
| 13 | 2013 | Asymptotic Theory for Regressions with Smoothly Changing Parameters. (2013). Medeiros, Marcelo ; Hillebrand, Eric ; Eric, Hillebrand ; Junyue, Xu ; Medeiros Marcelo C., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:133-162:n:3. Full description at Econpapers || Download paper | 3 |
| 14 | 2011 | Consideration of Trends in Time Series. (2011). White, Halbert ; Granger, Clive ; Clive W. J. Granger, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2. Full description at Econpapers || Download paper | 3 |
| 15 | 2011 | Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots. (2011). Nielsen, Morten ; Jansson, Michael. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:5. Full description at Econpapers || Download paper | 2 |
| 16 | 2009 | The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series. (2009). Vogelsang, Timothy ; Schmidt, Peter ; Amsler, Christine. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:5. Full description at Econpapers || Download paper | 2 |
| 17 | 2011 | Some New Results for Threshold AR(1) Models. (2011). Knight, John ; Satchell, Stephen. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:1. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 1:
| Year | Title | |
|---|---|---|
| 2017 | A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344. Full description at Econpapers || Download paper |
Recent citations (cites in year: CiY)
Recent citations received in 2016
| Year | Citing document |
|---|
Recent citations received in 2015
| Year | Citing document | |
|---|---|---|
| 2015 | MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1516. Full description at Econpapers || Download paper | |
| 2015 | Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. (2015). McAleer, Michael ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:2:p:251-262. Full description at Econpapers || Download paper | |
| 2015 | A Multivariate Test Against Spurious Long Memory. (2015). Sibbertsen, Philipp ; Leschinski, Christian ; Holzhausen, Marie . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-547. Full description at Econpapers || Download paper |
Recent citations received in 2014
| Year | Citing document | |
|---|---|---|
| 2014 | A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised). (2014). Demos, Antonis ; Arvanitis, Stelios. In: DEOS Working Papers. RePEc:aue:wpaper:1411. Full description at Econpapers || Download paper | |
| 2014 | Individual and time effects in nonlinear panel models with large N, T. (2014). Weidner, Martin ; Fernandez-Val, Ivan. In: CeMMAP working papers. RePEc:ifs:cemmap:32/14. Full description at Econpapers || Download paper | |
| 2014 | Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models. (2014). Okui, Ryo ; Iwakura, Haruo . In: KIER Working Papers. RePEc:kyo:wpaper:887. Full description at Econpapers || Download paper | |
| 2014 | Panel Data Analysis with Heterogeneous Dynamics. (2014). Yanagi, Takahide ; Okui, Ryo. In: KIER Working Papers. RePEc:kyo:wpaper:906. Full description at Econpapers || Download paper |
10 most frequent citing series
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.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team