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Citation Profile [Updated: 2026-05-04 07:00:09]
5 Years H Index
60
Impact Factor (IF)
0.51
5 Years IF
0.53
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
1997 0 0.24 0.17 0 23 23 191 3 14 0 0 0 3 0.13 0.11
1998 0.13 0.27 0.24 0.13 22 45 468 5 25 23 3 23 3 0 2 0.09 0.13
1999 0.51 0.29 0.58 0.51 24 69 942 34 65 45 23 45 23 0 10 0.42 0.14
2000 0.63 0.35 0.63 0.55 22 91 2040 46 122 46 29 69 38 4 8.7 7 0.32 0.16
2001 0.7 0.38 0.53 0.52 23 114 221 50 182 46 32 91 47 2 4 1 0.04 0.17
2002 0.8 0.39 0.69 0.74 21 135 990 93 275 45 36 114 84 6 6.5 6 0.29 0.21
2003 0.86 0.43 0.8 0.96 24 159 569 125 402 44 38 112 107 0 3 0.13 0.21
2004 0.8 0.48 1.05 1.18 8 167 662 171 578 45 36 114 134 0 5 0.63 0.22
2005 0.63 0.51 1.24 1.4 29 196 1432 237 822 32 20 98 137 1 0.4 14 0.48 0.23
2006 1.43 0.49 1.68 1.43 21 217 972 349 1187 37 53 105 150 10 2.9 25 1.19 0.22
2007 1.08 0.44 1.41 1.46 34 251 2141 340 1541 50 54 103 150 3 0.9 28 0.82 0.2
2008 2.13 0.47 1.89 1.89 25 276 913 509 2062 55 117 116 219 0 21 0.84 0.22
2009 2.51 0.46 2.2 2.26 34 310 666 672 2744 59 148 117 265 6 0.9 39 1.15 0.23
2010 1.27 0.46 1.8 1.76 31 341 565 606 3357 59 75 143 251 1 0.2 8 0.26 0.2
2011 1.14 0.5 1.92 1.92 26 367 180 689 4060 65 74 145 279 5 0.7 6 0.23 0.23
2012 0.88 0.5 2.08 1.7 23 390 562 794 4871 57 50 150 255 1 0.1 15 0.65 0.21
2013 1.24 0.54 2.49 1.59 33 423 1079 1033 5924 49 61 139 221 7 0.7 68 2.06 0.23
2014 2.05 0.53 2.22 1.52 40 463 425 1016 6954 56 115 147 224 2 0.2 26 0.65 0.22
2015 1.79 0.52 2.13 1.49 46 509 1567 1065 8040 73 131 153 228 8 0.8 56 1.22 0.22
2016 1.3 0.5 2 1.46 65 574 571 1142 9187 86 112 168 246 11 1 18 0.28 0.2
2017 1.06 0.51 1.75 1.3 58 632 421 1105 10295 111 118 207 269 8 0.7 21 0.36 0.2
2018 0.86 0.52 1.53 1.22 51 683 563 1044 11342 123 106 242 295 3 0.3 21 0.41 0.22
2019 0.76 0.53 1.42 1.04 61 744 441 1054 12398 109 83 260 271 0 23 0.38 0.21
2020 1.3 0.63 1.64 1.31 58 802 157 1315 13717 112 146 281 369 1 0.1 10 0.17 0.3
2021 0.8 0.73 1.55 0.99 40 842 142 1309 15026 119 95 293 289 0 4 0.1 0.27
2022 0.39 0.72 1.33 0.74 52 894 55 1191 16217 98 38 268 197 0 2 0.04 0.22
2023 0.57 0.67 1.41 0.92 35 929 41 1309 17526 92 52 262 240 0 4 0.11 0.19
2024 0.26 0.73 1.29 0.59 40 969 26 1254 18780 87 23 246 145 0 3 0.08 0.22
2025 0.51 0.96 1.06 0.53 60 1029 6 1093 19873 75 38 225 119 0 5 0.08 0.28
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
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

1206
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

1060
32015Testing Weak Cross-Sectional Dependence in Large Panels. (2015). Pesaran, Mohammad. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1089-1117.

Full description at Econpapers || Download paper

870
42007Bayesian 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

779
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.

Full description at Econpapers || Download paper

679
62007MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Ghysels, Eric ; Sinko, Arthur. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90.

Full description at Econpapers || Download paper

587
72002SMOOTH 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

531
82005New 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

501
92013Weights 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

331
102008Realized Volatility: A Review. (2008). Medeiros, Marcelo. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45.

Full description at Econpapers || Download paper

299
112005A 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

286
122004Automatic 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

281
131998A 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.

Full description at Econpapers || Download paper

278
142004Fixed 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

270
152008The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Uta. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

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261
162006Multivariate Stochastic Volatility: A Review. (2006). Yu, Jun ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175.

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248
172009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. (2009). Hoti, Suhejla ; Chan, Felix. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440.

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243
182003Best 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

234
192012Cross-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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216
202000Bootstrap 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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196
212006On 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

190
222006The 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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180
232000Nonstationary 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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171
242005Evaluating 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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164
252005In-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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160
262018Testing 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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147
272015Econometric 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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144
282000Recent 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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136
292007Forecasting 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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125
302002LONG-RUN STRUCTURAL MODELLING. (2002). shin, yongcheol ; Pesaran, Mohammad. In: Econometric Reviews. RePEc:taf:emetrv:v:21:y:2002:i:1:p:49-87.

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120
312006Testing 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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114
322012A 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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108
332013On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors. (2013). Prucha, Ingmar ; Egger, Peter ; Drukker, David. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:686-733.

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108
342013Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. (2013). Pesaran, Mohammad ; Chudik, Alexander. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:592-649.

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104
352002ON 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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97
362010An 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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96
372019OLS and IV estimation of regression models including endogenous interaction terms. (2019). Harrison, Teresa. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:7:p:814-827.

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88
382015Factor 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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86
392006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison. (2006). Yu, Jun ; Meyer, Renate. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:361-384.

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86
402016Testing 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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85
412007Forecast 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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84
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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82
432000Estimation and decomposition of productivity change when production is not efficient: a paneldata approach. (2000). Kumbhakar, Subal ; Fuss, M. ; Denny, M.. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:312-320.

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80
442013State Space Models and MIDAS Regressions. (2013). Wright, Jonathan ; Bai, Jennie ; Ghysels, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:7:p:779-813.

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78
452003A 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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73
462013A Generalized Spatial Panel Data Model with Random Effects. (2013). Pfaffermayr, Michael ; Egger, Peter ; Baltagi, Badi. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:650-685.

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72
472000Estimation 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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72
482015A 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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72
492013Testing 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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71
502001A 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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71
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12015Testing Weak Cross-Sectional Dependence in Large Panels. (2015). Pesaran, Mohammad. In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1089-1117.

Full description at Econpapers || Download paper

348
22005New 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

201
32000GMM 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

124
42007MIDAS Regressions: Further Results and New Directions. (2007). Valkanov, Rossen ; Ghysels, Eric ; Sinko, Arthur. In: Econometric Reviews. RePEc:taf:emetrv:v:26:y:2007:i:1:p:53-90.

Full description at Econpapers || Download paper

109
52018Testing for Granger-causality in quantiles. (2018). Troster, Victor. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:8:p:850-866.

Full description at Econpapers || Download paper

63
62007Bayesian 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

59
72013Weights 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

57
82007Bayesian 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

55
91999Using 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

40
102008Realized Volatility: A Review. (2008). Medeiros, Marcelo. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:10-45.

Full description at Econpapers || Download paper

35
112016Testing 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.

Full description at Econpapers || Download paper

35
122012Cross-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

33
132005A 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

33
142004Automatic 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

31
152004Fixed 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

27
162015Econometric 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.

Full description at Econpapers || Download paper

27
171998A 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.

Full description at Econpapers || Download paper

27
182019OLS and IV estimation of regression models including endogenous interaction terms. (2019). Harrison, Teresa. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:7:p:814-827.

Full description at Econpapers || Download paper

25
192008The Volatility of Realized Volatility. (2008). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Uta. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:46-78.

Full description at Econpapers || Download paper

24
202021Revisiting regression adjustment in experiments with heterogeneous treatment effects. (2021). Wooldridge, Jeffrey ; Negi, Akanksha. In: Econometric Reviews. RePEc:taf:emetrv:v:40:y:2021:i:5:p:504-534.

Full description at Econpapers || Download paper

24
212006On 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

23
222005In-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

22
232019Practical procedures to deal with common support problems in matching estimation. (2019). Strittmatter, Anthony ; Lechner, Michael. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:2:p:193-207.

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18
242019Alternative diff-in-diffs estimators with several pretreatment periods. (2019). Reggio, Iliana ; Mora Villarrubia, Ricardo. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:5:p:465-486.

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18
252003Best 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

17
262016Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics. (2016). Audrino, Francesco ; Knaus, Simon D. In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1485-1521.

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17
272002SMOOTH 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

17
282013Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. (2013). Pesaran, Mohammad ; Chudik, Alexander. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:592-649.

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16
292018Extremal 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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302018Estimation of time-invariant effects in static panel data models. (2018). Zhou, Qiankun ; Pesaran, Mohammad. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:10:p:1137-1171.

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312018The asymptotic size and power of the augmented Dickey–Fuller test for a unit root. (2018). Paparoditis, Efstathios ; Politis, Dimitris N. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:9:p:955-973.

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322008Optimal Portfolio Diversification Using the Maximum Entropy Principle. (2008). Park, Sung Y. ; Bera, Anil. In: Econometric Reviews. RePEc:taf:emetrv:v:27:y:2008:i:4-6:p:484-512.

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13
332010An 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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13
342006Multivariate Stochastic Volatility: A Review. (2006). Yu, Jun ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:145-175.

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352013State Space Models and MIDAS Regressions. (2013). Wright, Jonathan ; Bai, Jennie ; Ghysels, Eric. In: Econometric Reviews. RePEc:taf:emetrv:v:32:y:2013:i:7:p:779-813.

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362016The Local Power of the CADF and CIPS Panel Unit Root Tests. (2016). Westerlund, Joakim ; Solberger, Martin ; Hosseinkouchack, Mehdi. In: Econometric Reviews. RePEc:taf:emetrv:v:35:y:2016:i:5:p:845-870.

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372015A 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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382012Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations. (2012). Norets, Andriy. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:1:p:84-106.

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392000Estimation and decomposition of productivity change when production is not efficient: a paneldata approach. (2000). Kumbhakar, Subal ; Fuss, M. ; Denny, M.. In: Econometric Reviews. RePEc:taf:emetrv:v:19:y:2000:i:4:p:312-320.

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402021Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing. (2021). Zhou, Qiankun ; Zhang, Yonghui. In: Econometric Reviews. RePEc:taf:emetrv:v:40:y:2021:i:10:p:983-1006.

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412016Common 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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9
422000Bootstrap 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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9
432015Marginal 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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442016Stochastic 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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8
452012A 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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462017Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term. (2017). Kao, Chihwa ; Baltagi, Badi ; Liu, Long. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:85-102.

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472018The estimation of multidimensional fixed effects panel data models. (2018). Matyas, Laszlo ; Wansbeek, Tom ; Balazsi, Laszlo. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:3:p:212-227.

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482002ON 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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492019Double filter instrumental variable estimation of panel data models with weakly exogenous variables. (2019). Hayakawa, Kazuhiko ; Breitung, Jörg ; Qi, Meng. In: Econometric Reviews. RePEc:taf:emetrv:v:38:y:2019:i:9:p:1055-1088.

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502009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility. (2009). Hoti, Suhejla ; Chan, Felix. In: Econometric Reviews. RePEc:taf:emetrv:v:28:y:2009:i:5:p:422-440.

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Citing documents used to compute impact factor: 38
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2025Functional Location-Scale Models with Robust Observation-Driven Dynamics. (2025). Lucas, Andrae ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250027.

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2025Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics. (2025). Lucas, Andrae ; Lin, Yicong ; Zou, Xia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250036.

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2025An order-invariant score-driven dynamic factor model. (2025). Artemova, Mariia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001277.

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2025Non-parametric Quantile Regression and Uniform Inference with Unknown Error Distribution. (2025). Zhang, Zheng ; Huang, Wei ; Hou, Haoze. In: Papers. RePEc:arx:papers:2504.01761.

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2025Convergence dynamics of urban and rural electricity access rates across African countries. (2025). Solarin, Sakiru Adebola. In: Utilities Policy. RePEc:eee:juipol:v:96:y:2025:i:c:s0957178725001274.

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2025Emerging Trends and Issues in Geo-Spatial Environmental Health: A Critical Perspective. (2025). Griffith, Daniel A. In: IJERPH. RePEc:gam:jijerp:v:22:y:2025:i:2:p:286-:d:1591641.

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2025On uniform consistency of nonparametric estimators smoothed by the gamma kernel. (2025). Hirukawa, Masayuki ; Funke, Benedikt. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:77:y:2025:i:3:d:10.1007_s10463-024-00923-8.

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2025Estimating Heterogeneous Treatment Effects with Item-Level Outcome Data: Insights from Item Response Theory. (2025). Himmelsbach, Zachary ; Joshi, Mridul ; Gilbert, Joshua B ; Soland, James ; Domingue, Benjamin W. In: Papers. RePEc:arx:papers:2405.00161.

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2025Inter-municipal cooperation in drinking water supply: Trade-offs between transaction costs, efficiency and service quality.. (2025). Garcia, Serge ; Mayol, Alexandre ; Guelmamen, Mehdi. In: Working Papers of BETA. RePEc:ulp:sbbeta:2025-07.

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2025Inter-municipal cooperation in drinking water supply: Trade-offs between transaction costs, efficiency and service quality. (2025). Garcia, Serge ; Guelmamen, Mehdi ; Mayol, Alexandre. In: International Review of Law and Economics. RePEc:eee:irlaec:v:84:y:2025:i:c:s0144818825000596.

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2025Two-way fixed effects, the two-way mundlak regression, and difference-in-differences estimators. (2025). Wooldridge, Jeffrey. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:5:d:10.1007_s00181-025-02807-z.

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2025IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects. (2025). Cui, Guowei ; Chen, Jia ; Yamagata, Takashi ; Sarafidis, Vasilis. In: MPRA Paper. RePEc:pra:mprapa:123497.

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2025IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects. (2025). Yamagata, Takashi ; Chen, Jia ; Sarafidis, Vasilis ; Cui, Guowei. In: Papers. RePEc:arx:papers:2501.18467.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025Interactive, Grouped and Non-separable Fixed Effects: A Practitioners Guide to the New Panel Data Econometrics. (2025). Karavias, Yiannis ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2507.19099.

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2025Cross-country dependence and financial integration in the last 150 years. (2025). Aslanidis, Nektarios ; Papadakis, Charalampos. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:4:d:10.1007_s00181-025-02808-y.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025Examining Characteristics and Causes of Juglar Cycles in China, 1981–2024. (2025). Gao, Jie ; Chen, BO. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:19:p:8724-:d:1760276.

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2025Investigating commodity price interdependence with grancer causality networks. (2025). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:498.

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2025Latent grouped structures in panel data: a review. (2025). Pionati, Alessandro. In: MPRA Paper. RePEc:pra:mprapa:123954.

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2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

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2025Quantile Granger causality in the presence of instability. (2025). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000466.

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2025Nonparametric estimation of conditional expectile-based risk measures. (2025). Gijbels, I ; Adam, C. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:5:d:10.1007_s10260-025-00807-y.

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2025Likelihood-ratio test for technological differences in two-stage data envelopment analysis for panel data. (2025). Zelenyuk, Valentin ; Du, Kai. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:2:p:644-663.

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2025Addressing endogeneity issues in a spatial autoregressive model using copulas. (2025). Song, Yichun ; Lin, Yanli. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001605.

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2025Causal Impact of Stock Price Crash Risk on Cost of Equity: Evidence from Chinese Markets. (2025). Bouraima, Mouhamed Bayane ; Chen, Chuang ; Paterne, Babatounde Ifred ; Wang, Xianzhi. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:6:p:158-:d:1670557.

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2025An Efficient Algorithm for the Estimation of a Mixture of Switching and Threshold Regressions. (2025). T. V. S. Ramamohan Rao, . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:23:y:2025:i:3:d:10.1007_s40953-025-00449-7.

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2025Effects of Welfare Sanctions in Couple Households. (2025). Uhlendorff, Arne ; Wolff, Joachim ; van den Berg, Gerard J. In: IZA Discussion Papers. RePEc:iza:izadps:dp18253.

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2025Efficient and Scalable Estimation of Distributional Treatment Effects with Multi-Task Neural Networks. (2025). Oka, Tatsushi ; Uto, Shingo ; Yasui, Shota ; Byambadalai, Undral ; Hirata, Tomu. In: Papers. RePEc:arx:papers:2507.07738.

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2025Semiparametric partially linear varying coefficient higher-order spatial autoregressive model. (2025). Li, Yanhui. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:3:d:10.1007_s00362-025-01681-2.

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2025GMM estimation and variable selection of semiparametric model with increasing dimension and high-order spatial dependence. (2025). Pan, Hao ; Yang, Jing ; Lu, Fang. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:205:y:2025:i:c:s016794732400197x.

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2025A bias reduced long run variance estimator with a new first-order kernel. (2025). Vogelsang, Timothy J ; Yang, Jingjing. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001776.

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2025Multiscale Comparison of Nonparametric Trending Coefficients. (2025). van der Sluis, Bernhard ; Khismatullina, Marina. In: Papers. RePEc:arx:papers:2511.12600.

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2025Balancing Weights for Causal Mediation Analysis. (2025). Kawato, Kentaro. In: Papers. RePEc:arx:papers:2512.09337.

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2025A note on factor models with latent group structures. (2025). Su, Liangjun ; Bian, Yulin. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001946.

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2025Clustering Extreme Value Indices in Large Panels. (2025). Schaumburg, Julia ; Lin, Yicong ; Cai, Juan Juan ; Wang, Chenhui. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250029.

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2025Evidence of the Ιmpact of ESG Disclosures on Financial Performance Comes from Companies Listed on the London Stock Exchanges FTSE100. (2025). Necib, Adel ; Jarboui, Anis. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:xiii:y:2025:i:2:p:204-216.

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2025Financial Knowledge and Financial Fragility: Longitudinal Evidence from Italy. (2025). Murro, Pierluigi ; Aristei, David ; Gallo, Manuela. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:11:y:2025:i:2:d:10.1007_s40797-025-00324-7.

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Recent citations received in 2025

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2025A sliced Wasserstein and diffusion approach to random coefficient models. (2025). Ye, Ting ; Han, Fang ; Lim, Keunwoo. In: Papers. RePEc:arx:papers:2502.04654.

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2025On Efficient Estimation of Distributional Treatment Effects under Covariate-Adaptive Randomization. (2025). Oka, Tatsushi ; Hirata, Tomu ; Byambadalai, Undral ; Yasui, Shota. In: Papers. RePEc:arx:papers:2506.05945.

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2025Causal inference for qualitative outcomes. (2025). Mellace, Giovanni ; di Francesco, Riccardo. In: Economics Letters. RePEc:eee:ecolet:v:256:y:2025:i:c:s016517652500463x.

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2025A Statistical Characterization of Median-Based Inequality Measures. (2025). Davidson, Russell ; Beach, Charles M. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:3:p:31-:d:1721080.

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2025Spatial stochastic frontier model with stochastic weighting matrix. (2025). Deng, Ming-Yu ; Kutlu, Levent. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:5:d:10.1007_s00181-025-02815-z.

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2024On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included. (2024). Zhang, Xinyu ; Xu, Wenchao. In: Papers. RePEc:arx:papers:2411.09258.

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202412 Best Practices for Leveraging Generative AI in Experimental Research. (2024). List, John ; Leonard, Aaron ; Kennedy, Andrew ; Chang, Samuel. In: Artefactual Field Experiments. RePEc:feb:artefa:00796.

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2024The Balance Permutation Test: A Machine Learning Replacement for Balance Tables. (2024). Fuller, Sam ; Rametta, Jack T. In: OSF Preprints. RePEc:osf:osfxxx:xcwt9_v1.

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Recent citations received in 2023

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160.

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2023The two-way Hausman and Taylor estimator. (2023). Baltagi, Badi. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001842.

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2023Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence. (2023). Lin, Yicong ; Song, Mingxuan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230049.

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Recent citations received in 2022

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2022Semiparametric Distribution Regression with Instruments and Monotonicity. (2022). Wied, Dominik. In: Papers. RePEc:arx:papers:2212.03704.

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2022The Confidence Interval of Cross-Sectional Distribution of Durations. (2022). Dixon, Huw ; Tian, Maoshan. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/15.

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