Journal of Time Series Econometrics / De Gruyter
Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
11
Impact Factor (IF)
0.1
5 Years IF
0.1
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
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2009 | 0 | 0.47 | 0.38 | 0 | 8 | 8 | 64 | 2 | 3 | 0 | 0 | 0 | 2 | 0.25 | 0.23 | |||
| 2010 | 1 | 0.48 | 0.56 | 1 | 8 | 16 | 58 | 8 | 12 | 8 | 8 | 8 | 8 | 1 | 12.5 | 0 | 0.21 | |
| 2011 | 0.56 | 0.52 | 0.5 | 0.56 | 22 | 38 | 243 | 19 | 31 | 16 | 9 | 16 | 9 | 0 | 10 | 0.45 | 0.24 | |
| 2012 | 0.9 | 0.51 | 0.89 | 0.89 | 9 | 47 | 35 | 39 | 73 | 30 | 27 | 38 | 34 | 1 | 2.6 | 1 | 0.11 | 0.22 |
| 2013 | 1.32 | 0.56 | 0.97 | 1.11 | 13 | 60 | 38 | 58 | 131 | 31 | 41 | 47 | 52 | 0 | 2 | 0.15 | 0.24 | |
| 2014 | 0.23 | 0.55 | 0.88 | 0.77 | 4 | 64 | 14 | 54 | 187 | 22 | 5 | 60 | 46 | 0 | 4 | 1 | 0.23 | |
| 2015 | 0.41 | 0.55 | 0.71 | 0.75 | 8 | 72 | 24 | 50 | 238 | 17 | 7 | 56 | 42 | 0 | 4 | 0.5 | 0.23 | |
| 2016 | 0.17 | 0.53 | 0.53 | 0.52 | 8 | 80 | 16 | 42 | 280 | 12 | 2 | 56 | 29 | 1 | 2.4 | 0 | 0.21 | |
| 2017 | 0.44 | 0.55 | 0.57 | 0.43 | 8 | 88 | 2 | 50 | 330 | 16 | 7 | 42 | 18 | 0 | 0 | 0.21 | ||
| 2018 | 0.25 | 0.57 | 0.35 | 0.24 | 14 | 102 | 5 | 36 | 366 | 16 | 4 | 41 | 10 | 1 | 2.8 | 1 | 0.07 | 0.24 |
| 2019 | 0.05 | 0.6 | 0.34 | 0.17 | 10 | 112 | 0 | 38 | 404 | 22 | 1 | 42 | 7 | 0 | 0 | 0.24 | ||
| 2020 | 0.04 | 0.73 | 0.33 | 0.19 | 11 | 123 | 3 | 41 | 445 | 24 | 1 | 48 | 9 | 0 | 0 | 0.34 | ||
| 2021 | 0.1 | 1.02 | 0.28 | 0.1 | 8 | 131 | 4 | 37 | 482 | 21 | 2 | 51 | 5 | 0 | 1 | 0.13 | 0.38 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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
| # | 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 | 73 |
| 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 | 63 |
| 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 | 37 |
| 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 | 34 |
| 5 | 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 | 25 |
| 6 | 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 | 23 |
| 7 | 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 | 20 |
| 8 | 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 | 19 |
| 9 | 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 | 16 |
| 10 | 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 | 12 |
| 11 | 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 | 12 |
| 12 | 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 | 11 |
| 13 | 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 |
| 14 | 2011 | Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index. (2011). Xu, Fang ; LÃÆütkepohl, 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 | 9 |
| 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 | 9 |
| 16 | 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 | 9 |
| 17 | 2016 | On the Univariate Representation of BEKK Models with Common Factors. (2016). Palm, Franz ; Laurent, S̮̩bastien ; 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 | 8 |
| 18 | 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 | 8 |
| 19 | 2016 | A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model. (2016). Stelios, Arvanitis ; Alexandros, Louka . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:1:p:21-39:n:3. Full description at Econpapers || Download paper | 8 |
| 20 | 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 | 7 |
| 21 | 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 |
| 22 | 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 | 7 |
| 23 | 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 | 7 |
| 24 | 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 | 7 |
| 25 | 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 | 6 |
| 26 | 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 | 5 |
| 27 | 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 |
| 28 | 2020 | A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior. (2020). Yukai, Yang ; Mns, Unosson ; Sebastian, Ankargren. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:2:p:41:n:4. Full description at Econpapers || Download paper | 4 |
| 29 | 2020 | A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior. (2020). Yang, Yukai ; Ankargren, Sebastian ; Mns, Unosson ; Sebastian, Ankargren. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:2:p:41:n:1. Full description at Econpapers || Download paper | 4 |
| 30 | 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 | 4 |
| 31 | 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 | 4 |
| 32 | 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 |
| 33 | 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 | 4 |
| 34 | 2018 | Sequential Testing with Uniformly Distributed Size. (2018). Anatolyev, Stanislav ; Grigory, Kosenok ; Stanislav, Anatolyev. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:2. Full description at Econpapers || Download paper | 3 |
| 35 | 2017 | Testing for a Change in Mean under Fractional Integration. (2017). Leybourne, Stephen ; Iacone, Fabrizio ; Fabrizio, Iacone ; Taylor, Robert ; Stephen, Leybourne . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:9:y:2017:i:1:p:8:n:2. Full description at Econpapers || Download paper | 3 |
| 36 | 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 | 3 |
| 37 | 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 |
| 38 | 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 | 3 |
| 39 | 2011 | Testing for a Deterministic Trend When There is Evidence of Unit Root. (2011). Ventosa-SantaulÃÆària, Daniel ; GÃÆómez-ZaldÃÆÃÂvar, 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 |
| 40 | 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 | 3 |
| 41 | 2011 | Nonparametric Tests for Periodic Integration. (2011). Osborn, Denise ; del Barrio Castro, TomÃÆás ; 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 | 3 |
| 42 | 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 |
| 43 | 2018 | Sequential Testing with Uniformly Distributed Size. (2018). Anatolyev, Stanislav ; Grigory, Kosenok ; Stanislav, Anatolyev. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:3. Full description at Econpapers || Download paper | 3 |
| 44 | 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 | 3 |
| 45 | 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 |
| 46 | 2018 | What Proportion of Time is a Particular Market Inefficient? ââ¬Â¦ 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 | 2 |
| 47 | 2014 | Optimal Signal Extraction with Correlated Components. (2014). McElroy, Tucker ; Maravall, Agustin ; Agustin, Maravall ; McElroy Tucker S., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:6:y:2014:i:2:p:37:n:3. Full description at Econpapers || Download paper | 2 |
| 48 | 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 |
| 49 | 2011 | On a Graphical Technique for Evaluating Some Rational Expectations Models. (2011). Johansen, Soren ; Swensen, Anders R.. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:9. Full description at Econpapers || Download paper | 2 |
| 50 | 2021 | Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications. (2021). Manas, Tripathi ; Kumar, Inani Sarveshwar ; Saurabh, Kumar. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:43-71:n:3. Full description at Econpapers || Download paper | 2 |
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 | 18 |
| 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 | 15 |
| 3 | 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 | 9 |
| 4 | 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 | 9 |
| 5 | 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 | 6 |
| 6 | 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 | 6 |
| 7 | 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 | 5 |
| 8 | 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 | 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 | 2016 | On the Univariate Representation of BEKK Models with Common Factors. (2016). Palm, Franz ; Laurent, S̮̩bastien ; 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 |
| 11 | 2020 | A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior. (2020). Yang, Yukai ; Ankargren, Sebastian ; Mns, Unosson ; Sebastian, Ankargren. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:2:p:41:n:1. Full description at Econpapers || Download paper | 3 |
| 12 | 2018 | Sequential Testing with Uniformly Distributed Size. (2018). Anatolyev, Stanislav ; Grigory, Kosenok ; Stanislav, Anatolyev. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:2. Full description at Econpapers || Download paper | 3 |
| 13 | 2017 | Testing for a Change in Mean under Fractional Integration. (2017). Leybourne, Stephen ; Iacone, Fabrizio ; Fabrizio, Iacone ; Taylor, Robert ; Stephen, Leybourne . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:9:y:2017:i:1:p:8:n:2. Full description at Econpapers || Download paper | 3 |
| 14 | 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 | 3 |
| 15 | 2020 | A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior. (2020). Yukai, Yang ; Mns, Unosson ; Sebastian, Ankargren. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:2:p:41:n:4. Full description at Econpapers || Download paper | 3 |
| 16 | 2018 | Sequential Testing with Uniformly Distributed Size. (2018). Anatolyev, Stanislav ; Grigory, Kosenok ; Stanislav, Anatolyev. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:3. Full description at Econpapers || Download paper | 3 |
| 17 | 2021 | Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications. (2021). Manas, Tripathi ; Kumar, Inani Sarveshwar ; Saurabh, Kumar. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:43-71:n:3. Full description at Econpapers || Download paper | 2 |
| 18 | 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 | 2 |
| 19 | 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 | 2 |
| 20 | 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 | 2 |
| 21 | 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 | 2 |
Citing documents used to
compute impact factor: 2
| Year | Title | |
|---|---|---|
| 2021 | Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey. (2021). Rodrigo, Tomasa ; Ortiz, Alvaro ; Isa, Berk Orkun ; Mert, Seda Guler ; Barlas, Ali B ; Yazgan, Ege ; Soybilgen, Baris. In: Papers. RePEc:arx:papers:2107.03299. Full description at Econpapers || Download paper | |
| 2021 | Simulation smoothing for nowcasting with large mixed-frequency VARs. (2021). Ankargren, Sebastian ; Joneus, Paulina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:97-113. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2021
| Year | Citing document | |
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| 2021 | Spatial crude oil production divergence and crude oil price behaviour in the United States. (2021). Gil-Alana, Luis ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:232:y:2021:i:c:s0360544221012822. Full description at Econpapers || Download paper |
Recent citations received in 2020
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Recent citations received in 2018
| Year | Citing document | |
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| 2018 | Stationary Threshold Vector Autoregressive Models. (2018). Stentoft, Lars ; Grynkiv, Galyna. In: JRFM. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:45-:d:162047. Full description at Econpapers || Download paper |
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