Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Stationary Autoregressive Models via a Bayesian Nonparametric Approach pp. 789-805: Ramsés H. Mena and Stephen G. Walker
Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation pp. 807-824: S. Y. Hwang and I. V. Basawa
Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors pp. 825-842: J. Zhou and I. V. Basawa
On Parameter Estimation for Exponential Dispersion Arma Models pp. 843-862: Peter X.‐K. Song and Dingan Feng
Efficient Estimation of Seasonal Long‐Range‐Dependent Processes pp. 863-892: Wilfredo Palma and Ngai Hang Chan
Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters pp. 893-916: Danny Pfeffermann and Richard Tiller
Random Walks with Drift – A Sequential Approach pp. 917-942: Ansgar Steland

Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs pp. 631-668: Dietmar Bauer
Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes pp. 669-689: Eckhard Liebscher
Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes pp. 691-713: Henghsiu Tsai and K. S. Chan
Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models pp. 715-741: Arie Preminger and David Wettstein
Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models pp. 743-757: Hai‐Bin Wang
On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence pp. 759-778: Robert Taylor
Book Reviews pp. 779-780: Robert H. Shumway
Book Reviews pp. 780-782: C. T. J. Dodson
Book Reviews pp. 782-783: Terence C. Mills
Book Reviews pp. 783-784: Richard E. Chandler
Book Reviews pp. 784-785: Mohsen Pourahmadi
Book Reviews pp. 786-786: Gyorgy Terdik

Parameter Estimation for Periodically Stationary Time Series pp. 489-518: Paul L. Anderson and Mark M. Meerschaert
Influence of Missing Values on the Prediction of a Stationary Time Series pp. 519-525: Pascal Bondon
The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models pp. 527-541: Yue Fang
Testing the Fit of a Vector Autoregressive Moving Average Model pp. 543-568: Efstathios Paparoditis
Mixed Portmanteau Tests for Time‐Series Models pp. 569-579: Heung Wong and Shiqing Ling
Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series pp. 581-611: Josu Arteche and Carlos Velasco
Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes pp. 613-624: Henghsiu Tsai and Kenneth Chan
Book Review: The Estimation and Tracking of Frequency pp. 625-626: P. Whittle
Book Review: Seasonal Adjustment with the X‐11 Method pp. 626-627: G. Janacek
Book Review: Measuring Business Cycles in Economic Time Series pp. 627-628: G. Janacek
Book Review: Advanced Linear Modelling pp. 628-629: T. Subba Rao

Polynomial Trend Regression With Long‐memory Errors pp. 323-354: Hwai‐Chung Ho and Nan‐Jung Hsu
Examination of Some More Powerful Modifications of the Dickey–Fuller Test pp. 355-369: Stephen Leybourne, Tae-Hwan Kim and Paul Newbold
Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints pp. 371-397: R. J. Biscay, Marc Lavielle and Carenne Ludeña
Extreme Spectra of Var Models and Orders of Near‐Cointegration pp. 399-421: E. E. Ioannidis and G. A. Chronis
Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes pp. 423-435: Sophie Lambert‐Lacroix
Implicit Bayesian Inference Using Option Prices pp. 437-462: Gael Martin, Catherine Forbes and Vance Martin
Fractional Invariance Principle pp. 463-486: Yuzo Hosoya
Book Review pp. 487-488: Paul Fearnhead

A Note on the Specification and Estimation of ARMAX Systems pp. 157-183: Donald Poskitt
Blockwise empirical entropy tests for time series regressions pp. 185-210: Francesco Bravo
Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations pp. 211-249: Stilian Stoev and Murad S. Taqqu
Local Likelihood for non‐parametric ARCH(1) models pp. 251-278: Francesco Audrino
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence pp. 279-304: Morten Nielsen
Assessing Persistence In Discrete Nonstationary Time‐Series Models pp. 305-317: Brendan McCabe, Gael Martin and Andrew Tremayne
The Econometric Analysis of Seasonal Time Series pp. 319-321: Philip Hans Franses

Large sample properties of spectral estimators for a class of stationary nonlinear processes pp. 1-16: Kamal C. Chanda
Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model pp. 17-36: Maria Eduarda Silva and Vera Lúcia Oliveira
Estimating the Rank of the Spectral Density Matrix pp. 37-48: Gonzalo Camba‐Mendez and George Kapetanios
Robust and powerful serial correlation tests with new robust estimates in ARX models pp. 49-81: Pierre Duchesne
Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series pp. 83-105: Marc Hallin and Abdessamad Saidi
Outlier Detection And Estimation In NonLinear Time Series pp. 107-121: Francesco Battaglia and Lia Orfei
Unit‐root testing against the alternative hypothesis of up to m structural breaks pp. 123-133: George Kapetanios
Testing for EGARCH Against Stochastic Volatility Models pp. 135-150: Masahito Kobayashi and Xiuhong Shi
Book Reviews 1 pp. 151-152: Barry Quinn