Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes pp. 785-809: J. Vermaak, C. Andrieu, A. Doucet and S. J. Godsill
On The Peña–Box Model pp. 811-830: Yu‐Pin Hu and Rouh‐Jane Chou
Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series pp. 831-872: Vidar Hjellvik, Rong Chen and Dag Tjøstheim
Time‐scale transformations of discrete time processes pp. 873-894: Oscar Jorda and Massimiliano Marcellino
Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models pp. 895-922: Mark Jensen
A Joint Regression Variable and Autoregressive Order Selection Criterion pp. 923-941: Peide Shi and Chih‐Ling Tsai

An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models pp. 627-648: André Klein and Guy Mélard
A Dependence Metric for Possibly Nonlinear Processes pp. 649-669: Clive Granger, Esfandiar Maasoumi and Jeffrey Racine
Bayesian Subset Model Selection for Time Series pp. 671-690: N. K. Unnikrishnan
A joint test of fractional integration and structural breaks at a known period of time pp. 691-700: Luis A. Gil‐Alana
Analysis of low count time series data by poisson autoregression pp. 701-722: R. K. Freeland and Brendan McCabe
Maximum quasi‐likelihood estimation for the near(2) model pp. 723-732: S. Perera
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra pp. 733-753: Offer Lieberman and Peter Phillips
Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification pp. 755-764: Tae-Hwan Kim, Stephen Leybourne and Paul Newbold
Large sample properties of parameter least squares estimates for time‐varying arma models pp. 765-783: Christian Francq and Antony Gautier

On the closed form of the covariance matrix and its inverse of the causal ARMA process pp. 443-448: John N. Haddad
Bootstrap predictive inference for ARIMA processes pp. 449-465: Lorenzo Pascual, Juan Romo and Esther Ruiz
Bayesian selection of threshold autoregressive models pp. 467-482: Edward P. Campbell
Estimation and testing for the parameters of ARCH(q) under ordered restriction pp. 483-499: Dehui Wang, Lixin Song and Ningzhong Shi
On testing for separable correlations of multivariate time series pp. 501-528: Yasumasa Matsuda and Yoshihiro Yajima
Analysis of the correlation structure of square time series pp. 529-550: Wilfredo Palma and Mauricio Zevallos
Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models pp. 551-561: Taiyeong Lee and David Dickey
Kernel deconvolution of stochastic volatility models pp. 563-582: Fabienne Comte
Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process pp. 583-602: Tae-Hwan Kim, Stephen Leybourne and Paul Newbold
Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models pp. 603-623: William R. Bell and Donald E. K. Martin

Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model pp. 317-333: Maria Eduarda Da Silva and Vera Lúcia Oliveira
Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results pp. 335-350: Georges Oppenheim and Marie‐Claude Viano
The adjustment of prediction intervals to account for errors in parameter estimation pp. 351-358: Paul Kabaila and Zhisong He
Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models pp. 359-372: Qin Shao and Robert Lund
Goodness‐of‐fit tests of normality for the innovations in ARMA models pp. 373-395: Gilles R. Ducharme and Pierre Lafaye de Micheaux
A Note on the Filtering for Some Time Series Models pp. 397-407: S. Peiris and A. Thavaneswaran
Asymmetric adjustment and smooth transitions: a combination of some unit root tests pp. 409-417: Robert Sollis
Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing pp. 419-441: P. W. Fong and W. K. Li

Some comments on specification tests in nonparametric absolutely regular processes pp. 159-172: Holger Dette and Ingrid Spreckelsen
Partial Likelihood Inference For Time Series Following Generalized Linear Models pp. 173-197: Konstantinos Fokianos and Benjamin Kedem
Kernel matching scheme for block bootstrap of time series data pp. 199-216: Tae Yoon Kim and Sun Young Hwang
Subsampling the mean of heavy‐tailed dependent observations pp. 217-234: Piotr Kokoszka and Michael Wolf
A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles pp. 235-250: Alex S. Morton and Granville Tunnicliffe‐Wilson
Inference for Autocorrelations in the Possible Presence of a Unit Root pp. 251-263: Dimitris N. Politis, Joseph P. Romano and Michael Wolf
On the Autocorrelation Properties of Long‐Memory GARCH Processes pp. 265-282: Menelaos Karanasos, Zacharias Psaradakis and Martin Sola
M‐Estimation for regressions with integrated regressors and arma errors pp. 283-299: Dong Wan Shin and Oesook Lee
Assessment of Local Influence in GARCH Processes pp. 301-313: Xibin Zhang
Book review pp. 315-316: Terence C. Mills

Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models pp. 1-25: Stelios Arvanitis and Antonis Demos
Error Correction Models for Fractionally Cointegrated Time Series pp. 27-32: Ingolf Dittmann
Seasonal Unit Root Tests Under Structural Breaks pp. 33-53: Uwe Hassler and Paulo Rodrigues
Estimation of the location and exponent of the spectral singularity of a long memory process pp. 55-81: Javier Hidalgo and Philippe Soulier
Improvement of the Likelihood Ratio Test Statistic in ARMA Models pp. 83-101: Bernardo M. Lagos and Pedro A. Morettin
The Stationary Marginal Distribution of a Threshold AR(1) Process pp. 103-125: Wilfried Loges
A small‐sample overlapping variance‐ratio test pp. 127-135: Y. K. Tse, K. W. Ng and Xibin Zhang
Improved prediction intervals for stochastic process models pp. 137-154: Paolo Vidoni
Book Reviews pp. 155-157: B. L. S. Prakasa Rao
Book Reviews pp. 157-157: M. B. Priestley
Book Reviews pp. 157-158: T. Subba Rao