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Econometric Reviews / Taylor & Francis Journals

Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
46
Impact Factor
0.54
5 Years IF
0.78
Data available in this report

[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 CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.2 0 0 0 0 0 2 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 4 0 0 0 0 0.1
1997 0 0.23 0.09 0 23 23 165 2 6 0 0 0 2 0.09 0.1
1998 0.09 0.27 0.18 0.09 22 45 315 4 14 23 2 23 2 0 2 0.09 0.12
1999 0.47 0.29 0.51 0.47 24 69 511 29 49 45 21 45 21 0 7 0.29 0.14
2000 0.39 0.34 0.53 0.39 22 91 1283 35 97 46 18 69 27 4 11.4 7 0.32 0.15
2001 0.43 0.36 0.41 0.38 23 114 181 39 144 46 20 91 35 1 2.6 2 0.09 0.16
2002 0.73 0.4 0.61 0.61 21 135 791 80 226 45 33 114 69 3 3.8 9 0.43 0.21
2003 0.84 0.41 0.68 0.79 24 159 390 107 334 44 37 112 88 3 2.8 4 0.17 0.2
2004 0.73 0.46 0.81 0.92 8 167 398 130 469 45 33 114 105 0 4 0.5 0.21
2005 0.56 0.47 0.9 1.16 29 196 652 169 646 32 18 98 114 2 1.2 11 0.38 0.22
2006 1.32 0.47 1.36 1.26 21 217 691 279 942 37 49 105 132 9 3.2 24 1.14 0.21
2007 1 0.42 1.22 1.35 34 251 1205 293 1248 50 50 103 139 3 1 24 0.71 0.19
2008 1.89 0.45 1.61 1.58 25 276 505 433 1691 55 104 116 183 0 18 0.72 0.21
2009 1.85 0.44 1.82 1.83 34 310 507 555 2254 59 109 117 214 5 0.9 37 1.09 0.21
2010 1.07 0.44 1.48 1.38 31 341 313 494 2757 59 63 143 197 1 0.2 7 0.23 0.18
2011 0.88 0.46 1.53 1.52 26 367 124 550 3319 65 57 145 220 4 0.7 6 0.23 0.21
2012 0.67 0.47 1.6 1.28 23 390 199 610 3944 57 38 150 192 1 0.2 7 0.3 0.19
2013 0.94 0.53 2.08 1.26 33 423 525 861 4824 49 46 139 175 5 0.6 51 1.55 0.22
2014 1.48 0.55 1.88 1.26 40 463 221 853 5695 56 83 147 185 2 0.2 21 0.53 0.21
2015 1.62 0.55 1.83 1.2 46 509 395 914 6629 73 118 153 183 8 0.9 50 1.09 0.21
2016 1.22 0.56 1.81 1.28 65 574 176 1032 7667 86 105 168 215 10 1 16 0.25 0.2
2017 0.89 0.58 1.5 1.1 58 632 104 943 8613 111 99 207 228 7 0.7 16 0.28 0.21
2018 0.66 0.7 1.31 1.05 51 683 70 894 9509 123 81 242 255 3 0.3 20 0.39 0.28
2019 0.54 0.88 1.12 0.78 56 739 34 824 10333 109 59 260 202 0 21 0.38 0.33
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations 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
50 most cited documents in this series
#YearTitleCited
12000GMM Estimation with persistent panel data: an application to production functions. (2000). Blundell, Richard ; Bond, Stephen . In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:321-340.

Full description at Econpapers || Download paper

744
22007Bayesian Analysis of DSGE Models. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172.

Full description at Econpapers || Download paper

575
32007Bayesian Analysis of DSGE Models—Rejoinder. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219.

Full description at Econpapers || Download paper

512
42002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS. (2002). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47.

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445
51999Using simulation methods for bayesian econometric models: inference, development,and communication. (1999). Geweke, John. In: Econometric Reviews. RePEc:taf:emetrv:v:18:y:1999:i:1:p:1-73.

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337
62007MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Sinko, Arthur ; Ghysels, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90.

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262
72009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. (2009). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440.

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196
82006Multivariate Stochastic Volatility: A Review. (2006). Yu, Jun ; McAleer, Michael ; Asai, Manabu ; JunYu, . In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175.

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187
92004Automatic Block-Length Selection for the Dependent Bootstrap. (2004). White, Halbert ; Politis, Dimitris N.. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70.

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160
101998A residual-based test of the null of cointegration in panel data. (1998). Kao, Chihwa ; McCoskey, Suzanne . In: Econometric Reviews. RePEc:taf:emetrv:v:17:y:1998:i:1:p:57-84.

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156
112004Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model. (2004). Greene, William. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:2:p:125-147.

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154
122003Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances. (2003). Lee, Lung-Fei. In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335.

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153
132008Realized Volatility: A Review. (2008). Medeiros, Marcelo ; McAleer, Michael. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45.

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145
142005Evaluating Direct Multistep Forecasts. (2005). McCracken, Michael ; Clark, Todd. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404.

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143
152005A Parametric approach to the Estimation of Cointegration Vectors in Panel Data. (2005). Breitung, Jörg. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:2:p:151-173.

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139
162013Weights in Multidimensional Indices of Wellbeing: An Overview. (2013). Lugo, Maria Ana ; Decancq, Koen. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:7-34.

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132
172006The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study. (2006). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:1:p:85-116.

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126
182008The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Christian . In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

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126
192000Nonstationary panel data analysis: an overview of some recent developments. (2000). Phillips, Peter ; Moon, Hyungsik. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286.

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123
202006On Testing Equality of Distributions of Technical Efficiency Scores. (2006). Zelenyuk, Valentin ; Simar, Leopold. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:497-522.

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123
212000Bootstrap tests: how many bootstraps?. (2000). MacKinnon, James ; Davidson, Russell. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:1:p:55-68.

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110
222002LONG-RUN STRUCTURAL MODELLING. (2002). shin, yongcheol ; Pesaran, M. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87.

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98
232015Testing Weak Cross-Sectional Dependence in Large Panels. (2015). Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1089-1117.

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97
242012Cross-Sectional Dependence in Panel Data Analysis. (2012). Sarafidis, Vasilis ; Wansbeek, Tom. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:5:p:483-531.

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96
252007Forecasting Performance of an Open Economy DSGE Model. (2007). Villani, Mattias ; Lindé, Jesper ; Adolfson, Malin. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328.

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95
262000Recent developments in bootstrapping time series. (2000). Kilian, Lutz ; Berkowitz, Jeremy . In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:1:p:1-48.

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90
272006Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models. (2006). Racine, Jeffrey ; Li, Qi ; Hart, Jeffrey. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:523-544.

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80
282007Forecast Combination and Model Averaging Using Predictive Measures. (2007). Karlsson, Sune ; Eklund, Jana. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:329-363.

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77
292002ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS. (2002). Park, Joon ; Chang, Yoosoon. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:4:p:431-447.

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72
302005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?. (2005). Kilian, Lutz ; Inoue, Atsushi. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2005:i:4:p:371-402.

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67
312001A REVIEW OF SYSTEMS COINTEGRATION TESTS. (2001). Saikkonen, Pentti ; Lütkepohl, Helmut ; Hubrich, Kirstin. In: Econometric Reviews. RePEc:taf:emetrv:v:20:y:2001:i:3:p:247-318.

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61
322010The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study. (2010). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:29:y:2010:i:2:p:182-223.

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61
332003A Consistent Method for the Selection of Relevant Instruments. (2003). Peixe, Fernanda ; Hall, Alastair. In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:3:p:269-287.

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59
342006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison. (2006). Yu, Jun ; JunYu, ; Meyer, Renate. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384.

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56
352005New Simple Tests for Panel Cointegration. (2005). Westerlund, Joakim. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:3:p:297-316.

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56
362013On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors. (2013). Prucha, Ingmar ; Egger, Peter ; Drukker, David M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:686-733.

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55
372007Normalization in Econometrics. (2007). Zha, Tao ; Waggoner, Daniel ; Hamilton, James. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:221-252.

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52
382008Moving Average-Based Estimators of Integrated Variance. (2008). Lunde, Asger ; Large, Jeremy ; Hansen, Peter. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:79-111.

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51
391998Confidence intervals for impulse responses under departures from normality. (1998). Kilian, Lutz. In: Econometric Reviews. RePEc:taf:emetrv:v:17:y:1998:i:1:p:1-29.

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51
402000Estimation of long-run inefficiency levels: a dynamic frontier approach. (2000). Sickles, Robin ; Ahn, Seung. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:461-492.

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51
412006Asymmetric Multivariate Stochastic Volatility. (2006). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:453-473.

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50
422015Factor Model Forecasts of Exchange Rates. (2015). West, Kenneth ; Mark, Nelson ; Engel, Charles. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:32-55.

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48
432009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White. (2009). White, Halbert ; Patton, Andrew ; Politis, Dimitris . In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:4:p:372-375.

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48
442013Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. (2013). Chudik, Alexander ; Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:592-649.

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48
452009Pairwise Tests of Purchasing Power Parity. (2009). Yamagata, Takashi ; Smith, Ronald ; Pesaran, M ; Hvozdyk, Lyudmyla . In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:6:p:495-521.

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47
462005Unit Root Tests under Time-Varying Variances. (2005). Cavaliere, Giuseppe. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2005:i:3:p:259-292.

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47
472005RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS. (2005). Windmeijer, Frank ; Bond, Stephen . In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:1:p:1-37.

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46
482012A Survey on Time-Varying Copulas: Specification, Simulations, and Application. (2012). Manner, Hans ; Reznikova, Olga . In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:6:p:654-687.

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45
492009A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets. (2009). Hafner, Christian ; Franses, Philip Hans. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:6:p:612-631.

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44
502007Testing for the Null Hypothesis of Cointegration with a Structural Break. (2007). Kurozumi, Eiji ; Arai, Yoichi. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:6:p:705-739.

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44
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12000GMM Estimation with persistent panel data: an application to production functions. (2000). Blundell, Richard ; Bond, Stephen . In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:321-340.

Full description at Econpapers || Download paper

88
22007Bayesian Analysis of DSGE Models—Rejoinder. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:211-219.

Full description at Econpapers || Download paper

87
32007Bayesian Analysis of DSGE Models. (2007). Schorfheide, Frank ; An, Sungbae . In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:113-172.

Full description at Econpapers || Download paper

87
42007MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Sinko, Arthur ; Ghysels, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90.

Full description at Econpapers || Download paper

80
52015Testing Weak Cross-Sectional Dependence in Large Panels. (2015). Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1089-1117.

Full description at Econpapers || Download paper

63
62002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS. (2002). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Terasvirta, Timo. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47.

Full description at Econpapers || Download paper

46
71999Using simulation methods for bayesian econometric models: inference, development,and communication. (1999). Geweke, John. In: Econometric Reviews. RePEc:taf:emetrv:v:18:y:1999:i:1:p:1-73.

Full description at Econpapers || Download paper

46
82013Weights in Multidimensional Indices of Wellbeing: An Overview. (2013). Lugo, Maria Ana ; Decancq, Koen. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:7-34.

Full description at Econpapers || Download paper

40
92009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. (2009). McAleer, Michael ; Hoti, Suhejla ; Chan, Felix. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440.

Full description at Econpapers || Download paper

37
102004Automatic Block-Length Selection for the Dependent Bootstrap. (2004). White, Halbert ; Politis, Dimitris N.. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:1:p:53-70.

Full description at Econpapers || Download paper

34
112006On Testing Equality of Distributions of Technical Efficiency Scores. (2006). Zelenyuk, Valentin ; Simar, Leopold. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:4:p:497-522.

Full description at Econpapers || Download paper

32
122004Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model. (2004). Greene, William. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2004:i:2:p:125-147.

Full description at Econpapers || Download paper

30
132008Realized Volatility: A Review. (2008). Medeiros, Marcelo ; McAleer, Michael. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45.

Full description at Econpapers || Download paper

28
142012Cross-Sectional Dependence in Panel Data Analysis. (2012). Sarafidis, Vasilis ; Wansbeek, Tom. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:5:p:483-531.

Full description at Econpapers || Download paper

26
152015Econometric Mediation Analyses: Identifying the Sources of Treatment Effects from Experimentally Estimated Production Technologies with Unmeasured and Mismeasured Inputs. (2015). Pinto, Rodrigo ; Heckman, James. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:6-31.

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23
162008The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Christian . In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

Full description at Econpapers || Download paper

21
172005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?. (2005). Kilian, Lutz ; Inoue, Atsushi. In: Econometric Reviews. RePEc:taf:emetrv:v:23:y:2005:i:4:p:371-402.

Full description at Econpapers || Download paper

21
182015A Simple Estimator for Binary Choice Models with Endogenous Regressors. (2015). Lewbel, Arthur ; Dong, Yingying. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:82-105.

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20
192007Forecasting Performance of an Open Economy DSGE Model. (2007). Villani, Mattias ; Lindé, Jesper ; Adolfson, Malin. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:289-328.

Full description at Econpapers || Download paper

20
202003Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances. (2003). Lee, Lung-Fei. In: Econometric Reviews. RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335.

Full description at Econpapers || Download paper

20
212005A Parametric approach to the Estimation of Cointegration Vectors in Panel Data. (2005). Breitung, Jörg. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:2:p:151-173.

Full description at Econpapers || Download paper

19
222005New Simple Tests for Panel Cointegration. (2005). Westerlund, Joakim. In: Econometric Reviews. RePEc:taf:emetrv:v:24:y:2005:i:3:p:297-316.

Full description at Econpapers || Download paper

18
232010An Empirical Comparison of Machine Learning Models for Time Series Forecasting. (2010). Atiya, Amir ; Ahmed, Nesreen ; EL GAYAR, NEAMAT ; El-Shishiny, Hisham . In: Econometric Reviews. RePEc:taf:emetrv:v:29:y:2010:i:5-6:p:594-621.

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17
242009Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White. (2009). White, Halbert ; Patton, Andrew ; Politis, Dimitris . In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:4:p:372-375.

Full description at Econpapers || Download paper

17
252015Factor Model Forecasts of Exchange Rates. (2015). West, Kenneth ; Mark, Nelson ; Engel, Charles. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:32-55.

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16
262013State Space Models and MIDAS Regressions. (2013). Ghysels, Eric ; Wright, Jonathan H. ; Bai, Jennie. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:7:p:779-813.

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16
272013Testing for Restricted Stochastic Dominance. (2013). Duclos, Jean-Yves ; Davidson, Russell. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:84-125.

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15
282012A Survey on Time-Varying Copulas: Specification, Simulations, and Application. (2012). Manner, Hans ; Reznikova, Olga . In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:6:p:654-687.

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15
292000Bootstrap tests: how many bootstraps?. (2000). MacKinnon, James ; Davidson, Russell. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:1:p:55-68.

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302000Estimation of long-run inefficiency levels: a dynamic frontier approach. (2000). Sickles, Robin ; Ahn, Seung. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:461-492.

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14
312016Stochastic Model Specification Search for Time-Varying Parameter VARs. (2016). Strachan, Rodney ; Eisenstat, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1638-1665.

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14
322006The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study. (2006). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:1:p:85-116.

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13
332012A Survey of Sequential Monte Carlo Methods for Economics and Finance. (2012). Creal, Drew. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:3:p:245-296.

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342006Multivariate Stochastic Volatility: A Review. (2006). Yu, Jun ; McAleer, Michael ; Asai, Manabu ; JunYu, . In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175.

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352019Practical procedures to deal with common support problems in matching estimation. (2019). Lechner, Michael ; Strittmatter, Anthony. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:2:p:193-207.

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362013Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. (2013). Chudik, Alexander ; Pesaran, Hashem M.. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:592-649.

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372000Estimation and decomposition of productivity change when production is not efficient: a paneldata approach. (2000). Kumbhakar, Subal ; Denny, M. ; Fuss, M.. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:312-320.

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382013Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation. (2013). Lopez, Claude ; Kejriwal, Mohitosh. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:8:p:892-927.

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392013Stochastic Dominance with Ordinal Variables: Conditions and a Test. (2013). Yalonetzky, Gaston. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:1:p:126-163.

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402016Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence. (2016). Everaert, Gerdie ; de Groote, Tom . In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:3:p:428-463.

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10
412019Alternative diff-in-diffs estimators with several pretreatment periods. (2019). Reggio, Iliana ; Mora, Ricardo. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:5:p:465-486.

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10
422010The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study. (2010). Wagner, Martin ; Hlouskova, Jaroslava. In: Econometric Reviews. RePEc:taf:emetrv:v:29:y:2010:i:2:p:182-223.

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10
432015Hedonic Regressions and the Decomposition of a House Price Index into Land and Structure Components. (2015). Diewert, Walter ; Hendriks, Rens ; de Haan, Jan. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:106-126.

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10
442018Testing for Granger-causality in quantiles. (2018). Troster, Victor. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:8:p:850-866.

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451998A residual-based test of the null of cointegration in panel data. (1998). Kao, Chihwa ; McCoskey, Suzanne . In: Econometric Reviews. RePEc:taf:emetrv:v:17:y:1998:i:1:p:57-84.

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9
462000Nonstationary panel data analysis: an overview of some recent developments. (2000). Phillips, Peter ; Moon, Hyungsik. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:3:p:263-286.

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472018Extremal dependence tests for contagion. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:6:p:626-649.

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9
482015Marginal Likelihood Estimation with the Cross-Entropy Method. (2015). Eisenstat, Eric ; Chan, Joshua ; Joshua C. C. Chan, . In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:3:p:256-285.

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9
492016Testing for Serial Correlation in Fixed-Effects Panel Data Models. (2016). Breitung, Jörg ; Born, Benjamin. In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:7:p:1290-1316.

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9
502007Testing for the Null Hypothesis of Cointegration with a Structural Break. (2007). Kurozumi, Eiji ; Arai, Yoichi. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:6:p:705-739.

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Citing documents used to compute impact factor: 59
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2019Global financial risk, aggregate fluctuations, and unemployment dynamics. (2019). Shapiro, Alan Finkelstein ; Epstein, Brendan ; Gomez, Andres Gonzalez . In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:351-418.

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2019The dynamic causality between ESG and economic growth: Evidence from panel causality analysis. (2019). Ho, Sy-Hoa ; El Ferktaji, Riadh ; Oueghlissi, Rim. In: MPRA Paper. RePEc:pra:mprapa:95390.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019The role of entrepreneurial risk in financial portfolio allocation. (2019). Lugovskyy, Josephine ; Gurley-Calvez, Tami. In: Small Business Economics. RePEc:kap:sbusec:v:53:y:2019:i:4:d:10.1007_s11187-018-0104-7.

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2019Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian. In: Working Paper Series in Economics. RePEc:zbw:kitwps:121.

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2019The demand for banking and shadow banking services. (2019). Serletis, Apostolos ; Xu, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:132-146.

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2019Banking technology in a Markov switching economy. (2019). Serletis, Apostolos ; Isakin, Maksim. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:154-168.

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2019Detecting structural changes in large portfolios. (2019). Posch, Peter N ; Wied, Dominik ; Ullmann, Daniel. In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1392-5.

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2019Moving block bootstrapping for a CUSUM test for correlation change. (2019). Shin, Dong Wan ; Choi, Ji-Eun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:95-106.

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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:115614.

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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201925.

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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951.

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2019Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile. (2019). Gil-Alana, Luis ; Valenzuela, Mario ; Costamagna, Rodrigo ; Dettoni, Robinson. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:269-281.

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2019Unbiased Estimation as a Public Good. (2019). Kaplan, David. In: Working Papers. RePEc:umc:wpaper:1911.

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2019Estimation for time-invariant effects in dynamic panel data models with application to income dynamics. (2019). Zhang, Yonghui ; Zhou, Qiankun. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:62-77.

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2019A Comparison of First-Difference and Forward Orthogonal Deviations GMM. (2019). Phillips, Robert. In: Papers. RePEc:arx:papers:1907.12880.

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2019About the Relationship Between Green Technology and Material Usage. (2019). Wendler, Tobias. In: Environmental & Resource Economics. RePEc:kap:enreec:v:74:y:2019:i:3:d:10.1007_s10640-019-00373-4.

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2019Hidden protectionism? Evidence from non-tariff barriers to trade in the United States. (2019). Grundke, Robert ; Moser, Christoph. In: Journal of International Economics. RePEc:eee:inecon:v:117:y:2019:i:c:p:143-157.

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2019Metatechnology frontier and convexity: A restatement. (2019). O'Donnell, Christopher ; van De, Ignace ; ODonnell, Christopher ; Kerstens, Kristiaan. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:780-792.

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2019Testing for Shifts in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances. (2019). Baltagi, Badi ; Liu, Long ; Kao, Chihwa. In: Center for Policy Research Working Papers. RePEc:max:cprwps:213.

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2019Structural Changes in Heterogeneous Panels with Endogenous Regressors. (2019). Feng, Qu ; Kao, Chihwa ; Baltagi, Badi. In: Center for Policy Research Working Papers. RePEc:max:cprwps:214.

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2019Variable selection in panel models with breaks. (2019). Zhu, Yinchu ; Timmermann, Allan ; Smith, Simon C. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:323-344.

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2019Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339.

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2019Modelling temporal dependence of realized variances with vines. (2019). Okhrin, Yarema ; Ivanov, Eugen ; Czado, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:198-216.

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2019A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622.

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2019The factor analytical method for interactive effects dynamic panel models with moving average errors. (2019). Westerlund, Joakim ; Norkut, Milda. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:83-104.

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2019Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471.

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2019The growth effect of democracy and technology: An industry disaggregated approach. (2019). Zuazu, Izaskun. In: European Journal of Political Economy. RePEc:eee:poleco:v:56:y:2019:i:c:p:115-131.

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2019Markets and Markup: A New Empirical Framework and Evidence on Exporters from China. (2019). Song, Huasheng ; Han, LU ; Crowley, Meredith A ; Corsetti, Giancarlo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13904.

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2019Exchange rate pass-through to import prices in Europe: A panel cointegration approach. (2019). Arsova, Antonia. In: Working Paper Series in Economics. RePEc:lue:wpaper:384.

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2019Measuring Data Uncertainty : An Application using the Bank of England’s “Fan Charts” for Historical GDP Growth. (2019). Mitchell, James ; Galvao, Ana Beatriz. In: EMF Research Papers. RePEc:wrk:wrkemf:24.

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2019Measuring Data Uncertainty: An Application using the Bank of Englands Fan Charts for Historical GDP Growth. (2019). Mitchell, James ; Galvão, Ana ; Galvao, Ana Beatriz. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2019-08.

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2019What measures of real economic activity slack are helpful for forecasting Russian inflation?. (2019). Khabibullin, Ramis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps50.

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2019OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2019). Yoon, Seong-Min ; Lau, Chi Keung ; Gupta, Rangan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:1-23.

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2019Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?. (2019). Tsui, Albert K ; Shen, Xiaoyi ; Zhang, Zhaoyong. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:106-:d:278537.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Bouri, Elie ; Roubaud, David. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

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2019Role of renewable energy on industrial output in Canada. (2019). Wittberg, Emanuel ; Wadstrom, Christoffer ; Jayasekera, Ranadeva ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:626-638.

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2019Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-003.

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2019Bootstrapping structural change tests. (2019). Hall, Alastair R ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:359-397.

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2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2019Energy contagion analysis: A new perspective with application to a small petroleum economy. (2019). Mahadeo, Scott ; Heinlein, Reinhold ; Legrenzi, Gabriella D. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:890-903.

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2019Contagion across US and European financial markets: Evidence from the CDS markets. (2019). Apergis, Nicholas ; Christou, Christina ; Kynigakis, Iason. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:1-12.

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2019Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios. (2019). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8029.

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2019Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Liu, LI ; Wei, YU ; Zhang, Yaojie. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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2019Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1565-1586.

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2019A nonlinear dynamic factor model of health and medical treatment. (2019). Peracchi, Franco ; Rossetti, Claudio. In: EIEF Working Papers Series. RePEc:eie:wpaper:1901.

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2019A Nonlinear Dynamic Factor Model of Health and Medical Treatment. (2019). Peracchi, Franco ; Rossetti, Claudio. In: CSEF Working Papers. RePEc:sef:csefwp:524.

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2019Growth in stress. (2019). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Maldonado, Javier. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966.

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2019Strict stationarity testing and GLAD estimation of double autoregressive models. (2019). Li, Dong ; Guo, Shaojun. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:319-337.

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2019Testing for sphericity in a fixed effects panel data model with time-varying variances. (2019). Peng, Bin ; Shen, Xinyuan ; Ye, Jinqi . In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:85-89.

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2019A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects. (2019). Yamagata, Takashi ; Nagata, Shuichi ; Hayakawa, Kazuhiko ; Cui, Guowei. In: ISER Discussion Paper. RePEc:dpr:wpaper:1037r.

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2019Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models. (2019). Rice, Gregory ; Zhao, Yuqian ; Wirjanto, Tony. In: MPRA Paper. RePEc:pra:mprapa:93048.

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2019Forecasting the market return direction based on a time-varying probability density model. (2019). Peng, Yiqing ; Gu, Wentao. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:148:y:2019:i:c:s0040162519310741.

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2019Social preference and group identity in the financial cooperative. (2019). Zubrickas, Robertas ; Ewerhart, Christian. In: ECON - Working Papers. RePEc:zur:econwp:332.

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2019Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2019New Misspecification Tests for Multinomial Logit Models. (2019). Paap, Richard ; Fok, Dennis. In: Econometric Institute Research Papers. RePEc:ems:eureir:116745.

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2019Representation of I(1) and I(2) autoregressive Hilbertian processes. (2019). Seo, Won-Ki ; Beare, Brendan K. In: Papers. RePEc:arx:papers:1701.08149.

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2019Sorting on the Used-Car Market After the Volkswagen Emission Scandal. (2019). Strittmatter, Anthony ; Lechner, Michael. In: Papers. RePEc:arx:papers:1908.09609.

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2019Is Favoritism a Threat to Chinese Aid Effectiveness? A Subnational Analysis of Chinese Development Projects. (2019). Raschky, Paul ; Hodler, Roland ; Fuchs, Andreas ; Dreher, Axel ; Tierney, Michael J ; Parks, Bradley C. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7739.

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2019Is Favoritism a Threat to Chinese Aid Effectiveness? A Subnational Analysis of Chinese Development Projects. (2019). Raschky, Paul ; Hodler, Roland ; Fuchs, Andreas ; Tierney, Michael J ; Parks, Brad ; Dreher, Axel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13840.

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2019Effects of antitrust prosecution on retail fuel prices. (2019). Moral, Maria J ; Gonzalez, Xulia. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:67:y:2019:i:c:s0167718719300657.

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2019Pink work: Same-sex marriage, employment and discrimination. (2019). Sansone, Dario. In: Journal of Public Economics. RePEc:eee:pubeco:v:180:y:2019:i:c:s0047272719301471.

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2019The important thing is not to win, it is to take part: What if scientists benefit from participating in research grant competitions?. (2019). Ayoubi, Charles ; Visentin, Fabiana ; Pezzoni, Michele. In: Research Policy. RePEc:eee:respol:v:48:y:2019:i:1:p:84-97.

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2019An introduction to flexible methods for policy evaluation. (2019). Huber, Martin. In: FSES Working Papers. RePEc:fri:fribow:fribow00504.

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2019Do Tax Incentives Affect Business Location and Economic Development? Evidence from State Film Incentives. (2019). Button, Patrick. In: IZA Discussion Papers. RePEc:iza:izadps:dp12225.

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2019Does the Estimation of the Propensity Score by Machine Learning Improve Matching Estimation? The Case of Germanys Programmes for Long Term Unemployed. (2019). Lechner, Michael ; Goller, Daniel ; Wolff, Joachim ; Moczall, Andreas. In: IZA Discussion Papers. RePEc:iza:izadps:dp12526.

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2019Do Start-Up Subsidies for the Unemployed Affect Participants Well-Being? A Rigorous Look at (Un-)Intended Consequences of Labor Market Policies. (2019). Caliendo, Marco ; Tubbicke, Stefan. In: IZA Discussion Papers. RePEc:iza:izadps:dp12755.

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2019Do Tax Incentives Affect Business Location and Economic Development? Evidence from State Film Incentives. (2019). Button, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:25963.

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2019Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations. (2019). Imbens, Guido ; Athey, Susan ; Munro, Evan M ; Metzger, Jonas. In: NBER Working Papers. RePEc:nbr:nberwo:26566.

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2019Do Start-Up Subsidies for the Unemployed Affect Participants’ Well-Being? A Rigorous Look at (Un-)Intended Consequences of Labor Market Policies. (2019). Caliendo, Marco ; Tubbicke, Stefan. In: CEPA Discussion Papers. RePEc:pot:cepadp:14.

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2019The relative importance of competition to contagion: evidence from the digital currency market. (2019). Du, Hongwei ; Wu, Jiming ; Xie, Peng. In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0156-y.

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2019Time-Varying Cointegration and the Kalman Filter. (2019). Miller, J. ; Yigit, Taner ; Eroglu, Burak Alparslan. In: Working Papers. RePEc:umc:wpaper:1905.

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2019Does the estimation of the propensity score by machine learning improve matching estimation? The case of Germany’s programmes for long term unemployed. (2019). Lechner, Michael ; Goller, Daniel ; Wolff, Joachim ; Moczall, Andreas. In: Economics Working Paper Series. RePEc:usg:econwp:2019:10.

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2019Is favoritism a threat to Chinese aid effectiveness? A subnational analysis of Chinese development projects. (2019). Raschky, Paul ; Hodler, Roland ; Fuchs, Andreas ; Dreher, Axel ; Tierney, Michael J ; Parks, Bradley. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2134.

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Recent citations received in 2018
YearCiting document
2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2018Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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2018Testing for time-varying stochastic volatility in Bitcoin returns. (2018). Salisu, Afees ; Adediran, Idris. In: Working Papers. RePEc:cui:wpaper:0060.

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2018Does time-variation matter in the stochastic volatility components for G7 stock returns. (2018). . In: Working Papers. RePEc:cui:wpaper:0062.

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2018A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects. (2018). Yamagata, Takashi ; Nagata, Shuichi ; Hayakawa, Kazuhiko. In: ISER Discussion Paper. RePEc:dpr:wpaper:1037.

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2018Crude oil and equity markets in major European countries: New evidence. (2018). miloudi, anthony ; Benkraiem, Ramzi ; Lahiani, Amine ; van Hoang, Thi Hong. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00237.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018The long-run effects of pandemic influenza on the development of children from elite backgrounds: Evidence from industrializing Japan. (2018). Ogasawara, Kota. In: Economics & Human Biology. RePEc:eee:ehbiol:v:31:y:2018:i:c:p:125-137.

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2018The contagious effects on economic development after resuming construction policy for nuclear power plants in Coastal China. (2018). Hsiao, Cody Yu-Ling ; Chen, Hsing Hung. In: Energy. RePEc:eee:energy:v:152:y:2018:i:c:p:291-302.

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2018Parallel and reliable probabilistic load forecasting via quantile regression forest and quantile determination. (2018). Zhang, Wenjie ; Srinivasan, Dipti ; Quan, Hao. In: Energy. RePEc:eee:energy:v:160:y:2018:i:c:p:810-819.

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2018Unit root quantile autoregression testing with smooth structural changes. (2018). Li, Haiqi ; Zheng, Chaowen . In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:83-89.

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2018Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

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2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130.

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2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

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2018Renewable Energy, Oil Prices, and Economic Activity: A Granger-causality in Quantiles Analysis. (2018). Uddin, Gazi ; Troster, Victor ; Shahbaz, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:84194.

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2018Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. (2018). Bai, Jushan ; Ando, Tomohiro. In: MPRA Paper. RePEc:pra:mprapa:88765.

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2018Visiting the Economic Policy Uncertainty Shocks - Economic Growth Relationship: Wavelet-based Granger-Causality in Quantiles Approac. (2018). Jiang, Yonghong ; Nie, HE ; Meng, Juan. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:80-94.

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2018Growth in Stress. (2018). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Vicente, Javier . In: Working Papers. RePEc:ucr:wpaper:201805.

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Recent citations received in 2017
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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2017World Productivity Growth: A Model Averaging Approach. (2017). Duygun, Meryem ; Sickles, Robin C ; Isaksson, Anders ; Hao, Jiaqi . In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:4:p:587-619.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2017A century of interfuel substitution. (2017). Serletis, Apostolos ; Nurul Hossain, A. K. M., . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:8:y:2017:i:c:p:28-42.

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2017Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations. (2017). Butler, Ronald W ; Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:43-:d:112377.

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2017JIVE for Panel Dynamic Simultaneous Equations Models. (2017). Zhou, Qiankun ; hsiao, cheng. In: Departmental Working Papers. RePEc:lsu:lsuwpp:2017-10.

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2017Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models. (2017). Zhou, Qiankun ; hsiao, cheng. In: Departmental Working Papers. RePEc:lsu:lsuwpp:2017-11.

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2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:09/2017.

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2017A general class of SemiGARCH models based on the Box-Cox transformation. (2017). Feng, Yuanhua ; Peitz, Christian ; Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:104.

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2017Modelling and Forecasting WIG20 Daily Returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:3:p:173-200.

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2017A nonparametric approach to identifying a subset of forecasters that outperforms the simple average. (2017). Sinclair, Tara ; Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Burgi, Constantin . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1152-y.

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2017Measuring uncertainty and assessing its predictive power in the euro area. (2017). Poncela, Pilar ; Senra, Eva . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1181-6.

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2017Dating multiple change points in the correlation matrix. (2017). Wied, Dominik ; Galeano, Pedro . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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2017Time-varying Model Averaging. (2017). Lee, Tae Hwy ; Sun, Yuying ; Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang. In: Working Papers. RePEc:ucr:wpaper:202001.

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Recent citations received in 2016
YearCiting document
2016Alternative Bayesian compression in Vector Autoregressions and related models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:216.

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2016Alternatives to large VAR, VARMA and multivariate stochastic volatility models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:217.

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2016HEGY test under seasonal heterogeneity. (2016). Politis, Dimitris . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2q4054kf.

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2016EU Structural Funds and Regional Income Convergence - A Sobering Experience. (2016). Schmidt, Christoph ; Mitze, Timo ; Breidenbach, Philipp. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11210.

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2016Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016Combining forecasts from successive data vintages: An application to U.S. growth. (2016). Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B ; Urbain, Jean-Pierre . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:61-74.

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2016xtdcce: Estimating Dynamic Common Correlated Effects in Stata. (2016). Ditzen, Jan. In: SEEC Discussion Papers. RePEc:hwe:seecdp:1601.

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2016Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud. In: Cahiers de recherche. RePEc:lvl:crrecr:1607.

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2016Accounting for Multiplicity in Inference on Economics Journal Rankings. (2016). Parmeter, Christopher ; Horrace, William. In: Working Papers. RePEc:mia:wpaper:2016-08.

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2016BIAS-CORRECTED COMMON CORRELATED EFFECTS POOLED ESTIMATION IN HOMOGENEOUS DYNAMIC PANELS. (2016). Everaert, Gerdie ; De Vos, Ignace. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:16/920.

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2016Integrated likelihoods in parametric survival models for highly clustered censored data. (2016). Cortese, Giuliana ; Sartori, Nicola. In: Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data. RePEc:spr:lifeda:v:22:y:2016:i:3:d:10.1007_s10985-015-9337-9.

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2016Testing for Deterministic Seasonality in Mixed-Frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: DEA Working Papers. RePEc:ubi:deawps:76.

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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. (2016). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp235.

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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model. (2016). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:5178.

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2016EU structural funds and regional income convergence: A sobering experience. (2016). Schmidt, Christoph ; Mitze, Timo ; Breidenbach, Philipp. In: Ruhr Economic Papers. RePEc:zbw:rwirep:608.

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