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## Andrews, Donald Wilfrid Kao

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 Author ID: andrews.donald-w-k Published as: Andrew, Donald W. K.; Andrews, D.; Andrews, D. W. K.; Andrews, Donald W.; Andrews, Donald W. K.; Andrews, Donald W. K. Homepage: https://economics.yale.edu/people/donald-andrews External Links: MGP · Wikidata · GND
 Documents Indexed: 83 Publications since 1984, including 2 Books
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#### Co-Authors

 32 single-authored 11 Guggenberger, Patrik 7 Stock, James H. 5 Ploberger, Werner Ulrich 4 Cheng, Xu 3 Buchinsky, Moshe 3 Marmer, Vadim 3 Moreira, Marcelo J. 3 Shi, Xiaoxia 2 Lieberman, Offer 2 Phillips, Peter Charles Bonest 2 Soares, Gustavo L. 1 Barwick, Panle Jia 1 Fair, Ray C. 1 Han, Sukjin 1 Lee, Inpyo 1 Liu, Xuemei 1 Lu, Biao 1 McDermott, C. John 1 Monahan, J. Christopher 1 Pollard, David D. 1 Schafgans, Marcia M. A. 1 Sun, Yixiao 1 Whang, Yoon-Jae 1 Yu, Zhengfei
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#### Serials

 33 Econometrica 19 Journal of Econometrics 8 Econometric Theory 4 The Review of Economic Studies 2 Journal of the American Statistical Association 2 Journal of Applied Probability 2 Quantitative Economics 1 The Annals of Statistics 1 Biometrika 1 International Statistical Review 1 Journal of Multivariate Analysis 1 Journal of Time Series Analysis 1 Econometric Reviews 1 Communications in Statistics. Theory and Methods 1 The Econometrics Journal
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#### Fields

 76 Statistics (62-XX) 8 Probability theory and stochastic processes (60-XX) 6 Numerical analysis (65-XX) 3 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 General and overarching topics; collections (00-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Computer science (68-XX)

#### Citations contained in zbMATH Open

77 Publications have been cited 3,010 times in 2,053 Documents Cited by Year
Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Zbl 0732.62052
Andrews, Donald W. K.
1991
Tests for parameter instability and structural change with unknown change point. Zbl 0795.62012
Andrews, Donald W. K.
1993
Optimal tests when a nuisance parameter is present only under the alternative. Zbl 0815.62033
Andrews, Donald W. K.; Ploberger, Werner
1994
An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Zbl 0778.62103
Andrews, Donald W. K.; Monahan, J. Christopher
1992
Non-strong mixing autoregressive processes. Zbl 0552.60049
Andrews, Donald W. K.
1984
Estimation when a parameter is on a boundary. Zbl 1056.62507
Andrews, Donald W. K.
1999
Asymptotic normality of series estimators for nonparametric and semiparametric regression models. Zbl 0727.62047
Andrews, Donald W. K.
1991
Testing when a parameter is on the boundary of the maintained hypothesis. Zbl 0999.62010
Andrews, Donald W. K.
2001
A conditional Kolmogorov test. Zbl 0928.62019
Andrews, Donald W. K.
1997
Consistency in nonlinear econometric models: A generic uniform law of large numbers. Zbl 0646.62101
Andrews, Donald W. K.
1987
Asymptotics for semiparametric econometric models via stochastic equicontinuity. Zbl 0798.62104
Andrews, Donald W. K.
1994
Inference for parameters defined by moment inequalities using generalized moment selection. Zbl 1185.62040
Andrews, Donald W. K.; Soares, Gustavo
2010
Inconsistency of the bootstrap when a parameter is on the boundary of the parameter space. Zbl 1015.62044
Andrews, Donald W. K.
2000
Exactly median-unbiased estimation of first order autoregressive/unit root models. Zbl 0772.62064
Andrews, Donald W. K.
1993
Optimal two-sided invariant similar tests for instrumental variables regression. Zbl 1128.62022
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2006
Consistent moment selection procedures for generalized method of moments estimation. Zbl 1056.62505
Andrews, Donald W. K.
1999
Inference based on conditional moment inequalities. Zbl 1274.62311
Andrews, Donald W. K.; Shi, Xiaoxia
2013
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Asymptotic size and a problem with subsampling and with the $$m$$ out of $$n$$ bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
2010
Cross-section regression with common shocks. Zbl 1153.91665
Andrews, Donald W. K.
2005
Optimal changepoint tests for normal linear regression. Zbl 0834.62066
Andrews, Donald W. K.; Lee, Inpyo; Ploberger, Werner
1996
Adaptive local polynomial Whittle estimation of long-range dependence. Zbl 1131.62317
Andrews, Donald W. K.; Sun, Yixiao
2004
Estimation and inference with weak, semi-strong, and strong identification. Zbl 1274.62160
Andrews, Donald W. K.; Cheng, Xu
2012
Higher-order improvements of a computationally attractive $$k$$-step bootstrap for extremum estimators. Zbl 1104.62315
Andrews, Donald W. K.
2002
Semiparametric estimation of the intercept of a sample selection model. Zbl 0910.90060
Andrews, Donald W. K.; Schafgans, Marcia M. A.
1998
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models. Zbl 0967.62095
Andrews, Donald W. K.; Lu, Biao
2001
Hybrid and size-corrected subsampling methods. Zbl 1176.62117
Andrews, Donald W. K.; Guggenberger, Patrik
2009
An introduction to functional central limit theorems for dependent stochastic processes. Zbl 0834.60033
Andrews, Donald W. K.; Pollard, David
1994
Inference in nonlinear econometric models with structural change. Zbl 0683.62067
Andrews, Donald W. K.; Fair, Ray C.
1988
Tests of specification for parametric and semiparametric models. Zbl 0786.62029
Whang, Yoon-Jae; Andrews, Donald W. K.
1993
Asymptotic optimality of generalized $$C_ L$$, cross-validation, and generalized cross-validation in regression with heteroskedastic errors. Zbl 0734.62069
Andrews, Donald W. K.
1991
Chi-square diagnostic tests for econometric models: Theory. Zbl 0725.62099
Andrews, Donald W. K.
1988
Inference for parameters defined by moment inequalities: a recommended moment selection procedure. Zbl 1274.62135
Andrews, Donald W. K.; Barwick, Panle Jia
2012
A three-step method for choosing the number of bootstrap repetitions. Zbl 1056.62516
Andrews, Donald W. K.; Buchinsky, Moshe
2000
End-of-sample instability tests. Zbl 1154.62412
Andrews, D. W. K.
2003
A bias-reduced log-periodogram regression estimator for the long-memory parameter. Zbl 1153.62354
Andrews, Donald W. K.; Guggenberger, Patrik
2003
Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative. Zbl 0843.62023
Andrews, Donald W. K.; Ploberger, Werner
1995
Nonlinear econometric models with deterministically trending variables. Zbl 0836.62106
Andrews, Donald W. K.; McDermott, C. John
1995
Applications of subsampling, hybrid, and size-correction methods. Zbl 1431.62581
Andrews, Donald W. K.; Guggenberger, Patrik
2010
Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators. Zbl 1431.62203
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Valid Edgeworth expansions for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series. Zbl 1083.62080
Andrews, Donald W. K.; Lieberman, Offer
2005
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
Andrews, Donald W. K.
1993
Inference with weak instruments. Zbl 1131.62105
Andrew, Donald W. K.; Stock, James H.
2007
Evaluation of a three-step method for choosing the number of bootstrap repetitions. Zbl 1025.62019
Andrews, Donald W. K.; Buchinsky, Moshe
2001
Maximum likelihood estimation and uniform inference with sporadic identification failure. Zbl 1443.62420
Andrews, Donald W. K.; Cheng, Xu
2013
Performance of conditional Wald tests in IV regression with weak instruments. Zbl 1418.62408
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2007
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes. Zbl 1345.62055
Andrews, Donald W. K.; Lieberman, Offer; Marmer, Vadim
2006
Nonparametric inference based on conditional moment inequalities. Zbl 1293.62065
Andrews, Donald W. K.; Shi, Xiaoxia
2014
Testing with many weak instruments. Zbl 1418.62409
Andrews, Donald W. K.; Stock, James H.
2007
Testing for serial correlation against an ARMA(1,1) process. Zbl 0895.62089
Andrews, Donald W. K.; Ploberger, Werner
1996
Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity. Zbl 1443.62240
Andrews, Donald W. K.; Guggenberger, Patrik
2012
Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Zbl 1100.62623
Andrews, Donald W. K. (ed.); Stock, James H. (ed.)
2005
The block-block bootstrap: improved asymptotic refinements. Zbl 1141.62336
Andrews, Donald W. K.
2004
Admissibility of the likelihood ratio test when the parameter space is restricted under the alternative. Zbl 0844.62018
Andrews, Donald W. K.
1996
The large sample correspondence between classical hypothesis tests and Bayesian posterior odds tests. Zbl 0823.68033
Andrews, Donald W. K.
1994
An empirical process central limit theorem for dependent non-identically distributed random variables. Zbl 0732.60026
Andrews, Donald W. K.
1991
GMM estimation and uniform subvector inference with possible identification failure. Zbl 1314.62075
Andrews, Donald W. K.; Cheng, Xu
2014
A stopping rule for the computation of generalized method of moments estimators. Zbl 0899.62101
Andrews, Donald W. K.
1997
Inference based on many conditional moment inequalities. Zbl 1403.62075
Andrews, Donald W. K.; Shi, Xiaoxia
2017
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments. Zbl 1429.62650
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2008
Exactly distribution-free inference in instrumental variables regression with possibly weak instruments. Zbl 1418.62266
Andrews, Donald W. K.; Marmer, Vadim
2008
Hypothesis testing with a restricted parameter space. Zbl 0947.62014
Andrews, Donald W. K.
1998
Asymptotic size of Kleibergen’s LM and conditional LR tests for moment condition models. Zbl 1442.62728
Andrews, Donald W. K.; Guggenberger, Patrik
2017
Asymptotics for stationary very nearly unit root processes. Zbl 1165.62061
Andrews, Donald W. K.; Guggenberger, Patrik
2008
Rank tests for instrumental variables regression with weak instruments. Zbl 1274.62440
Andrews, Donald W. K.; Soares, Gustavo
2007
Equivalence of the higher order asymptotic efficiency of $$k$$-step and extremum statistics. Zbl 1033.62020
Andrews, Donald W. K.
2002
Examples of $$L^2$$-complete and boundedly-complete distributions. Zbl 1388.62103
Andrews, Donald W. K.
2017
Higher-order improvements of the parametric bootstrap for Markov processes. Zbl 1120.62020
Andrews, Donald W. K.
2005
Tests for white noise against alternatives with both seasonal and nonseasonal serial correlation. Zbl 0946.62080
Andrews, Donald W. K.; Liu, Xuemei; Ploberger, Werner
1998
Best median-unbiased estimation in linear regression with bounded asymmetric loss functions. Zbl 0643.62048
Andrews, Donald W. K.; Phillips, Peter C. B.
1987
Power in econometric applications. Zbl 0688.62061
Andrews, Donald W. K.
1989
A note on the unbiasedness of feasible GLS, quasi-maximum likelihood, robust, adaptive, and spectral estimators of the linear model. Zbl 0625.62023
Andrews, Donald W. K.
1986
A simplified proof of a theorem on the difference of the Moore-Penrose inverses of two positive semi-definite matrices. Zbl 0616.15005
Andrews, Donald W. K.; Phillips, Peter C. B.
1986
A nearly independent, but non-strong mixing, triangular array. Zbl 0575.60026
Andrews, Donald W. K.
1985
On optimal inference in the linear IV model. Zbl 1434.62160
Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei
2019
Complete consistency: A testing analogue of estimator consistency. Zbl 0599.62028
Andrews, Donald W. K.
1986
On the number of bootstrap repetitions for $$BC_ a$$ confidence intervals. Zbl 1109.62316
Andrews, Donald W. K.; Buchinsky, Moshe
2002
On optimal inference in the linear IV model. Zbl 1434.62160
Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei
2019
Inference based on many conditional moment inequalities. Zbl 1403.62075
Andrews, Donald W. K.; Shi, Xiaoxia
2017
Asymptotic size of Kleibergen’s LM and conditional LR tests for moment condition models. Zbl 1442.62728
Andrews, Donald W. K.; Guggenberger, Patrik
2017
Examples of $$L^2$$-complete and boundedly-complete distributions. Zbl 1388.62103
Andrews, Donald W. K.
2017
Nonparametric inference based on conditional moment inequalities. Zbl 1293.62065
Andrews, Donald W. K.; Shi, Xiaoxia
2014
GMM estimation and uniform subvector inference with possible identification failure. Zbl 1314.62075
Andrews, Donald W. K.; Cheng, Xu
2014
Inference based on conditional moment inequalities. Zbl 1274.62311
Andrews, Donald W. K.; Shi, Xiaoxia
2013
Maximum likelihood estimation and uniform inference with sporadic identification failure. Zbl 1443.62420
Andrews, Donald W. K.; Cheng, Xu
2013
Estimation and inference with weak, semi-strong, and strong identification. Zbl 1274.62160
Andrews, Donald W. K.; Cheng, Xu
2012
Inference for parameters defined by moment inequalities: a recommended moment selection procedure. Zbl 1274.62135
Andrews, Donald W. K.; Barwick, Panle Jia
2012
Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity. Zbl 1443.62240
Andrews, Donald W. K.; Guggenberger, Patrik
2012
Inference for parameters defined by moment inequalities using generalized moment selection. Zbl 1185.62040
Andrews, Donald W. K.; Soares, Gustavo
2010
Asymptotic size and a problem with subsampling and with the $$m$$ out of $$n$$ bootstrap. Zbl 1185.62044
Andrews, Donald W. K.; Guggenberger, Patrik
2010
Applications of subsampling, hybrid, and size-correction methods. Zbl 1431.62581
Andrews, Donald W. K.; Guggenberger, Patrik
2010
Validity of subsampling and “plug-in asymptotic” inference for parameters defined by moment inequalities. Zbl 1253.62011
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Hybrid and size-corrected subsampling methods. Zbl 1176.62117
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators. Zbl 1431.62203
Andrews, Donald W. K.; Guggenberger, Patrik
2009
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments. Zbl 1429.62650
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2008
Exactly distribution-free inference in instrumental variables regression with possibly weak instruments. Zbl 1418.62266
Andrews, Donald W. K.; Marmer, Vadim
2008
Asymptotics for stationary very nearly unit root processes. Zbl 1165.62061
Andrews, Donald W. K.; Guggenberger, Patrik
2008
Inference with weak instruments. Zbl 1131.62105
Andrew, Donald W. K.; Stock, James H.
2007
Performance of conditional Wald tests in IV regression with weak instruments. Zbl 1418.62408
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2007
Testing with many weak instruments. Zbl 1418.62409
Andrews, Donald W. K.; Stock, James H.
2007
Rank tests for instrumental variables regression with weak instruments. Zbl 1274.62440
Andrews, Donald W. K.; Soares, Gustavo
2007
Optimal two-sided invariant similar tests for instrumental variables regression. Zbl 1128.62022
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H.
2006
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes. Zbl 1345.62055
Andrews, Donald W. K.; Lieberman, Offer; Marmer, Vadim
2006
Cross-section regression with common shocks. Zbl 1153.91665
Andrews, Donald W. K.
2005
Valid Edgeworth expansions for the Whittle maximum likelihood estimator for stationary long-memory Gaussian time series. Zbl 1083.62080
Andrews, Donald W. K.; Lieberman, Offer
2005
Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Zbl 1100.62623
Andrews, Donald W. K. (ed.); Stock, James H. (ed.)
2005
Higher-order improvements of the parametric bootstrap for Markov processes. Zbl 1120.62020
Andrews, Donald W. K.
2005
Adaptive local polynomial Whittle estimation of long-range dependence. Zbl 1131.62317
Andrews, Donald W. K.; Sun, Yixiao
2004
The block-block bootstrap: improved asymptotic refinements. Zbl 1141.62336
Andrews, Donald W. K.
2004
End-of-sample instability tests. Zbl 1154.62412
Andrews, D. W. K.
2003
A bias-reduced log-periodogram regression estimator for the long-memory parameter. Zbl 1153.62354
Andrews, Donald W. K.; Guggenberger, Patrik
2003
Higher-order improvements of a computationally attractive $$k$$-step bootstrap for extremum estimators. Zbl 1104.62315
Andrews, Donald W. K.
2002
Equivalence of the higher order asymptotic efficiency of $$k$$-step and extremum statistics. Zbl 1033.62020
Andrews, Donald W. K.
2002
On the number of bootstrap repetitions for $$BC_ a$$ confidence intervals. Zbl 1109.62316
Andrews, Donald W. K.; Buchinsky, Moshe
2002
Testing when a parameter is on the boundary of the maintained hypothesis. Zbl 0999.62010
Andrews, Donald W. K.
2001
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models. Zbl 0967.62095
Andrews, Donald W. K.; Lu, Biao
2001
Evaluation of a three-step method for choosing the number of bootstrap repetitions. Zbl 1025.62019
Andrews, Donald W. K.; Buchinsky, Moshe
2001
Inconsistency of the bootstrap when a parameter is on the boundary of the parameter space. Zbl 1015.62044
Andrews, Donald W. K.
2000
A three-step method for choosing the number of bootstrap repetitions. Zbl 1056.62516
Andrews, Donald W. K.; Buchinsky, Moshe
2000
Estimation when a parameter is on a boundary. Zbl 1056.62507
Andrews, Donald W. K.
1999
Consistent moment selection procedures for generalized method of moments estimation. Zbl 1056.62505
Andrews, Donald W. K.
1999
Semiparametric estimation of the intercept of a sample selection model. Zbl 0910.90060
Andrews, Donald W. K.; Schafgans, Marcia M. A.
1998
Hypothesis testing with a restricted parameter space. Zbl 0947.62014
Andrews, Donald W. K.
1998
Tests for white noise against alternatives with both seasonal and nonseasonal serial correlation. Zbl 0946.62080
Andrews, Donald W. K.; Liu, Xuemei; Ploberger, Werner
1998
A conditional Kolmogorov test. Zbl 0928.62019
Andrews, Donald W. K.
1997
A stopping rule for the computation of generalized method of moments estimators. Zbl 0899.62101
Andrews, Donald W. K.
1997
Optimal changepoint tests for normal linear regression. Zbl 0834.62066
Andrews, Donald W. K.; Lee, Inpyo; Ploberger, Werner
1996
Testing for serial correlation against an ARMA(1,1) process. Zbl 0895.62089
Andrews, Donald W. K.; Ploberger, Werner
1996
Admissibility of the likelihood ratio test when the parameter space is restricted under the alternative. Zbl 0844.62018
Andrews, Donald W. K.
1996
Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative. Zbl 0843.62023
Andrews, Donald W. K.; Ploberger, Werner
1995
Nonlinear econometric models with deterministically trending variables. Zbl 0836.62106
Andrews, Donald W. K.; McDermott, C. John
1995
Optimal tests when a nuisance parameter is present only under the alternative. Zbl 0815.62033
Andrews, Donald W. K.; Ploberger, Werner
1994
Asymptotics for semiparametric econometric models via stochastic equicontinuity. Zbl 0798.62104
Andrews, Donald W. K.
1994
An introduction to functional central limit theorems for dependent stochastic processes. Zbl 0834.60033
Andrews, Donald W. K.; Pollard, David
1994
The large sample correspondence between classical hypothesis tests and Bayesian posterior odds tests. Zbl 0823.68033
Andrews, Donald W. K.
1994
Tests for parameter instability and structural change with unknown change point. Zbl 0795.62012
Andrews, Donald W. K.
1993
Exactly median-unbiased estimation of first order autoregressive/unit root models. Zbl 0772.62064
Andrews, Donald W. K.
1993
Tests of specification for parametric and semiparametric models. Zbl 0786.62029
Whang, Yoon-Jae; Andrews, Donald W. K.
1993
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
Andrews, Donald W. K.
1993
An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Zbl 0778.62103
Andrews, Donald W. K.; Monahan, J. Christopher
1992
Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Zbl 0732.62052
Andrews, Donald W. K.
1991
Asymptotic normality of series estimators for nonparametric and semiparametric regression models. Zbl 0727.62047
Andrews, Donald W. K.
1991
Asymptotic optimality of generalized $$C_ L$$, cross-validation, and generalized cross-validation in regression with heteroskedastic errors. Zbl 0734.62069
Andrews, Donald W. K.
1991
An empirical process central limit theorem for dependent non-identically distributed random variables. Zbl 0732.60026
Andrews, Donald W. K.
1991
Power in econometric applications. Zbl 0688.62061
Andrews, Donald W. K.
1989
Inference in nonlinear econometric models with structural change. Zbl 0683.62067
Andrews, Donald W. K.; Fair, Ray C.
1988
Chi-square diagnostic tests for econometric models: Theory. Zbl 0725.62099
Andrews, Donald W. K.
1988
Consistency in nonlinear econometric models: A generic uniform law of large numbers. Zbl 0646.62101
Andrews, Donald W. K.
1987
Best median-unbiased estimation in linear regression with bounded asymmetric loss functions. Zbl 0643.62048
Andrews, Donald W. K.; Phillips, Peter C. B.
1987
A note on the unbiasedness of feasible GLS, quasi-maximum likelihood, robust, adaptive, and spectral estimators of the linear model. Zbl 0625.62023
Andrews, Donald W. K.
1986
A simplified proof of a theorem on the difference of the Moore-Penrose inverses of two positive semi-definite matrices. Zbl 0616.15005
Andrews, Donald W. K.; Phillips, Peter C. B.
1986
Complete consistency: A testing analogue of estimator consistency. Zbl 0599.62028
Andrews, Donald W. K.
1986
A nearly independent, but non-strong mixing, triangular array. Zbl 0575.60026
Andrews, Donald W. K.
1985
Non-strong mixing autoregressive processes. Zbl 0552.60049
Andrews, Donald W. K.
1984
all top 5

#### Cited by 2,178 Authors

 26 Andrews, Donald Wilfrid Kao 26 Perron, Pierre 25 Horváth, Lajos 23 Linton, Oliver Bruce 23 Phillips, Peter Charles Bonest 21 Taylor, A. M. Robert 20 Sun, Yixiao 19 Hall, Alastair R. 19 Su, Liangjun 17 Li, Qi 16 Francq, Christian 16 Xiao, Zhijie 15 Cavaliere, Giuseppe 15 Corradi, Valentina 15 Fan, Yanqin 15 Guggenberger, Patrik 15 Leybourne, Stephen J. 15 White, Halbert Lynn jun. 14 Ghysels, Eric 14 Vogelsang, Timothy J. 13 Dufour, Jean-Marie 13 Hansen, Bruce E. 12 Inoue, Atsushi 12 Kurozumi, Eiji 12 Shao, Xiaofeng 12 Whang, Yoon-Jae 11 Aue, Alexander 11 Doukhan, Paul 11 Kokoszka, Piotr S. 11 Moon, Hyungsik Roger 11 Wu, Wei Biao 10 Gao, Jiti 10 Hušková, Marie 10 Khalaf, Lynda 10 Park, Joon Y. 10 Rice, Gregory 10 Shin, Dongwan 10 Swanson, Norman Rasmus 10 Xu, Keli 10 Zakoïan, Jean-Michel 10 Zeileis, Achim 9 Caner, Mehmet 9 Chen, Xiaohong 9 Chernozhukov, Victor 9 Giraitis, Liudas 9 Hong, Han 9 Hong, Yongmiao 9 Kuan, Chung-Ming 9 Pesaran, M. Hashem 9 Potscher, Benedikt M. 9 Smith, Richard J. 9 Zhang, Xinyu 8 Donald, Stephen G. 8 Gonçalves, Sílvia 8 Harvey, David I. 8 Hassler, Uwe 8 Hidalgo, Javier 8 Hill, Jonathan B. 8 Kapetanios, George 8 Mainassara, Yacouba Boubacar 8 Okui, Ryo 8 Perron, Benoit 8 Prucha, Ingmar R. 8 Psaradakis, Zacharias 8 Robinson, Peter Michael 8 Rossi, Barbara 8 Shintani, Mototsugu 7 Bravo, Francesco 7 Guay, Alain 7 Horowitz, Joel L. 7 Jin, Sainan 7 Jirak, Moritz 7 Kim, Dukpa 7 Lewbel, Arthur 7 Liao, Yuan 7 Liao, Zhipeng 7 Moreira, Marcelo J. 7 Politis, Dimitris Nicolas 7 Poskitt, Donald Stephen 7 Rahbek, Anders 7 Seo, Myunghwan 7 Wied, Dominik 7 Zhu, Hongtu 6 Anatolyev, Stanislav 6 Armstrong, Timothy B. 6 Arvanitis, Stelios 6 Bai, Jushan 6 Chen, Songnian 6 Cheng, Xu 6 de Jong, Robert M. 6 Delgado, Miguel Ángel 6 Distaso, Walter 6 Duchesne, Pierre 6 Elliott, Graham 6 Forchini, Giovanni 6 Hansen, Christian B. 6 Härdle, Wolfgang Karl 6 Hsiao, Cheng 6 Hsu, Yu-Chin 6 Jacho-Chávez, David Tomás ...and 2,078 more Authors
all top 5

#### Cited in 145 Serials

 691 Journal of Econometrics 215 Econometric Theory 120 Economics Letters 70 Computational Statistics and Data Analysis 62 Journal of Time Series Analysis 61 Econometric Reviews 57 Journal of Statistical Planning and Inference 53 The Annals of Statistics 43 Journal of Multivariate Analysis 43 Journal of Economic Dynamics & Control 39 The Econometrics Journal 35 Communications in Statistics. Theory and Methods 33 Statistics & Probability Letters 27 Journal of the American Statistical Association 27 Journal of Statistical Computation and Simulation 24 Electronic Journal of Statistics 21 Statistical Papers 19 Bernoulli 19 Journal of Applied Statistics 16 Journal of Nonparametric Statistics 14 Journal of Econometric Methods 12 Mathematics and Computers in Simulation 12 Communications in Statistics. Simulation and Computation 11 Computational Statistics 11 Stochastic Processes and their Applications 10 Statistics 10 Test 9 Metrika 9 Annals of the Institute of Statistical Mathematics 9 Quantitative Finance 9 Journal of Time Series Econometrics 8 Scandinavian Journal of Statistics 8 European Journal of Operational Research 8 AStA. Advances in Statistical Analysis 7 Psychometrika 7 Statistical Methods and Applications 7 Journal of Forecasting 6 International Economic Review 6 Statistica Neerlandica 6 Quantitative Economics 5 Biometrics 5 Mathematical Methods of Statistics 5 Journal of the Korean Statistical Society 4 The Canadian Journal of Statistics 4 The Annals of Probability 4 Sequential Analysis 4 Statistical Science 4 Journal of Theoretical Probability 4 Computational Economics 4 Journal of the Royal Statistical Society. Series B. Statistical Methodology 4 Macroeconomic Dynamics 4 Journal of Systems Science and Complexity 4 Statistical Modelling 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 ASTIN Bulletin 4 The Annals of Applied Statistics 4 Statistics and Computing 3 Mathematical Biosciences 3 Biometrical Journal 3 International Journal of Approximate Reasoning 3 Open Economies Review 3 International Journal of Theoretical and Applied Finance 3 Statistical Inference for Stochastic Processes 3 Asia-Pacific Financial Markets 2 Physica A 2 Journal of Economic Theory 2 Journal of Mathematical Psychology 2 Metron 2 American Journal of Mathematical and Management Sciences 2 Probability Theory and Related Fields 2 Mathematical and Computer Modelling 2 Linear Algebra and its Applications 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Abstract and Applied Analysis 2 Studies in Nonlinear Dynamics and Econometrics 2 Australian & New Zealand Journal of Statistics 2 Journal of Statistical Theory and Practice 2 Journal of the Italian Statistical Society 2 Sankhyā. Series A 2 Sankhyā. Series B 2 Annals of Finance 2 Bayesian Analysis 2 Dependence Modeling 1 International Journal of Systems Science 1 Periodica Mathematica Hungarica 1 Chaos, Solitons and Fractals 1 Applied Mathematics and Computation 1 Econometrica 1 Fuzzy Sets and Systems 1 Information Sciences 1 International Statistical Review 1 Journal of Applied Probability 1 Journal of Computational and Applied Mathematics 1 Kybernetes 1 Kybernetika 1 Metroeconomica 1 Opsearch 1 Proceedings of the American Mathematical Society 1 Synthese 1 Theoretical Population Biology ...and 45 more Serials
all top 5

#### Cited in 25 Fields

 1,919 Statistics (62-XX) 404 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 244 Numerical analysis (65-XX) 223 Probability theory and stochastic processes (60-XX) 18 Operations research, mathematical programming (90-XX) 15 Computer science (68-XX) 11 Biology and other natural sciences (92-XX) 9 General and overarching topics; collections (00-XX) 8 Systems theory; control (93-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Dynamical systems and ergodic theory (37-XX) 2 History and biography (01-XX) 2 Ordinary differential equations (34-XX) 2 Functional analysis (46-XX) 2 Geophysics (86-XX) 1 Combinatorics (05-XX) 1 Group theory and generalizations (20-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Quantum theory (81-XX) 1 Relativity and gravitational theory (83-XX) 1 Astronomy and astrophysics (85-XX) 1 Information and communication theory, circuits (94-XX)

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