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Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
58
Impact Factor (IF)
0
5 Years IF
0
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
1998 0 0.28 0.59 0 17 17 422 8 16 0 0 0 8 0.47 0.13
1999 0.88 0.31 0.69 0.88 18 35 1487 22 40 17 15 17 15 0 5 0.28 0.15
2000 1 0.36 1.15 1 13 48 2101 46 95 35 35 35 35 1 2.2 5 0.38 0.16
2001 2 0.39 1.54 1.56 21 69 937 91 201 31 62 48 75 0 3 0.14 0.17
2002 1.71 0.41 1.48 1.62 26 95 805 135 342 34 58 69 112 1 0.7 11 0.42 0.21
2003 1.17 0.44 1.85 1.81 22 117 1463 208 558 47 55 95 172 1 0.5 12 0.55 0.22
2004 1.56 0.5 2.3 2.52 29 146 2182 328 894 48 75 100 252 0 19 0.66 0.22
2005 1.92 0.51 2.24 1.95 25 171 761 382 1277 51 98 111 216 0 8 0.32 0.24
2006 1.69 0.51 2.54 1.92 23 194 436 481 1769 54 91 123 236 0 4 0.17 0.23
2007 1 0.46 2.25 1.75 29 223 645 495 2271 48 48 125 219 0 7 0.24 0.2
2008 1.08 0.49 2.77 2.28 30 253 995 697 2973 52 56 128 292 0 16 0.53 0.23
2009 1.39 0.48 2.26 1.74 37 290 1334 651 3628 59 82 136 237 0 26 0.7 0.24
2010 1.25 0.49 2.16 1.39 17 307 736 661 4291 67 84 144 200 0 9 0.53 0.21
2011 1.59 0.52 2.25 1.39 12 319 944 718 5009 54 86 136 189 0 8 0.67 0.24
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
#YearTitleCited
12000Testing for stationarity in heterogeneous panel data. (2000). Hadri, Kaddour. In: Econometrics Journal. RePEc:ect:emjrnl:v:3:y:2000:i:2:p:148-161.

Full description at Econpapers || Download paper

1345
22011A simple approach to quantile regression for panel data. (2011). Canay, Ivan. In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:3:p:368-386.

Full description at Econpapers || Download paper

616
32003Dynamic panel estimation and homogeneity testing under cross section dependence *. (2003). Sul, Donggyu ; Phillips, Peter. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:1:p:217-259.

Full description at Econpapers || Download paper

549
42004The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects. (2004). Greene, William. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:98-119.

Full description at Econpapers || Download paper

493
52008A bias-adjusted LM test of error cross-section independence. (2008). Yamagata, Takashi ; Ullah, Aman ; Pesaran, M. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:1:p:105-127.

Full description at Econpapers || Download paper

427
61999Some tests for parameter constancy in cointegrated VAR-models. (1999). Johansen, Soren. In: Econometrics Journal. RePEc:ect:emjrnl:v:2:y:1999:i:2:p:306-333.

Full description at Econpapers || Download paper

425
72005Breaking the panels: An application to the GDP per capita. (2005). Lopez-Bazo, Enrique ; del Barrio Castro, Tomás ; Carrion-i-Silvestre, Josep ; del Barrio-Castro, Tomas . In: Econometrics Journal. RePEc:ect:emjrnl:v:8:y:2005:i:2:p:159-175.

Full description at Econpapers || Download paper

416
82000Cointegration analysis in the presence of structural breaks in the deterministic trend. (2000). Nielsen, Bent ; Mosconi, Rocco ; Johansen, Soren. In: Econometrics Journal. RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249.

Full description at Econpapers || Download paper

409
92003Critical values for multiple structural change tests. (2003). Perron, Pierre ; Bai, Jushan. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78.

Full description at Econpapers || Download paper

392
10Weak and strong cross‐section dependence and estimation of large panels. (2011). Pesaran, M ; Chudik, Alexander ; Tosetti, Elisa . In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:1:p:c45-c90.

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367
112009Realized kernels in practice: trades and quotes. (2009). Shephard, Neil ; Lunde, Asger ; Barndorff-Nielsen, Ole ; Hansen, Reinhard P.. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c1-c32.

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339
122004Some cautions on the use of panel methods for integrated series of macroeconomic data. (2004). Osbat, Chiara ; Marcellino, Massimiliano ; Banerjee, Anindya. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:322-340.

Full description at Econpapers || Download paper

306
131999Nonparametric bounds on employment and income effects of continuous vocational training in East Germany. (1999). Lechner, Michael. In: Econometrics Journal. RePEc:ect:emjrnl:v:2:y:1999:i:1:p:1-28.

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290
142001Likelihood-based cointegration tests in heterogeneous panels. (2001). Lyhagen, Johan ; Lothgren, Mickael ; Larsson, Rolf. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:1:p:41.

Full description at Econpapers || Download paper

283
152010The weak instrument problem of the system GMM estimator in dynamic panel data models. (2010). Windmeijer, Frank ; Bun, Maurice ; Maurice J. G. Bun, . In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:1:p:95-126.

Full description at Econpapers || Download paper

280
161999Statistical algorithms for models in state space using SsfPack 2.2. (1999). Shephard, Neil ; Koopman, Siem Jan ; Doornik, Jurgen. In: Econometrics Journal. RePEc:ect:emjrnl:v:2:y:1999:i:1:p:107-160.

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262
171999Data mining reconsidered: encompassing and the general-to-specific approach to specification search. (1999). Perez, Stephen ; Hoover, Kevin. In: Econometrics Journal. RePEc:ect:emjrnl:v:2:y:1999:i:2:p:167-191.

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253
182004Pooling of forecasts. (2004). Hendry, David ; Clements, Michael. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:1-31.

Full description at Econpapers || Download paper

228
192010Specification and estimation of social interaction models with network structures. (2010). Liu, Xiaodong ; Lee, Lung-Fei ; Lin, XU. In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:2:p:145-176.

Full description at Econpapers || Download paper

209
202004Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations. (2004). Kuersteiner, Guido ; Hausman, Jerry ; Hahn, Jinyong. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:272-306.

Full description at Econpapers || Download paper

203
212002Model selection tests for nonlinear dynamic models. (2002). Rivers, Douglas ; Vuong, Quang. In: Econometrics Journal. RePEc:ect:emjrnl:v:5:y:2002:i:1:p:1-39.

Full description at Econpapers || Download paper

177
222002Distributions of error correction tests for cointegration. (2002). MacKinnon, James ; Ericsson, Neil. In: Econometrics Journal. RePEc:ect:emjrnl:v:5:y:2002:i:2:p:285-318.

Full description at Econpapers || Download paper

166
232007The Tobit model with a non-zero threshold. (2007). Sun, Yixiao ; Carson, Richard. In: Econometrics Journal. RePEc:ect:emjrnl:v:10:y:2007:i:3:p:488-502.

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154
241998A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP. (1998). Krolzig, Hans-Martin ; Clements, Michael. In: Econometrics Journal. RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c47-c75.

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135
252004Oil prices and exchange rates: Norwegian evidence. (2004). Akram, Qaisar. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:476-504.

Full description at Econpapers || Download paper

133
262002Exact interpretation of dummy variables in semilogarithmic equations. (2002). van Garderen, Kees Jan ; Shah, Chandra ; vanGARDEREN, KeesJan . In: Econometrics Journal. RePEc:ect:emjrnl:v:5:y:2002:i:1:p:149-159.

Full description at Econpapers || Download paper

126
272009Two-step series estimation of sample selection models. (2009). Newey, Whitney. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s217-s229.

Full description at Econpapers || Download paper

113
282006Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization. (2006). Trivedi, Pravin ; Deb, Partha. In: Econometrics Journal. RePEc:ect:emjrnl:v:9:y:2006:i:2:p:307-331.

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112
292004Forecasting in dynamic factor models using Bayesian model averaging. (2004). Potter, Simon ; Koop, Gary. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:550-565.

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111
302001Fiscal forecasting: The track record of the IMF, OECD and EC. (2001). Marcellino, Massimiliano ; artis, michael. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:1:p:s20-s36.

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111
311998Bayesian inference on GARCH models using the Gibbs sampler. (1998). Lubrano, Michel ; Bauwens, Luc. In: Econometrics Journal. RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c23-c46.

Full description at Econpapers || Download paper

109
322009On the impact of error cross-sectional dependence in short dynamic panel estimation. (2009). Sarafidis, Vasilis ; Robertson, Donald. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:1:p:62-81.

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109
33Short‐term forecasts of euro area GDP growth. (2011). Rünstler, Gerhard ; Reichlin, Lucrezia ; Giannone, Domenico ; Camba-Mendez, Gonzalo ; Angelini, Elena ; Runstler, Gerhard ; CambaMendez, Gonzalo . In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:1:p:c25-c44.

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103
342000Non-monotonic hazard functions and the autoregressive conditional duration model. (2000). Grammig, Joachim ; Maurer, Kai-Oliver . In: Econometrics Journal. RePEc:ect:emjrnl:v:3:y:2000:i:1:p:16-38.

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103
352011The Hausman test in a Cliff and Ord panel model. (2011). Pfaffermayr, Michael ; Mutl, Jan. In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:1:p:48-76.

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101
362007Selection correction in panel data models: An application to the estimation of females wage equations. (2007). dustmann, christian ; María Engracia Rochina-Barra, . In: Econometrics Journal. RePEc:ect:emjrnl:v:10:y:2007:i:2:p:263-293.

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99
372001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. (2001). Trenkler, Carsten ; Saikkonen, Pentti ; Lütkepohl, Helmut. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:2:p:8.

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94
382003Modelling sample selection using Archimedean copulas. (2003). Smith, Murray D.. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123.

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92
392008Representation theorem for convex nonparametric least squares. (2008). Kuosmanen, Timo. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:2:p:308-325.

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92
402004Testing linearity in cointegrating smooth transition regressions. (2004). Saikkonen, Pentti ; Choi, In. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:341-365.

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89
412004Two-stage quantile regression when the first stage is based on quantile regression. (2004). MULLER, Christophe ; Kim, Tae-Hwan. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:218-231.

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88
422008A bootstrap procedure for panel data sets with many cross-sectional units. (2008). Kapetanios, G.. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:2:p:377-395.

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85
432010Theory and inference for a Markov switching GARCH model. (2010). Rombouts, Jeroen ; Bauwens, Luc ; Preminger, Arie ; Jeroen V. K. Rombouts, . In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:2:p:218-244.

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84
442004A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error. (2004). pittis, nikitas ; Panopoulou, Ekaterini. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:585-617.

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81
452000BUGS for a Bayesian analysis of stochastic volatility models. (2000). Yu, Jun. In: Econometrics Journal. RePEc:ect:emjrnl:v:3:y:2000:i:2:p:198-215.

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80
462001An automatic leading indicator of economic activity: forecasting GDP growth for European countries. (2001). Weale, Martin ; Smith, Richard ; Kapetanios, George ; Camba-Mendez, Gonzalo. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:1:p:37.

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79
472001Nonlinear econometric models with cointegrated and deterministically trending regressors. (2001). Phillips, Peter ; Park, Joon ; Chang, Yoosoon. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:1:p:1-36.

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79
48Non‐parametric time‐varying coefficient panel data models with fixed effects. (2011). Li, Degui ; GAO, Jiti ; Chen, Jia. In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:3:p:387-408.

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78
492003A full-factor multivariate GARCH model. (2003). Vrontos, Ioannis ; Dellaportas, Petros ; Politis, D. N.. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:2:p:312-334.

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77
501999Cointegration rank inference with stationary regressors in VAR models. (1999). Rahbek, Anders ; Mosconi, Rocco. In: Econometrics Journal. RePEc:ect:emjrnl:v:2:y:1999:i:1:p:76-91.

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75
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12011A simple approach to quantile regression for panel data. (2011). Canay, Ivan. In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:3:p:368-386.

Full description at Econpapers || Download paper

184
22008A bias-adjusted LM test of error cross-section independence. (2008). Yamagata, Takashi ; Ullah, Aman ; Pesaran, M. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:1:p:105-127.

Full description at Econpapers || Download paper

149
32000Testing for stationarity in heterogeneous panel data. (2000). Hadri, Kaddour. In: Econometrics Journal. RePEc:ect:emjrnl:v:3:y:2000:i:2:p:148-161.

Full description at Econpapers || Download paper

144
42003Dynamic panel estimation and homogeneity testing under cross section dependence *. (2003). Sul, Donggyu ; Phillips, Peter. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:1:p:217-259.

Full description at Econpapers || Download paper

86
52009Realized kernels in practice: trades and quotes. (2009). Shephard, Neil ; Lunde, Asger ; Barndorff-Nielsen, Ole ; Hansen, Reinhard P.. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c1-c32.

Full description at Econpapers || Download paper

68
62004The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects. (2004). Greene, William. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:98-119.

Full description at Econpapers || Download paper

63
72010The weak instrument problem of the system GMM estimator in dynamic panel data models. (2010). Windmeijer, Frank ; Bun, Maurice ; Maurice J. G. Bun, . In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:1:p:95-126.

Full description at Econpapers || Download paper

57
82003Critical values for multiple structural change tests. (2003). Perron, Pierre ; Bai, Jushan. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:1:p:72-78.

Full description at Econpapers || Download paper

45
92005Breaking the panels: An application to the GDP per capita. (2005). Lopez-Bazo, Enrique ; del Barrio Castro, Tomás ; Carrion-i-Silvestre, Josep ; del Barrio-Castro, Tomas . In: Econometrics Journal. RePEc:ect:emjrnl:v:8:y:2005:i:2:p:159-175.

Full description at Econpapers || Download paper

37
102007The Tobit model with a non-zero threshold. (2007). Sun, Yixiao ; Carson, Richard. In: Econometrics Journal. RePEc:ect:emjrnl:v:10:y:2007:i:3:p:488-502.

Full description at Econpapers || Download paper

34
112010Specification and estimation of social interaction models with network structures. (2010). Liu, Xiaodong ; Lee, Lung-Fei ; Lin, XU. In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:2:p:145-176.

Full description at Econpapers || Download paper

28
122009On the impact of error cross-sectional dependence in short dynamic panel estimation. (2009). Sarafidis, Vasilis ; Robertson, Donald. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:1:p:62-81.

Full description at Econpapers || Download paper

23
132001Likelihood-based cointegration tests in heterogeneous panels. (2001). Lyhagen, Johan ; Lothgren, Mickael ; Larsson, Rolf. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:1:p:41.

Full description at Econpapers || Download paper

21
142008Representation theorem for convex nonparametric least squares. (2008). Kuosmanen, Timo. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:2:p:308-325.

Full description at Econpapers || Download paper

21
152002Model selection tests for nonlinear dynamic models. (2002). Rivers, Douglas ; Vuong, Quang. In: Econometrics Journal. RePEc:ect:emjrnl:v:5:y:2002:i:1:p:1-39.

Full description at Econpapers || Download paper

18
162008A bootstrap procedure for panel data sets with many cross-sectional units. (2008). Kapetanios, G.. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:2:p:377-395.

Full description at Econpapers || Download paper

17
172001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. (2001). Trenkler, Carsten ; Saikkonen, Pentti ; Lütkepohl, Helmut. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:2:p:8.

Full description at Econpapers || Download paper

16
182004Estimation with weak instruments: Accuracy of higher-order bias and MSE approximations. (2004). Kuersteiner, Guido ; Hausman, Jerry ; Hahn, Jinyong. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:272-306.

Full description at Econpapers || Download paper

16
192009Two-step series estimation of sample selection models. (2009). Newey, Whitney. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s217-s229.

Full description at Econpapers || Download paper

16
202010Theory and inference for a Markov switching GARCH model. (2010). Rombouts, Jeroen ; Bauwens, Luc ; Preminger, Arie ; Jeroen V. K. Rombouts, . In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:2:p:218-244.

Full description at Econpapers || Download paper

15
212000Cointegration analysis in the presence of structural breaks in the deterministic trend. (2000). Nielsen, Bent ; Mosconi, Rocco ; Johansen, Soren. In: Econometrics Journal. RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249.

Full description at Econpapers || Download paper

15
222004Oil prices and exchange rates: Norwegian evidence. (2004). Akram, Qaisar. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:476-504.

Full description at Econpapers || Download paper

14
232004Some cautions on the use of panel methods for integrated series of macroeconomic data. (2004). Osbat, Chiara ; Marcellino, Massimiliano ; Banerjee, Anindya. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:322-340.

Full description at Econpapers || Download paper

14
242004Pooling of forecasts. (2004). Hendry, David ; Clements, Michael. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:1-31.

Full description at Econpapers || Download paper

14
252008Stochastic frontier models with dependent error components. (2008). Smith, Murray D.. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:1:p:172-192.

Full description at Econpapers || Download paper

13
262002Exact interpretation of dummy variables in semilogarithmic equations. (2002). van Garderen, Kees Jan ; Shah, Chandra ; vanGARDEREN, KeesJan . In: Econometrics Journal. RePEc:ect:emjrnl:v:5:y:2002:i:1:p:149-159.

Full description at Econpapers || Download paper

13
272004Two-stage quantile regression when the first stage is based on quantile regression. (2004). MULLER, Christophe ; Kim, Tae-Hwan. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:1:p:218-231.

Full description at Econpapers || Download paper

12
282006Specification and simulated likelihood estimation of a non-normal treatment-outcome model with selection: Application to health care utilization. (2006). Trivedi, Pravin ; Deb, Partha. In: Econometrics Journal. RePEc:ect:emjrnl:v:9:y:2006:i:2:p:307-331.

Full description at Econpapers || Download paper

12
292003Modelling sample selection using Archimedean copulas. (2003). Smith, Murray D.. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:1:p:99-123.

Full description at Econpapers || Download paper

12
302002Distributions of error correction tests for cointegration. (2002). MacKinnon, James ; Ericsson, Neil. In: Econometrics Journal. RePEc:ect:emjrnl:v:5:y:2002:i:2:p:285-318.

Full description at Econpapers || Download paper

11
312004A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error. (2004). pittis, nikitas ; Panopoulou, Ekaterini. In: Econometrics Journal. RePEc:ect:emjrnl:v:7:y:2004:i:2:p:585-617.

Full description at Econpapers || Download paper

11
322011The Hausman test in a Cliff and Ord panel model. (2011). Pfaffermayr, Michael ; Mutl, Jan. In: Econometrics Journal. RePEc:ect:emjrnl:v:14:y:2011:i:1:p:48-76.

Full description at Econpapers || Download paper

10
331998Bayesian inference on GARCH models using the Gibbs sampler. (1998). Lubrano, Michel ; Bauwens, Luc. In: Econometrics Journal. RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c23-c46.

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10
342009Testing for volatility interactions in the Constant Conditional Correlation GARCH model. (2009). Teräsvirta, Timo ; Nakatani, Tomoaki ; Terasvirta, Timo. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:1:p:147-163.

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352009Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model. (2009). Wilhelmsson, Anders. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:1:p:82-104.

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362010Inference in limited dependent variable models robust to weak identification. (2010). Magnusson, Leandro. In: Econometrics Journal. RePEc:ect:emjrnl:v:13:y:2010:i:3:p:s56-s79.

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372009More on monotone instrumental variables. (2009). Pepper, John ; Manski, Charles. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s200-s216.

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382009Identification of peer effects using group size variation. (2009). FOUGERE, DENIS ; D'Haultfoeuille, Xavier ; Davezies, Laurent. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:3:p:397-413.

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392009A note on adapting propensity score matching and selection models to choice based samples. (2009). Todd, Petra ; Heckman, James. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s230-s234.

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402006Semiparametric estimation and testing of the trend of temperature series. (2006). GAO, Jiti ; Hawthorne, Kim. In: Econometrics Journal. RePEc:ect:emjrnl:v:9:y:2006:i:2:p:332-355.

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412009Multivariate stochastic volatility, leverage and news impact surfaces. (2009). McAleer, Michael ; Asai, Manabu. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:2:p:292-309.

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422009An arbitrage-free generalized Nelson--Siegel term structure model. (2009). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, . In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c33-c64.

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432008Bootstrap inference in a linear equation estimated by instrumental variables. (2008). MacKinnon, James ; Davidson, Russell. In: Econometrics Journal. RePEc:ect:emjrnl:v:11:y:2008:i:3:p:443-477.

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442007Robust estimators for the fixed effects panel data model. (2007). Croux, Christophe ; Bramati, Maria Caterina . In: Econometrics Journal. RePEc:ect:emjrnl:v:10:y:2007:i:3:p:521-540.

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451999Data mining reconsidered: encompassing and the general-to-specific approach to specification search. (1999). Perez, Stephen ; Hoover, Kevin. In: Econometrics Journal. RePEc:ect:emjrnl:v:2:y:1999:i:2:p:167-191.

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462009Efficient GMM with nearly-weak instruments. (2009). Renault, Eric ; Antoine, Bertille. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s135-s171.

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472001The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model. (2001). Lunde, Asger ; Jensen, Morten. In: Econometrics Journal. RePEc:ect:emjrnl:v:4:y:2001:i:2:p:10.

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482003Semiparametric estimation of Value at Risk. (2003). Fan, Jianqing ; Gu, Juan. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:2:p:261-290.

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492003Standard error correction in two-stage estimation with nested samples. (2003). Train, Kenneth ; Karaca-Mandic, Pinar. In: Econometrics Journal. RePEc:ect:emjrnl:v:6:y:2003:i:2:p:401-407.

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502009Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations. (2009). Ardia, David. In: Econometrics Journal. RePEc:ect:emjrnl:v:12:y:2009:i:1:p:105-126.

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