Citation analysis for Econometric Theory / Cambridge University Press

Citation Profile [Updated: 2024-12-09 13:41:37]

5 Years H Index

108

Impact Factor (IF)

0.66

5 Years IF

0.86

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	0.1	0.11	0.36	0.09	61	61	767	21	22	100	10	199	17	1	4.8	3	0.05	0.05
1991	0.13	0.1	0.34	0.1	53	114	1264	38	61	105	14	236	24		0	4	0.08	0.05
1992	0.05	0.11	0.21	0.06	71	185	1086	32	99	114	6	253	15		0	2	0.03	0.06
1993	0.07	0.13	0.12	0.05	79	264	1216	31	130	124	9	285	15		0	4	0.05	0.06
1994	0.09	0.14	0.2	0.09	71	335	1676	60	198	150	14	308	29		0	7	0.1	0.07
1995	0.16	0.22	0.35	0.2	100	435	4037	148	350	150	24	335	67		0	8	0.08	0.09
1996	0.29	0.25	0.41	0.28	81	516	1413	212	564	171	49	374	105		0	6	0.07	0.12
1997	0.35	0.25	0.4	0.25	74	590	1863	233	799	181	63	402	99		0	15	0.2	0.11
1998	0.34	0.28	0.6	0.35	45	635	1801	380	1181	155	52	405	143	3	0.8	27	0.6	0.13
1999	0.49	0.31	0.7	0.49	41	676	1692	466	1651	119	58	371	180	4	0.9	27	0.66	0.15
2000	0.93	0.36	0.94	0.72	48	724	2354	664	2335	86	80	341	246	4	0.6	24	0.5	0.16
2001	0.98	0.39	0.96	0.78	46	770	1509	711	3071	89	87	289	226		0	23	0.5	0.17
2002	1.23	0.41	1.04	1.08	69	839	2428	859	3940	94	116	254	274		0	43	0.62	0.21
2003	1.13	0.44	1.4	1.2	79	918	1751	1273	5225	115	130	249	300	4	0.3	93	1.18	0.22
2004	0.92	0.5	1.48	1.2	65	983	4278	1428	6679	148	136	283	339	14	1	29	0.45	0.22
2005	0.9	0.51	1.52	1.13	60	1043	2136	1570	8268	144	130	307	346	6	0.4	45	0.75	0.24
2006	1.28	0.51	1.73	1.25	57	1100	912	1861	10168	125	160	319	398		0	32	0.56	0.23
2007	0.87	0.47	1.5	1.13	52	1152	595	1684	11897	117	102	330	374	11	0.7	21	0.4	0.2
2008	0.87	0.49	1.64	1.31	69	1221	1772	1965	13894	109	95	313	410	7	0.4	63	0.91	0.23
2009	0.94	0.48	1.72	1.41	82	1303	1754	2231	16141	121	114	303	427		0	58	0.71	0.24
2010	0.96	0.49	1.53	0.9	66	1369	1899	2081	18238	151	145	320	289	5	0.2	32	0.48	0.21
2011	1.14	0.52	1.58	0.96	50	1419	800	2220	20473	148	169	326	314		0	28	0.56	0.24
2012	1.47	0.52	1.83	1.3	53	1472	1076	2686	23169	116	171	319	415	13	0.5	26	0.49	0.22
2013	1.37	0.56	2.01	1.58	45	1517	644	3048	26220	103	141	320	506	6	0.2	24	0.53	0.24
2014	1.17	0.55	1.8	1.42	43	1560	365	2795	29025	98	115	296	419		0	14	0.33	0.23
2015	1.14	0.55	1.84	1.46	51	1611	526	2966	31995	88	100	257	376	4	0.1	31	0.61	0.23
2016	0.79	0.53	1.72	0.93	38	1649	435	2839	34836	94	74	242	224	1	0	15	0.39	0.21
2017	0.99	0.54	1.62	1.06	46	1695	384	2738	37578	89	88	230	243		0	23	0.5	0.22
2018	1.01	0.55	1.55	1.03	45	1740	359	2699	40281	84	85	223	230	3	0.1	20	0.44	0.23
2019	0.85	0.57	1.38	0.89	32	1772	196	2434	42718	91	77	223	198		0	9	0.28	0.23
2020	1.06	0.68	1.6	1.06	34	1806	106	2887	45607	77	82	212	224		0	16	0.47	0.32
2021	0.82	0.8	1.43	1.1	35	1841	87	2625	48232	66	54	195	214		0	5	0.14	0.29
2022	0.58	0.84	1.16	0.88	38	1879	36	2187	50420	69	40	192	168		0	5	0.13	0.25
2023	0.66	0.86	1.04	0.86	38	1917	13	2002	52422	73	48	184	159		0	4	0.11	0.25

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	2004	PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20. Full description at Econpapers \|\| Download paper	2555
2	1995	Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00. Full description at Econpapers \|\| Download paper	2132
3	2000	PROBLEMS AND SOLUTIONS. (2000). ,, . In: Econometric Theory. RePEc:cup:etheor:v:16:y:2000:i:2:p:287-299_10. Full description at Econpapers \|\| Download paper	780
4	2003	ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19. Full description at Econpapers \|\| Download paper	645
5	1993	Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00. Full description at Econpapers \|\| Download paper	628
6	1991	Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00. Full description at Econpapers \|\| Download paper	617
7	2001	PROBLEMS AND SOLUTIONS. (2001). ,, . In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:5:p:1025-1031_7. Full description at Econpapers \|\| Download paper	584
8	2001	PROBLEMS AND SOLUTIONS. (2001). ,, . In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:6:p:1157-1160_6. Full description at Econpapers \|\| Download paper	584
9	1996	Which Moments to Match?. (1996). Tauchen, George ; Gallant, A.. In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:04:p:657-681_00. Full description at Econpapers \|\| Download paper	576
10	2002	PROBLEMS AND SOLUTIONS. (2002). ,, . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:2:p:541-545_14. Full description at Econpapers \|\| Download paper	485
11	2002	PROBLEMS AND SOLUTIONS. (2002). ,, . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:5:p:1273-1289_10. Full description at Econpapers \|\| Download paper	485
12	2002	PROBLEMS AND SOLUTIONS. (2002). ,, . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:1:p:193-194_10. Full description at Econpapers \|\| Download paper	485
13	2002	PROBLEMS AND SOLUTIONS. (2002). ,, . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:4:p:1007-1017_12. Full description at Econpapers \|\| Download paper	485
14	2002	PROBLEMS AND SOLUTIONS. (2002). ,, . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:3:p:819-821_13. Full description at Econpapers \|\| Download paper	485
15	2002	PROBLEMS AND SOLUTIONS. (2002). ,, . In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:6:p:1461-1465_9. Full description at Econpapers \|\| Download paper	485
16	1997	Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00. Full description at Econpapers \|\| Download paper	431
17	2004	PROBLEMS AND SOLUTIONS. (2004). ,, . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:2:p:427-429_10. Full description at Econpapers \|\| Download paper	397
18	2004	PROBLEMS AND SOLUTIONS. (2004). ,, . In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:1:p:223-229_14. Full description at Econpapers \|\| Download paper	397
19	2004	INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20. Full description at Econpapers \|\| Download paper	379
20	2003	PROBLEMS AND SOLUTIONS. (2003). ,, . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:2:p:411-413_11. Full description at Econpapers \|\| Download paper	375
21	2003	PROBLEMS AND SOLUTIONS. (2003). ,, . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:1:p:225-228_12. Full description at Econpapers \|\| Download paper	375
22	2003	PROBLEMS AND SOLUTIONS. (2003). ,, . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:6:p:1195-1198_18. Full description at Econpapers \|\| Download paper	375
23	2003	PROBLEMS AND SOLUTIONS. (2003). ,, . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:5:p:879-883_11. Full description at Econpapers \|\| Download paper	375
24	2003	PROBLEMS AND SOLUTIONS. (2003). ,, . In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:4:p:691-705_17. Full description at Econpapers \|\| Download paper	375
25	1998	PROBLEMS AND SOLUTIONS. (1998). ,, . In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:5:p:687-698_8. Full description at Econpapers \|\| Download paper	369
26	1998	PROBLEMS AND SOLUTIONS. (1998). ,, . In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:4:p:525-537_7. Full description at Econpapers \|\| Download paper	369
27	1998	PROBLEMS AND SOLUTIONS. (1998). ,, . In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:3:p:381-386_9. Full description at Econpapers \|\| Download paper	369
28	1998	PROBLEMS AND SOLUTIONS. (1998). ,, . In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:2:p:285-292_6. Full description at Econpapers \|\| Download paper	369
29	1998	PROBLEMS AND SOLUTIONS. (1998). ,, . In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:1:p:151-159_7. Full description at Econpapers \|\| Download paper	369
30	1990	Stationarity and Persistence in the GARCH(1,1) Model. (1990). Nelson, Daniel B.. In: Econometric Theory. RePEc:cup:etheor:v:6:y:1990:i:03:p:318-334_00. Full description at Econpapers \|\| Download paper	364
31	1999	UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. (1999). Baltagi, Badi ; Wu, Ping X.. In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15. Full description at Econpapers \|\| Download paper	355
32	2005	AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY. (2005). McAleer, Michael. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:232-261_05. Full description at Econpapers \|\| Download paper	336
33	2009	OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09. Full description at Econpapers \|\| Download paper	334
34	1999	PROBLEMS AND SOLUTIONS. (1999). ,, . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:1:p:151-160_8. Full description at Econpapers \|\| Download paper	321
35	1999	PROBLEMS AND SOLUTIONS. (1999). ,, . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:5:p:777-788_7. Full description at Econpapers \|\| Download paper	321
36	1999	PROBLEMS AND SOLUTIONS. (1999). ,, . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:4:p:629-637_7. Full description at Econpapers \|\| Download paper	321
37	1999	PROBLEMS AND SOLUTIONS. (1999). ,, . In: Econometric Theory. RePEc:cup:etheor:v:15:y:1999:i:3:p:427-432_7. Full description at Econpapers \|\| Download paper	321
38	1994	A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration. (1994). shin, yongcheol. In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:91-115_00. Full description at Econpapers \|\| Download paper	299
39	1998	STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS. (1998). Jeantheau, Thierry. In: Econometric Theory. RePEc:cup:etheor:v:14:y:1998:i:01:p:70-86_14. Full description at Econpapers \|\| Download paper	296
40	2002	MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS. (2002). Chen, Xiaohong ; Carrasco, Marine. In: Econometric Theory. RePEc:cup:etheor:v:18:y:2002:i:01:p:17-39_18. Full description at Econpapers \|\| Download paper	296
41	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÆÃÂ¶tscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05. Full description at Econpapers \|\| Download paper	286
42	1994	Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator. (1994). Hansen, Bruce ; Lee, Sang-Won . In: Econometric Theory. RePEc:cup:etheor:v:10:y:1994:i:01:p:29-52_00. Full description at Econpapers \|\| Download paper	284
43	2012	A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Song, Song ; HÃÆÃÂ¤rdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K.. In: Econometric Theory. RePEc:cup:etheor:v:28:y:2012:i:04:p:861-887_00. Full description at Econpapers \|\| Download paper	268
44	2001	THE GENERALIZED DYNAMIC FACTOR MODEL: REPRESENTATION THEORY. (2001). Lippi, Marco ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:17:y:2001:i:06:p:1113-1141_17. Full description at Econpapers \|\| Download paper	252
45	2009	GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Carrion-i-Silvestre, Josep Llu?s, . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99. Full description at Econpapers \|\| Download paper	242
46	1997	Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00. Full description at Econpapers \|\| Download paper	240
47	2005	A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. (2005). Vogelsang, Timothy ; Kiefer, Nicholas. In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:06:p:1130-1164_05. Full description at Econpapers \|\| Download paper	236
48	1992	Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01. Full description at Econpapers \|\| Download paper	227
49	1996	Markov Chain Monte Carlo Simulation Methods in Econometrics. (1996). Greenberg, Edward ; Chib, Siddhartha . In: Econometric Theory. RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00. Full description at Econpapers \|\| Download paper	226
50	1995	Inference in Models with Nearly Integrated Regressors. (1995). Elliott, Graham ; Cavanagh, Christopher L. ; Stock, James H.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:05:p:1131-1147_00. Full description at Econpapers \|\| Download paper	225

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

#	Year	Title	Cited
1	2004	PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS. (2004). Pedroni, Peter. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:03:p:597-625_20. Full description at Econpapers \|\| Download paper	572
2	1995	Multivariate Simultaneous Generalized ARCH. (1995). Engle, Robert ; KRONER, Kenneth F.. In: Econometric Theory. RePEc:cup:etheor:v:11:y:1995:i:01:p:122-150_00. Full description at Econpapers \|\| Download paper	200
3	1993	Testing Identifiability and Specification in Instrumental Variable Models. (1993). Donald, Stephen ; CRAGG, John G.. In: Econometric Theory. RePEc:cup:etheor:v:9:y:1993:i:02:p:222-240_00. Full description at Econpapers \|\| Download paper	136
4	2012	A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE. (2012). Song, Song ; HÃÆÃÂ¤rdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K.. In: Econometric Theory. RePEc:cup:etheor:v:28:y:2012:i:04:p:861-887_00. Full description at Econpapers \|\| Download paper	114
5	2004	INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL. (2004). Hansen, Bruce ; Caner, Mehmet. In: Econometric Theory. RePEc:cup:etheor:v:20:y:2004:i:05:p:813-843_20. Full description at Econpapers \|\| Download paper	70
6	1991	Asymptotically Efficient Estimation of Cointegration Regressions. (1991). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:01:p:1-21_00. Full description at Econpapers \|\| Download paper	53
7	2005	MODEL SELECTION AND INFERENCE: FACTS AND FICTION. (2005). PÃÆÃÂ¶tscher, Benedikt ; Leeb, Hannes ; P tscher, Benedikt M., . In: Econometric Theory. RePEc:cup:etheor:v:21:y:2005:i:01:p:21-59_05. Full description at Econpapers \|\| Download paper	49
8	1997	Estimating Multiple Breaks One at a Time. (1997). Bai, Jushan. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:03:p:315-352_00. Full description at Econpapers \|\| Download paper	49
9	2017	DYNAMIC LINEAR PANEL REGRESSION MODELS WITH INTERACTIVE FIXED EFFECTS. (2017). Weidner, Martin ; Moon, Hyungsik Roger. In: Econometric Theory. RePEc:cup:etheor:v:33:y:2017:i:01:p:158-195_00. Full description at Econpapers \|\| Download paper	42
10	2009	OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS. (2009). Reichlin, Lucrezia ; Lippi, Marco ; Giannone, Domenico ; Forni, Mario. In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:05:p:1319-1347_09. Full description at Econpapers \|\| Download paper	42
11	1991	Asymptotics for Least Absolute Deviation Regression Estimators. (1991). Pollard, David . In: Econometric Theory. RePEc:cup:etheor:v:7:y:1991:i:02:p:186-199_00. Full description at Econpapers \|\| Download paper	40
12	2018	FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION. (2018). Shi, Shuping ; Phillips, Peter ; PEter, . In: Econometric Theory. RePEc:cup:etheor:v:34:y:2018:i:04:p:705-753_00. Full description at Econpapers \|\| Download paper	37
13	1992	Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. (1992). Saikkonen, Pentti. In: Econometric Theory. RePEc:cup:etheor:v:8:y:1992:i:01:p:1-27_01. Full description at Econpapers \|\| Download paper	35
14	2008	A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES. (2008). Johansen, Soren. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08. Full description at Econpapers \|\| Download paper	35
15	2015	WHEN BIAS KILLS THE VARIANCE: CENTRAL LIMIT THEOREMS FOR DEA AND FDH EFFICIENCY SCORES. (2015). Simar, Leopold ; Kneip, Alois ; Wilson, Paul W. In: Econometric Theory. RePEc:cup:etheor:v:31:y:2015:i:02:p:394-422_00. Full description at Econpapers \|\| Download paper	32
16	2003	ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL. (2003). McAleer, Michael ; Ling, Shiqing. In: Econometric Theory. RePEc:cup:etheor:v:19:y:2003:i:02:p:280-310_19. Full description at Econpapers \|\| Download paper	31
17	1997	Variance Components Structures for the Extreme-Value and Logistic Distributions with Application to Models of Heterogeneity. (1997). Cardell, Scott N.. In: Econometric Theory. RePEc:cup:etheor:v:13:y:1997:i:02:p:185-213_00. Full description at Econpapers \|\| Download paper	30
18	2009	GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES. (2009). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Carrion-i-Silvestre, Josep Llu?s, . In: Econometric Theory. RePEc:cup:etheor:v:25:y:2009:i:06:p:1754-1792_99. Full description at Econpapers \|\| Download paper	30
19	2008	UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA. (2008). Hansen, Bruce. In: Econometric Theory. RePEc:cup:etheor:v:24:y:2008:i:03:p:726-748_08. Full description at Econpapers \|\| Download paper	29
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Citing documents used to compute impact factor: 48

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2023	New asymptotics applied to functional coefficient regression and climate sensitivity analysis. (2023). Phillips, Peter ; Wang, Ying. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2365. Full description at Econpapers \|\| Download paper
2023	A general procedure for change-point detection in multivariate time series. (2023). Kengne, William ; Diop, Mamadou Lamine. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00824-z. Full description at Econpapers \|\| Download paper
2023	A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5. Full description at Econpapers \|\| Download paper
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2023	Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2023). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762100213x. Full description at Econpapers \|\| Download paper
2023	A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137. Full description at Econpapers \|\| Download paper
2023	Identification- and many instrument-robust inference via invariant moment conditions. (2023). Ligtenberg, Johannes W ; Boot, Tom. In: Papers. RePEc:arx:papers:2303.07822. Full description at Econpapers \|\| Download paper
2023	Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers \|\| Download paper
2023	Jackknife estimation of a cluster-sample IV regression model with many weak instruments. (2023). Woutersen, Tiemen ; Swanson, Norman R ; Chao, John C. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1747-1769. Full description at Econpapers \|\| Download paper
2023	Testing many restrictions under heteroskedasticity. (2023). Anatolyev, Stanislav ; Solvsten, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001677. Full description at Econpapers \|\| Download paper
2023	An Identification and Dimensionality Robust Test for Instrumental Variables Models. (2023). Navjeevan, Manu. In: Papers. RePEc:arx:papers:2311.14892. Full description at Econpapers \|\| Download paper
2023	Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals. (2023). Peracchi, Franco ; Magnus, Jan R ; Luca, Giuseppe. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10255-5. Full description at Econpapers \|\| Download paper
2023	Optimal model averaging based on forward-validation. (2023). Zhang, Xiaomeng. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762200094x. Full description at Econpapers \|\| Download paper
2023	Estimating the Impact of the Age of Criminal Majority: Decomposing Multiple Treatments in a Regression Discontinuity Framework. (2023). Walker, Caroline ; Pyle, Benjamin ; Mueller-Smith, Michael. In: Working Papers. RePEc:cen:wpaper:23-01. Full description at Econpapers \|\| Download paper
2023	Investigating the performance of Chinese banks over 2007â2014. (2023). Zhao, Shirong ; Wilson, Paul W. In: Annals of Operations Research. RePEc:spr:annopr:v:321:y:2023:i:1:d:10.1007_s10479-022-04925-8. Full description at Econpapers \|\| Download paper
2023	Further improvements of finite sample approximation of central limit theorems for envelopment estimators. (2023). Zelenyuk, Valentin ; Zhao, Shirong ; Simar, Leopold. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:59:y:2023:i:2:d:10.1007_s11123-023-00661-8. Full description at Econpapers \|\| Download paper
2023	Another look at productivity growth in industrialized countries. (2023). Simar, Leopold ; Wilson, Paul W. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:60:y:2023:i:3:d:10.1007_s11123-023-00689-w. Full description at Econpapers \|\| Download paper
2023	Productivity analysis: roots, foundations, trends and perspectives. (2023). Zelenyuk, Valentin. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:60:y:2023:i:3:d:10.1007_s11123-023-00692-1. Full description at Econpapers \|\| Download paper
2023	Special Symposium on Lifetime Achievements of Rolf FÃ¤re and Shawna Grosskopf. (2023). Sickles, Robin C. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:60:y:2023:i:3:d:10.1007_s11123-023-00693-0. Full description at Econpapers \|\| Download paper
2023	Identifying an earnings process with dependent contemporaneous income shocks. (2023). Ben-Moshe, Dan. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002860. Full description at Econpapers \|\| Download paper
2023	Modified harmonic mean method for spatial autoregressive models. (2023). Doan, Osman. In: Economics Letters. RePEc:eee:ecolet:v:223:y:2023:i:c:s0165176523000034. Full description at Econpapers \|\| Download paper
2023	New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers \|\| Download paper
2023	A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers \|\| Download paper
2023	Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160. Full description at Econpapers \|\| Download paper
2023	Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586. Full description at Econpapers \|\| Download paper
2023	Performance Costs and Benefits of Collective Turnover: A Theory-Driven Measurement Framework and Applications. (2023). Zubanov, Nick ; Shakina, Elena. In: IZA Discussion Papers. RePEc:iza:izadps:dp16413. Full description at Econpapers \|\| Download paper
2023	Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors. (2023). Kapetanios, George ; Marcellino, Massimiliano ; Bai, YU. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-13. Full description at Econpapers \|\| Download paper
2023	Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers \|\| Download paper
2023	Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317. Full description at Econpapers \|\| Download paper
2023	Two-step estimation in linear regressions with adaptive learning. (2023). Mayer, Alexander. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s0167715222002747. Full description at Econpapers \|\| Download paper
2023	Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers \|\| Download paper
2023	Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers \|\| Download paper
2023	Change-point estimators with the weighted objective function when estimating breaks one at a time. (2023). é»ä½, è±å¸, ; Kurozumi, Eiji ; ç°æ³, ä¿å, ; Tayanagi, Toshikazu. In: Discussion Papers. RePEc:hit:econdp:2023-04. Full description at Econpapers \|\| Download paper
2023	Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap. (2023). Karapakula, Ganesh. In: Papers. RePEc:arx:papers:2301.05703. Full description at Econpapers \|\| Download paper
2023	Doubly Robust Estimators with Weak Overlap. (2023). Ura, Takuya ; Sasaki, Yuya ; Man, Yukun. In: Papers. RePEc:arx:papers:2304.08974. Full description at Econpapers \|\| Download paper
2023	Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431. Full description at Econpapers \|\| Download paper
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2023	Quantile regression version of HodrickâPrescott filter. (2023). Yamada, Hiroshi. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02292-8. Full description at Econpapers \|\| Download paper
2023	Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158. Full description at Econpapers \|\| Download paper
2023	The scope and methodology of economic and financial asymmetries. (2023). Stengos, Thanasis ; Malliaris, Anastasios ; Alogoskoufis, George. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000099. Full description at Econpapers \|\| Download paper
2023	Social threshold regression. (2023). Sun, Yiguo ; Kourtellos, Andros ; Konstantinidi, Antri. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2057-2081. Full description at Econpapers \|\| Download paper
2023	Some identification results in a correlated random coefficients sample selection model. (2023). Jin, Zequn ; Zhu, Xun. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004184. Full description at Econpapers \|\| Download paper
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2023	Robust Inference on Correlation under General Heterogeneity. (2023). , Peter ; Li, Yufei ; Giraitis, Liudas. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2354. Full description at Econpapers \|\| Download paper
2023	A portmanteau-type test for detecting serial correlation in locally stationary functional time series. (2023). Heinrichs, Florian ; Dette, Holger ; Bucher, Axel. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09285-5. Full description at Econpapers \|\| Download paper
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2023	The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2023

Year	Citing document
2023	Prior and posterior checking of implicit causal assumptions. (2023). Linero, Antonio R. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:4:p:3153-3164. Full description at Econpapers \|\| Download paper
2023	Robust inference with stochastic local unit root regressors in predictive regressions. (2023). Phillips, Peter ; Liu, Yanbo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:563-591. Full description at Econpapers \|\| Download paper
2023	Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x. Full description at Econpapers \|\| Download paper
2023	A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR. (2023). Yu, Jun ; Liu, Yanbo. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:4:p:1347-1395. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Estimation of Average Derivatives of Latent Regressors: With an Application to Inference on Buffer-Stock Saving. (2022). Sasaki, Yuya ; Dong, Hao. In: Papers. RePEc:arx:papers:2209.05914. Full description at Econpapers \|\| Download paper
2022	A Generalized Argmax Theorem with Applications. (2022). Cox, Gregory. In: Papers. RePEc:arx:papers:2209.08793. Full description at Econpapers \|\| Download paper
2022	The boosted HP filter is more general than you might think. (2022). , Peter ; PEter, ; Shi, Zhentao ; Mei, Ziwei. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2348. Full description at Econpapers \|\| Download paper
2022	Do the green bonds overreact to the COVID-19 pandemic?. (2022). Zhang, Hongwei ; Suleman, Muhammad Tahir ; Cui, Tianxiang. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003208. Full description at Econpapers \|\| Download paper
2022	Estimation of average derivatives of latent regressors: with an application to inference on buffer-stock saving. (2022). Sasaki, Yuya ; Dong, Hao. In: Departmental Working Papers. RePEc:smu:ecowpa:2204. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables. (2021). Dovi, Max-Sebastian. In: Papers. RePEc:arx:papers:2101.09543. Full description at Econpapers \|\| Download paper
2021	Social media sentiment, model uncertainty, and volatility forecasting. (2021). Lehrer, Steven ; Zhang, Xinyu ; Xie, Tian. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001450. Full description at Econpapers \|\| Download paper
2021	A New Test for Multiple Predictive Regression. (2021). Guo, Junjie ; Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2022001. Full description at Econpapers \|\| Download paper
2021	Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series. (2021). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:110954. Full description at Econpapers \|\| Download paper
2021	Estimating FARIMA models with uncorrelated but non-independent error terms. (2021). Saussereau, Bruno ; Esstafa, Youssef ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09243-7. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Revisiting empirical studies on the liquidity effect: An identication-robust approach. (2020). Masson, Virginie ; Doko Tchatoka, Firmin ; Slinger, Lauren. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-02. Full description at Econpapers \|\| Download paper
2020	Boosting the Hodrick-Prescott Filter. (2019). Phillips, Peter ; Shi, Zhentao ; PEter, . In: Papers. RePEc:arx:papers:1905.00175. Full description at Econpapers \|\| Download paper
2020	High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478. Full description at Econpapers \|\| Download paper
2020	On the Time Trend of COVID-19: A Panel Data Study. (2020). Gao, Jiti ; Dong, Chaohua ; Peng, Bin ; Linton, Oliver. In: Papers. RePEc:arx:papers:2006.11060. Full description at Econpapers \|\| Download paper
2020	On Time Trend of COVID-19: A Panel Data Study. (2020). Peng, B ; Linton, O ; Gao, J ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2065. Full description at Econpapers \|\| Download paper
2020	LM tests for joint breaks in the dynamics and level of a long-memory time series. (2020). Velasco, Carlos ; Dolado, Juan ; Rachinger, Heiko. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15435. Full description at Econpapers \|\| Download paper
2020	Out of sample predictability in predictive regressions with many predictor candidates. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31554. Full description at Econpapers \|\| Download paper
2020	Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve. (2020). Xia, Huizhu ; Chen, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:595-604. Full description at Econpapers \|\| Download paper
2020	A time-varying diffusion index forecasting model. (2020). Zhang, Yonghui ; Wei, Jie. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302172. Full description at Econpapers \|\| Download paper
2020	KolmogorovâSmirnov type test for generated variables. (2020). Taniguchi, GO ; Otsu, Taisuke. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302500. Full description at Econpapers \|\| Download paper
2020	. Full description at Econpapers \|\| Download paper
2020	Are unobservables separable?. (2020). FLORENS, Jean-Pierre ; Babii, Andrii. In: Working Papers. RePEc:hal:wpaper:hal-02532383. Full description at Econpapers \|\| Download paper
2020	On Time Trend of COVID-19: A Panel Data Study. (2020). GAO, Jiti ; Peng, Bin ; Linton, Oliver ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-22. Full description at Econpapers \|\| Download paper
2020	Aggregation of Seasonal Long-Memory Processes. (2020). del Barrio Castro, TomÃÆÃÂ¡s ; Rachinger, Heiko. In: MPRA Paper. RePEc:pra:mprapa:102890. Full description at Econpapers \|\| Download paper
2020	Quantile Analysis of Hazard-Rate Game Models. (2020). FLORENS, Jean-Pierre ; Enache, Andreea. In: TSE Working Papers. RePEc:tse:wpaper:124384. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	1664
2	Journal of Econometrics / Elsevier	231	1223
3			312
4	Sustainability / MDPI	66	293
5	MPRA Paper / University Library of Munich, Germany	130	289
6	Resources Policy / Elsevier	77	250
7	Empirical Economics / Springer	70	208
8	Economics Letters / Elsevier	135	160
9	Energy Economics / Elsevier	162	154
10	Econometrics and Statistics / Elsevier	12	135
11	Economic Modelling / Elsevier	88	134