Journal of Time Series Econometrics

2009 - 2011

from Berkeley Electronic Press
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Volume 3, issue 3, 2011

On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance pp. 1

Pierre Perron and Linxia Ren

Noncausal Autoregressions for Economic Time Series pp. 2

Markku Lanne and Pentti Saikkonen

Forecasting with Universal Approximators and a Learning Algorithm pp. 3

Anders Bredahl Kock

Wavelet Estimation of Copulas for Time Series pp. 4

Pedro A. Morettin, Clelia M.C. Toloi, Chang Chiann and José C.S. de Miranda

Volume 3, issue 2, 2011

Some New Results for Threshold AR(1) Models pp. 1

John Knight and Stephen Satchell

Detection of Additive Outliers in Seasonal Time Series pp. 2

Niels Haldrup, Antonio Montañes and Andreu Sansó

Nonparametric Unit Root Test and Structural Breaks pp. 3

Jorge Belaire-Franch and Dulce Contreras

Estimating Autocorrelations in the Presence of Deterministic Trends pp. 4

Shin-Huei Wang and Christian Matthias Hafner

Volume 3, issue 1, 2011

Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors’ Introduction pp. 1

Tim Bollerslev, Bent Jesper Christensen, Niels Haldrup and Asger Lunde

Consideration of Trends in Time Series pp. 2

Halbert White and Clive W. J. Granger

Detecting Common Dynamics in Transitory Components pp. 3

Timothy Christensen, Stan Hurn and Adrian Rodney Pagan

Nonparametric Tests for Periodic Integration pp. 4

Tomás del Barrio Castro and Denise Osborn

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots pp. 5

Michael Jansson and Morten Ørregaard Nielsen

Econometric Modelling of Time Series with Outlying Observations pp. 6

David F. Hendry and Grayham E. Mizon

Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index pp. 7

Helmut Luetkepohl and Fang Xu

Evaluating Automatic Model Selection pp. 8

Jennifer L. Castle, Jurgen A. Doornik and David F. Hendry

On a Graphical Technique for Evaluating Some Rational Expectations Models pp. 9

Soren Johansen and Anders R. Swensen

Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary pp. 10

Christian M. Dahl and Emma M. Iglesias

HYBRID GARCH Models and Intra-Daily Return Periodicity pp. 11

Xilong Chen, Eric Ghysels and Fangfang Wang

Volume 2, issue 2, 2011

Costationarity of Locally Stationary Time Series pp. 1

Alessandro Cardinali and Guy P. Nason

Estimation and Inference in Time Series with Omitted I(1) Variables pp. 2

Gerdie Everaert

Testing for a Deterministic Trend When There is Evidence of Unit Root pp. 3

Daniel Ventosa-Santaulà ria and Manuel Gómez-Zaldívar

Volume 2, issue 1, 2010

Nonlinearity and Spatial Lag Dependence: Tests Based on Double-Length Regressions pp. 1

Dong Li and Canh Le

Testing Unit Root Based on Partially Adaptive Estimation pp. 2

Luiz Renato Lima and Zhijie Xiao

On Convergence of the QMLE for Misspecified GARCH Models pp. 3

Anders Tolver Jensen and Theis Lange

Signal Extraction Revision Variances as a Goodness-of-Fit Measure pp. 4

Tucker Sprague McElroy and Marc Wildi

A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels pp. 5

J. Isaac Miller

Has the Volatility of U.S. Inflation Changed and How? pp. 6

Stefano Grassi and Tommaso Proietti

Extended Fractional Gaussian Noise and Simple ARFIMA Approximations pp. 7

Kasing Man

The PCSE Estimator is Good — Just Not As Good As You Think pp. 8

W. Robert Reed and Rachel Webb

Volume 1, issue 2, 2009

Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions pp. 1

Alessio Sancetta and Arina Nikandrova

Autoregression with Non-Gaussian Innovations pp. 2

Yuzhi Cai

Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes pp. 3

Matei Demetrescu

Volume 1, issue 1, 2009

Statistical Fourier Analysis: Clarifications and Interpretations pp. 1

David Stephen Pollock

Asymptotics of the QMLE for Non-Linear ARCH Models pp. 2

Dennis Kristensen and Anders Rahbek

Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities pp. 3

Syed Abul Basher and Josep Lluís Carrion--Silvestre

Selecting Instrumental Variables in a Data Rich Environment pp. 4

Serena Ng and Jushan Bai

The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series pp. 5

Christine Elaine Amsler, Peter Schmidt and Timothy Vogelsang