Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 28, issue 6, 2007

A Test for Spectrum Flatness pp. 793-806

K. Drouiche

Testing for Neglected Nonlinearity in Cointegrating Relationships* pp. 807-826

Andrew Blake and George Kapetanios

Using Difference‐Based Methods for Inference in Regression with Fractionally Integrated Processes pp. 827-843

Wen-Jen Tsay

Relative entropy and spectral constraints: some invariance properties of the ARMA class pp. 844-866

Valerie Girardin

Multivariate Time‐Series Analysis With Categorical and Continuous Variables in an Lstr Model pp. 867-885

Ginger M. Davis and Katherine B. Ensor

Measuring the Advantages of Multivariate vs. Univariate Forecasts pp. 886-909

Daniel Peña and Ismael Sánchez

Using the HEGY Procedure When Not All Roots Are Present pp. 910-922

Tomás del Barrio Castro

Polynomial Cointegration Between Stationary Processes With Long Memory pp. 923-942

Marco Avarucci and Domenico Marinucci

Volume 28, issue 5, 2007

State space models for time series with patches of unusual observations pp. 629-645

Jeremy Penzer

Order Patterns in Time Series pp. 646-665

Chstoph Bandt and Faten Shiha

Maximum Likelihood Estimation of VARMA Models Using a State‐Space EM Algorithm pp. 666-685

Konstantinos Metaxoglou and Aaron Smith

Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance pp. 686-700

Amit Sen

Temporal Aggregation and Bandwidth selection in estimating long memory pp. 701-722

Leonardo Souza

Constructing Optimal tests on a Lagged dependent variable pp. 723-743

Patrick Marsh

On Bayesian analysis of nonlinear continuous‐time autoregression models pp. 744-762

O. Stramer and G. O. Roberts

Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series pp. 763-782

Mihaela ŞErban, Anthony Brockwell, John Lehoczky and Sanjay Srivastava

A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving‐Average Models pp. 783-791

E. J. Godolphin and J. D. Godolphin

Volume 28, issue 4, 2007

Effects of outliers on the identification and estimation of GARCH models pp. 471-497

M. Angeles Carnero, Daniel Peña and Esther Ruiz

Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process pp. 498-520

Mituaki Huzii

Contemporaneous aggregation of GARCH processes pp. 521-544

Paolo Zaffaroni

Efficient estimation and inference in cointegrating regressions with structural change pp. 545-575

Eiji Kurozumi and Yoichi Arai

Empirical likelihood confidence intervals for the mean of a long‐range dependent process pp. 576-599

Daniel J. Nordman, Philipp Sibbertsen and Soumendra N. Lahiri

The Periodogram of fractional processes1 pp. 600-627

Carlos Velasco

Volume 28, issue 3, 2007

A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue pp. 307-349

Javier Hidalgo

A Note on Non‐Negative Arma Processes pp. 350-360

Henghsiu Tsai and K. S. Chan

Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure pp. 361-385

Víctor Gómez

Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models pp. 386-407

A. E. Brockwell

CUSUM of Squares‐Based Tests for a Change in Persistence pp. 408-433

Stephen Leybourne, Robert Taylor and Tae-Hwan Kim

Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods pp. 434-453

Alessandra Canepa and Leslie Godfrey

Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors pp. 454-470

Christian Francq and Hamdi Raïssi

Volume 28, issue 2, 2007

On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory Parameter pp. 155-187

E. Moulines, F. Roueff and M. S. Taqqu

New Improved Tests for Cointegration with Structural Breaks pp. 188-224

Joakim Westerlund and David Edgerton

Simulation of Real‐Valued Discrete‐Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices pp. 225-240

A. R. Soltani and M. Azimmohseni

Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models pp. 241-260

Daren B. H. Cline

A Class of Antipersistent Processes pp. 261-273

Pascal Bondon and Wilfredo Palma

Robust estimators under semi‐parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection pp. 274-306

Ana Bianco and Graciela Boente

Volume 28, issue 1, 2007

Identification of the multiscale fractional Brownian motion with biomechanical applications pp. 1-52

Jean‐Marc Bardet and Pierre Bertrand

Pooling‐Based Data Interpolation and Backdating pp. 53-71

Massimiliano Marcellino

High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications pp. 72-91

Hao Yu

MCMC for Integer‐Valued ARMA processes pp. 92-110

Peter Neal and T. Subba Rao

Residuals‐based tests for the null of no‐cointegration: an Analytical comparison pp. 111-137

Elena Pesavento

ON M‐Estimation Under Long‐Range Dependence in Volatility pp. 138-153

Jan Beran

Volume 27, issue 6, 2006

Optimal Detection of Exponential Component in Autoregressive Models pp. 793-810

Jelloul Allal and Saïd El Melhaoui

Time Deformation, Continuous Euler Processes and Forecasting pp. 811-829

Chu‐Ping C. Vijverberg

Moving Average Representations for Multivariate Stationary Processes pp. 831-841

A. R. Soltani and M. Mohammadpour

Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations pp. 843-855

Ahmed El Ghini and Christian Francq

Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series pp. 857-875

Qiwei Yao and Peter J. Brockwell

Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape pp. 877-910

Elisabeth Gassiat and Céline Lévy‐Leduc

An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model pp. 911-921

Wen‐Den Chen

Integer‐Valued GARCH Process pp. 923-942

René Ferland, Alain Latour and Driss Oraichi

Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel ® pp. 943-944

Terence C. Mills

Volume 27, issue 5, 2006

Efficient Frequency Estimation from a Particular Almost Periodic Function with Application to Laser Vibrometry pp. 637-669

Céline Lévy‐Leduc

Spurious Regression Under Broken‐Trend Stationarity pp. 671-684

Antonio Noriega and Daniel Ventosa‐Santaulària

Additive Outlier Detection Via Extreme‐Value Theory pp. 685-701

Peter Burridge and Robert Taylor

Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems pp. 703-723

Taku Yamamoto and Eiji Kurozumi

Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning pp. 725-738

Rong Zhu and Harry Joe

Power of a Unit‐Root Test and the Initial Condition pp. 739-752

David Harvey and Stephen Leybourne

Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching pp. 753-766

Zacharias Psaradakis and Nicola Spagnolo

On Hypotheses Testing for the Selection of Spatio‐Temporal Models pp. 767-791

Ana Mónica C. Antunes and Tata Subba Rao

Volume 27, issue 4, 2006

Structural Laplace Transform and Compound Autoregressive Models pp. 477-503

Serge Darolles, Christian Gourieroux and Joann Jasiak

A Generalized Portmanteau Test For Independence Of Two Infinite‐Order Vector Autoregressive Series pp. 505-544

Chafik Bouhaddioui and Roch Roy

Range Unit‐Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers pp. 545-576

Felipe Aparicio, Alvaro Escribano and Ana E. Sipols

On a Mixture GARCH Time‐Series Model pp. 577-597

Zhiqiang Zhang, Wai Keung Li and Kam Chuen Yuen

Partial autocorrelation parameterization for subset autoregression pp. 599-612

A. I. McLeod and Y. Zhang

Testing the Null of Co‐integration in the Presence of Variance Breaks pp. 613-636

Giuseppe Cavaliere and Robert Taylor

Volume 27, issue 3, 2006

Local Asymptotic Distributions of Stationarity Tests pp. 323-345

Nunzio Cappuccio and Diego Lubian

Dynamics of Model Overfitting Measured in terms of Autoregressive Roots pp. 347-365

Clive Granger and Yongil Jeon

Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion pp. 367-380

Zhengyuan Zhu and Murad S. Taqqu

A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks pp. 381-409

Ralf Becker, Walter Enders and Junsoo Lee

Inference for pth‐order random coefficient integer‐valued autoregressive processes pp. 411-440

Haitao Zheng, Ishwar V. Basawa and Somnath Datta

A Modified Nonparametric Prewhitened Covariance Estimator pp. 441-476

Masayuki Hirukawa

Volume 27, issue 2, 2006

Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models pp. 157-165

Y. Zhang and A. I. McLeod

On the Evaluation of the Information Matrix for Multiplicative Seasonal Time‐Series Models pp. 167-190

E. J. Godolphin and S. R. Bane

Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information pp. 191-209

Gabriel Pons Rotger

Consistent estimation of the memory parameter for nonlinear time series pp. 211-251

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

Bernstein polynomial estimation of a spectral density pp. 253-287

Yoshihide Kakizawa

Inference in Autoregression under Heteroskedasticity pp. 289-308

Peter Phillips and Ke-Li Xu

Some Notes on Mutual Information Between Past and Future pp. 309-322

Lei M. Li

Volume 27, issue 1, 2006

Properties of higher order stochastic cycles pp. 1-17

Thomas Trimbur

Minimum α‐divergence estimation for arch models pp. 19-39

S. Ajay Chandra and Masanobu Taniguchi

The effect of observations on Bayesian choice of an autoregressive model pp. 41-50

K. D. S. Young and L. I. Pettit

Uniform Limit Theory for Stationary Autoregression pp. 51-60

Liudas Giraitis and Peter Phillips

Estimation in Random Coefficient Autoregressive Models pp. 61-76

Alexander Aue, Lajos Horvath and Josef Steinebach

An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data pp. 77-97

J. C. Jimenez and T. Ozaki

Bayesian Model Uncertainty In Smooth Transition Autoregressions pp. 99-117

Hedibert F. Lopes and Esther Salazar

Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form pp. 119-128

Richard Luger

A Shrinked Forecast in Stationary Processes Favouring Percentage Error pp. 129-139

Heungsun Park and Key‐Il Shin

A Bayesian Approach to Modelling Graphical Vector Autoregressions pp. 141-156

Jukka Corander and Mattias Villani