Citation Analysis – Determination of the effective cointegration rank in high-dimensional time-series predictive regressions

Determination of the effective cointegration rank in high-dimensional time-series predictive regressions
Puyi Fang, Zhaoxing Gao, Ruey S. Tsay
https://arxiv.org/abs/2304.12134

126

Citation mentions

Cited references

Sections

7,825

Words (approx)

References by Citation Intensity

Ordered by composite index (descending). Higher values indicate more intensive citation.

#	Reference	Year	Mentions	Breadth	Sec. Wtd	Share	Composite	Main %
1	Pen	2006	6	4	9.0	0.048	1.000	100%
2	Gao, Zhaoxing and Tsay, Ruey S (self)	2021	10	5	17.0	0.079	1.000	100%
3	Bai, Jushan	2004	9	5	15.0	0.071	1.000	100%
4	Koo, Bonsoo and Anderson, Heather M and Seo, Myung...	2020	11	4	20.0	0.087	1.000	100%
5	Reinsel, Gregory C and Velu, Raja P and Chen, Kun	2022+	6	4	11.0	0.048	1.000	100%
6	Negahban, Sahand and Wainwright, Martin J	2011	5	3	9.0	0.040	1.000	100%
7	Merleve	2011	6	3	12.0	0.048	1.000	100%
8	Bai, Jushan and Ng, Serena	2002	3	3	5.0	0.024	0.843	100%
9	Lam, Clifford and Yao, Qiwei and Bathia, Neil	2011	3	3	5.0	0.024	0.843	100%
10	Zhang, Rongmao and Robinson, Peter and Yao, Qiwei	2019	3	3	5.0	0.024	0.843	100%
11	Welch, Ivo and Goyal, Amit	2008	3	3	5.0	0.024	0.843	100%
12	Tsay, Ruey S (self)	2014	3	2	4.0	0.024	0.737	100%
13	Engle, Robert F and Granger, Clive WJ	1987	3	2	4.0	0.024	0.737	100%
14	Johansen, S\o	1988	3	2	4.0	0.024	0.737	100%
15	Johansen, S\o	1991	3	2	4.0	0.024	0.737	100%
16	Tseng, Paul.	2001	3	2	6.0	0.024	0.737	100%
17	Gu, Shihao and Kelly, Bryan and Xiu, Dacheng	2020	3	2	6.0	0.024	0.737	100%
18	Lam, Clifford and Yao, Qiwei	2012	2	2	3.0	0.016	0.644	100%
19	Agarwal, Alekh and Negahban, Sahand and Wainwright...	2012	2	2	3.0	0.016	0.644	100%
20	Burai, Pa	2013	2	2	4.0	0.016	0.644	100%
21	Li, Gen and Liu, Xiaokang and Chen, Kun	2019	2	2	4.0	0.016	0.644	100%
22	Golub, Gene H and Van Loan, Charles F	2013	2	2	4.0	0.016	0.644	100%
23	Johnstone, Iain M and Lu, Arthur Yu	2009	2	2	4.0	0.016	0.644	100%
24	Wainwright, Martin J	2019	3	1	6.0	0.024	0.585	100%
25	Johansen, S\o	2002	2	1	2.0	0.016	0.511	100%
26	Lin, Jiahe and Michailidis, George	2017	2	1	2.0	0.016	0.511	100%
27	Hastie, Trevor and Tibshirani, Robert and Wainwrig...	2015	2	1	4.0	0.016	0.511	100%
28	Gao, Zhaoxing and Tsay, Ruey S (self)	2021	2	1	4.0	0.016	0.511	100%
29	Tiao, George C and Tsay, Ruey S (self)	1989	1	1	1.0	0.008	0.406	100%
30	Lu	2006	1	1	1.0	0.008	0.406	100%
31	Stock, James H and Watson, Mark W	2005	1	1	1.0	0.008	0.406	100%
32	Forni, Mario and Hallin, Marc and Lippi, Marco and...	2005	1	1	1.0	0.008	0.406	100%
33	Gao, Zhaoxing and Tsay, Ruey S (self)	2019	1	1	1.0	0.008	0.406	100%
34	Gao, Zhaoxing and Tsay, Ruey S (self)	2021	1	1	1.0	0.008	0.406	100%
35	Gao, Zhaoxing and Tsay, Ruey S (self)	2022	1	1	1.0	0.008	0.406	100%
36	Saikkonen, Pentti and Lu	2000	1	1	1.0	0.008	0.406	100%
37	Aznar, Antonio and Salvador, Manuel	2002	1	1	1.0	0.008	0.406	100%
38	Banerjee, Anindya and Marcellino, Massimiliano and...	2014	1	1	1.0	0.008	0.406	100%
39	Fan, Jianqing and Liao, Yuan and Mincheva, Martina	2013	1	1	2.0	0.008	0.406	100%
40	Chen, Kun and Dong, Hongbo and Chan, Kung-Sik	2013	1	1	2.0	0.008	0.406	100%
41	Vandenberghe, Lieven and Boyd, Stephen	1996	1	1	2.0	0.008	0.406	100%
42	Ji, Shuiwang and Ye, Jieping	2009	1	1	2.0	0.008	0.406	100%
43	Boyd, Stephen and Parikh, Neal and Chu, Eric and P...	2011	1	1	2.0	0.008	0.406	100%
44	Boyd, Stephen and Vandenberghe, Lieven	2004	1	1	2.0	0.008	0.406	100%
45	Billingsley, Patrick	1999	1	1	2.0	0.008	0.406	100%
46	Gao, Zhaoxing and Ma, Yingying and Wang, Hansheng ... (self)	2019	1	1	2.0	0.008	0.406	100%
47	Stock, James H	1987	1	1	2.0	0.008	0.406	100%
48	Pan, Jiazhu and Yao, Qiwei	2008	1	1	2.0	0.008	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Pen

2006

9.0

0.048

1.000

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2021

17.0

0.079

1.000

100%

Bai, Jushan

2004

15.0

0.071

1.000

100%

Koo, Bonsoo and Anderson, Heather M and Seo, Myung...

2020

20.0

0.087

1.000

100%

Reinsel, Gregory C and Velu, Raja P and Chen, Kun

2022+

11.0

0.048

1.000

100%

Negahban, Sahand and Wainwright, Martin J

2011

9.0

0.040

1.000

100%

Merleve

2011

12.0

0.048

1.000

100%

Bai, Jushan and Ng, Serena

2002

5.0

0.024

0.843

100%

Lam, Clifford and Yao, Qiwei and Bathia, Neil

2011

5.0

0.024

0.843

100%

Zhang, Rongmao and Robinson, Peter and Yao, Qiwei

2019

5.0

0.024

0.843

100%

Welch, Ivo and Goyal, Amit

2008

5.0

0.024

0.843

100%

Tsay, Ruey S (self)

2014

4.0

0.024

0.737

100%

Engle, Robert F and Granger, Clive WJ

1987

4.0

0.024

0.737

100%

Johansen, S\o

1988

4.0

0.024

0.737

100%

Johansen, S\o

1991

4.0

0.024

0.737

100%

Tseng, Paul.

2001

6.0

0.024

0.737

100%

Gu, Shihao and Kelly, Bryan and Xiu, Dacheng

2020

6.0

0.024

0.737

100%

Lam, Clifford and Yao, Qiwei

2012

3.0

0.016

0.644

100%

Agarwal, Alekh and Negahban, Sahand and Wainwright...

2012

3.0

0.016

0.644

100%

Burai, Pa

2013

4.0

0.016

0.644

100%

Li, Gen and Liu, Xiaokang and Chen, Kun

2019

4.0

0.016

0.644

100%

Golub, Gene H and Van Loan, Charles F

2013

4.0

0.016

0.644

100%

Johnstone, Iain M and Lu, Arthur Yu

2009

4.0

0.016

0.644

100%

Wainwright, Martin J

2019

6.0

0.024

0.585

100%

Johansen, S\o

2002

2.0

0.016

0.511

100%

Lin, Jiahe and Michailidis, George

2017

2.0

0.016

0.511

100%

Hastie, Trevor and Tibshirani, Robert and Wainwrig...

2015

4.0

0.016

0.511

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2021

4.0

0.016

0.511

100%

Tiao, George C and Tsay, Ruey S (self)

1989

1.0

0.008

0.406

100%

2006

1.0

0.008

0.406

100%

Stock, James H and Watson, Mark W

2005

1.0

0.008

0.406

100%

Forni, Mario and Hallin, Marc and Lippi, Marco and...

2005

1.0

0.008

0.406

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2019

1.0

0.008

0.406

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2021

1.0

0.008

0.406

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2022

1.0

0.008

0.406

100%

Saikkonen, Pentti and Lu

2000

1.0

0.008

0.406

100%

Aznar, Antonio and Salvador, Manuel

2002

1.0

0.008

0.406

100%

Banerjee, Anindya and Marcellino, Massimiliano and...

2014

1.0

0.008

0.406

100%

Fan, Jianqing and Liao, Yuan and Mincheva, Martina

2013

2.0

0.008

0.406

100%

Chen, Kun and Dong, Hongbo and Chan, Kung-Sik

2013

2.0

0.008

0.406

100%

Vandenberghe, Lieven and Boyd, Stephen

1996

2.0

0.008

0.406

100%

Ji, Shuiwang and Ye, Jieping

2009

2.0

0.008

0.406

100%

Boyd, Stephen and Parikh, Neal and Chu, Eric and P...

2011

2.0

0.008

0.406

100%

Boyd, Stephen and Vandenberghe, Lieven

2004

2.0

0.008

0.406

100%

Billingsley, Patrick

1999

2.0

0.008

0.406

100%

Gao, Zhaoxing and Ma, Yingying and Wang, Hansheng ... (self)

2019

2.0

0.008

0.406

100%

Stock, James H

1987

2.0

0.008

0.406

100%

Pan, Jiazhu and Yao, Qiwei

2008

2.0

0.008

0.406

100%

Measures: Mentions = total in-text citations; Breadth = distinct sections; Sec. Wtd = section-weighted count (body ×2, lit review/appendix ×0.5); Share = mentions / total citations in paper; Composite = geometric mean of normalised count, breadth, and main-text ratio; Main % = fraction of mentions in main text (excl. appendix). (self) = self-citation.