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Econometric Reviews / Taylor & Francis Journals

Citation Profile [Updated: 2026-03-14 21:09:38]
5 Years H Index
60
Impact Factor (IF)
0.47
5 Years IF
0.45
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 45 465 5 25 23 3 23 3 0 2 0.09 0.13
1999 0.51 0.29 0.58 0.51 24 69 935 34 65 45 23 45 23 0 10 0.42 0.14
2000 0.63 0.34 0.63 0.55 22 91 2021 46 122 46 29 69 38 4 8.7 7 0.32 0.16
2001 0.7 0.38 0.53 0.52 23 114 219 50 182 46 32 91 47 2 4 1 0.04 0.17
2002 0.8 0.39 0.69 0.74 21 135 989 93 275 45 36 114 84 6 6.5 6 0.29 0.2
2003 0.86 0.43 0.8 0.96 24 159 564 125 402 44 38 112 107 0 3 0.13 0.21
2004 0.8 0.47 1.05 1.18 8 167 650 171 578 45 36 114 134 0 5 0.63 0.21
2005 0.63 0.51 1.24 1.4 29 196 1391 237 822 32 20 98 137 1 0.4 14 0.48 0.23
2006 1.43 0.49 1.68 1.43 21 217 957 349 1187 37 53 105 150 10 2.9 25 1.19 0.22
2007 1.08 0.44 1.41 1.46 34 251 2110 341 1542 50 54 103 150 3 0.9 28 0.82 0.2
2008 2.13 0.47 1.89 1.89 25 276 903 509 2063 55 117 116 219 0 21 0.84 0.22
2009 2.51 0.46 2.2 2.26 34 310 664 672 2745 59 148 117 265 6 0.9 39 1.15 0.23
2010 1.27 0.46 1.8 1.76 31 341 560 606 3358 59 75 143 251 1 0.2 8 0.26 0.2
2011 1.14 0.51 1.92 1.92 26 367 180 690 4062 65 74 145 279 5 0.7 6 0.23 0.23
2012 0.88 0.5 2.08 1.71 23 390 553 796 4875 57 50 150 256 1 0.1 15 0.65 0.21
2013 1.24 0.54 2.49 1.59 33 423 1065 1033 5928 49 61 139 221 7 0.7 68 2.06 0.24
2014 2.05 0.53 2.22 1.52 40 463 418 1016 6958 56 115 147 224 2 0.2 26 0.65 0.22
2015 1.79 0.52 2.13 1.49 46 509 1504 1065 8044 73 131 153 228 8 0.8 56 1.22 0.22
2016 1.3 0.5 1.99 1.46 65 574 548 1140 9189 86 112 168 246 11 1 18 0.28 0.2
2017 1.06 0.52 1.75 1.3 58 632 410 1105 10297 111 118 207 269 8 0.7 21 0.36 0.21
2018 0.86 0.53 1.53 1.22 51 683 541 1044 11344 123 106 242 295 3 0.3 21 0.41 0.22
2019 0.76 0.54 1.42 1.04 61 744 427 1055 12401 109 83 260 271 0 23 0.38 0.21
2020 1.3 0.64 1.64 1.31 58 802 146 1313 13718 112 146 281 369 1 0.1 10 0.17 0.3
2021 0.8 0.74 1.55 0.99 40 842 128 1309 15027 119 95 293 289 0 4 0.1 0.27
2022 0.39 0.73 1.33 0.74 52 894 49 1190 16217 98 38 268 197 0 2 0.04 0.22
2023 0.57 0.69 1.41 0.92 35 929 34 1310 17527 92 52 262 240 0 4 0.11 0.2
2024 0.26 0.81 1.29 0.59 40 969 17 1252 18779 87 23 246 146 0 3 0.08 0.23
2025 0.47 0.89 0.45 59 1028 2 918 19697 75 35 225 102 0 3 0.05
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

1192
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

1046
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

819
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.

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765
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

673
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.

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571
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.

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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

467
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.

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326
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

295
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

284
121998A 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

275
132004Automatic 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

274
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.

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265
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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260
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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245
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.

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231
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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212
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.

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185
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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179
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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170
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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157
262015Econometric 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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143
272000Recent 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
282018Testing 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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135
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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110
322013On 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
332012A Survey of Sequential Monte Carlo Methods for Economics and Finance. (2012). Creal, Drew. In: Econometric Reviews. RePEc:taf:emetrv:v:31:y:2012:i:3:p:245-296.

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107
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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101
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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93
372015Factor 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
382007Forecast 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
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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84
402019OLS 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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84
412010The 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
422016Testing 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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80
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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76
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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71
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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71
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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71
482013Testing 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
492015A 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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70
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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70
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

297
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

167
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

110
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

94
52013Weights 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

52
62018Testing 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

51
72007Bayesian 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

47
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

43
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

34
102005A 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

31
112008Realized 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

31
122016Testing 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

30
132012Cross-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

29
142015Econometric 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

26
152004Automatic 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

24
161998A 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

24
172008The 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

23
182004Fixed 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

22
192021Revisiting 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.

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22
202019OLS 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

21
212005In-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

19
222019Alternative 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
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
242006On 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

18
252002SMOOTH 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
262003Best 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

14
272016Lassoing 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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14
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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13
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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11
312006Multivariate 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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322018The 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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10
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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342000Estimation 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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352016The 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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362012Estimation 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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9
372015Marginal Likelihood Estimation with the Cross-Entropy Method. (2015). Eisenstat, Eric ; Chan, Joshua ; Joshua C. C. Chan, . In: Econometric Reviews. RePEc:taf:emetrv:v:34:y:2015:i:3:p:256-285.

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9
382013State 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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392008Optimal 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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402015A 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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9
412000Bootstrap 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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422002ON 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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432021Partially 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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442009Structure 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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452000Recent 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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462021Model selection in factor-augmented regressions with estimated factors. (2021). Djogbenou, Antoine. In: Econometric Reviews. RePEc:taf:emetrv:v:40:y:2021:i:5:p:470-503.

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7
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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7
482012A 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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492018Specification tests for time-varying parameter models with stochastic volatility. (2018). Chan, Joshua. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:8:p:807-823.

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7
501999Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing. (1999). Zarkos, S. G. ; Cribari-Neto, F.. In: Econometric Reviews. RePEc:taf:emetrv:v:18:y:1999:i:2:p:211-228.

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Citing documents used to compute impact factor: 35
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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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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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2025Finite Population Identification and Design-Based Sensitivity Analysis. (2025). Kline, Brendan ; Masten, Matthew A. In: Papers. RePEc:arx:papers:2504.14127.

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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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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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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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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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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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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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Recent citations
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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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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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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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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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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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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