Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 24, issue 6, 2003

A Bayesian Approach to Event Prediction pp. 631-646

M. Antunes, M. A. Amaral Turkman and K. F. Turkman

Rank Based Dickey–Fuller Test Statistics pp. 647-662

Stergios B. Fotopoulos and Sung K. Ahn

The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model pp. 663-678

Soren Johansen

A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes pp. 679-703

Takeshi Kato and Elias Masry

Distribution of the estimated lyapunov exponents from noisy chaotic time series pp. 705-720

Dejian Lai and Guanrong Chen

Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System pp. 721-738

Yuichi Nagahara

Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations pp. 739-754

B. Tarami and M. Pourahmadi

Volume 24, issue 5, 2003

Simulating a class of stationary Gaussian processes using the Davies–Harte algorithm, with application to long memory processes pp. 505-511

Peter F. Craigmile

Decomposition of Time Series Dynamic Linear Models pp. 513-527

E. J. G Odolphin and S. E. Johnson

Testing for Linear Trend with Application to Relative Primary Commodity Prices pp. 539-551

Tae-Hwan Kim, Stephan Pfaffenzeller, Tony Rayner and Paul Newbold

Tests for non‐correlation of two cointegrated ARMA time series pp. 553-577

Dinh Tuan Pham, Roch Roy and Lyne Cédras

Extremes of Some Sub‐Sampled Time Series pp. 579-590

M. G. Scotto, K. F. Turkman and C. W. Anderson

Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes pp. 591-612

Robert Taylor

A note on estimation by least squares for harmonic component models pp. 613-629

A. M. Walker

Volume 24, issue 4, 2003

A Sieve Bootstrap For The Test Of A Unit Root pp. 379-400

Yoosoon Chang and Joon Park

On Estimating Conditional Mean‐Squared Prediction Error in Autoregressive Models pp. 401-422

Ching-Kang Ing and Shu‐hui Yu

Reducing size distortions of parametric stationarity tests pp. 423-439

Markku Lanne and Pentti Saikkonen

Seasonal Unit Root Tests Based on Forward and Reverse Estimation pp. 441-460

Stephen Leybourne and Robert Taylor

Diagnostic Checking in a Flexible Nonlinear Time Series Model pp. 461-482

Marcelo Medeiros and Alvaro Veiga

Testing Composite Hypotheses for Locally Stationary Processes pp. 483-504

Kenji Sakiyama and Masanobu Taniguchi

Volume 24, issue 3, 2003

Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives pp. 253-267

Andrew Blake and George Kapetanios

Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals pp. 269-282

Malay Ghosh and Jungeun Heo

First‐Order Autoregressive Processes with Heterogeneous Persistence pp. 283-309

Joann Jasiak

Testing Serial Correlation in Semiparametric Time Series Models pp. 311-335

Dingding Li and Thanasis Stengos

Likelihood analysis of a first‐order autoregressive model with exponential innovations pp. 337-344

Bent Nielsen and Neil Shephard

Gaussian Semi‐parametric Estimation of Fractional Cointegration pp. 345-378

Carlos Velasco

Volume 24, issue 2, 2003

ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS pp. 127-136

Arup Bose and Kanchan Mukherjee

FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS pp. 137-140

Fabio Busetti and Andrew Harvey

SMOOTHING WITH AN UNKNOWN INITIAL CONDITION pp. 141-148

Piet De Jong and Singfat Chu‐Chun‐Lin

DYNAMIC STATE‐SPACE MODELS pp. 149-158

Wensheng Guo

A NOTE ON BUSETTI–HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS pp. 159-164

David Harvey and Terence C. Mills

GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS pp. 165-172

L. Kavalieris, E. J. Hannan and M. Salau

STATIONARY TANGENT: THE DISCRETE AND NON‐SMOOTH CASE pp. 173-192

U. Keich

SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES pp. 193-220

Pierre Perron and Gabriel Rodríguez

LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS pp. 221-236

Tommaso Proietti

ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS pp. 237-252

Zacharias Psaradakis and Nicola Spagnolo

Volume 24, issue 1, 2003

Optimal sampling for density estimation in continuous time pp. 1-23

D. Blanke and B. Pumo

Maximum likelihood estimation in space time bilinear models pp. 25-44

Yuqing Dai and L. Billard

On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations pp. 45-63

Stan Hurn, K. A. Lindsay and Vance Martin

Testing for serial dependence in time series models of counts pp. 65-84

Robert Jung and Andrew Tremayne

Filtering and smoothing of state vector for diffuse state‐space models pp. 85-98

Siem Jan Koopman and James Durbin

Bootstrapping unit root tests for integrated processes pp. 99-126

Anders Rygh Swensen

Volume 23, issue 6, 2002

Selecting the forgetting factor in subset autoregressive modelling pp. 629-649

T. J. Brailsford, Jack H. W. Penm and R. D. Terrell

Temporal aggregation and spurious instantaneous causality in multiple time series models pp. 651-665

Jörg Breitung and Norman Swanson

Comparison of unit root tests for time series with level shifts pp. 667-685

Markku Lanne, Helmut Lütkepohl and Pentti Saikkonen

Bayesian methods for change‐point detection in long‐range dependent processes pp. 687-705

Bonnie K. Ray and Ruey S. Tsay

Asymptotic laws of successive least squares estimates for seasonal arima models and application pp. 707-731

B. Truong‐ van and P. Varachaud

A State space approach to bootstrapping conditional forecasts in arma models pp. 733-751

Kent D. Wall and David S. Stoffer

Volume 23, issue 5, 2002

A note on calculating autocovariances of long‐memory processes pp. 503-508

Stefano Bertelli and Massimiliano Caporin

Nonlinear error correction models pp. 509-522

Alvaro Escribano and Santiago Mira

Nonlinear functionals of the periodogram pp. 523-553

Gilles Fay, Eric Moulines and Philippe Soulier

Properties of the nonparametric autoregressive bootstrap pp. 555-585

J. Franke, J.‐P. Kreiss, E. Mammen and M. H. Neumann

Adjusting forecast intervals in arch‐m models pp. 587-598

Jesús Miguel and Pilar Olave

Time‐varying autoregressions with model order uncertainty pp. 599-618

Raquel Prado and Gabriel Huerta

A note on maximum autoregressive processes of order one pp. 619-626

M. Zarepour and D. Banjevic

The Estimation and Tracking of Frequency pp. 627-628

P. Whittle

Volume 23, issue 4, 2002

Lag length estimation in large dimensional systems pp. 401-423

Jesus Gonzalo and Jean-Yves Pitarakis

Bayesian analysis of switching ARCH models pp. 425-458

Sylvia Kaufmann and Sylvia Frühwirth‐schnatter

Nonlinear modelling of periodic threshold autoregressions using Tsmars pp. 459-471

Peter A. W. Lewis and Bonnie K. Ray

An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model pp. 473-486

José Alberto Mauricio

Deconvolution of fractional brownian motion pp. 487-501

Vladas Pipiras and Murad S. Taqqu

Volume 23, issue 3, 2002

Semiparametric robust tests on seasonal or cyclical long memory time series pp. 251-285

Josu Arteche

Efficient use of higher‐lag autocorrelations for estimating autoregressive processes pp. 287-312

Laurence Broze, Christian Francq and Jean-Michel Zakoian

Prediction and nonparametric estimation for time series with heavy tails pp. 313-331

Peter Hall, Liang Peng and Qiwei Yao

Cointegration in frequency domain pp. 333-339

D. Levy

Robust estimates for arch processes pp. 341-375

Nora Muler and Victor J. Yohai

Volume 23, issue 2, 2002

Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations pp. 127-154

Christian Gouriéroux and Joann Jasiak

On the Robustness of Unit Root Tests in the Presence of Double Unit Roots pp. 155-171

Niels Haldrup and Peter Lildholdt

A Direct Test for Cointegration Between a Pair of Time Series pp. 173-191

Stephen Leybourne, Paul Newbold, Dimitrios Vougas and Tae-Hwan Kim

Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment pp. 193-213

Christophe Planas and Raoul Depoutot

A Nonparametric Prewhitened Covariance Estimator pp. 215-250

Zhijie Xiao and Oliver Linton

Volume 23, issue 1, 2002

Approximate Conditional Unit Root Inference pp. 1-28

Henrik Hansen and Anders Rahbek

Weighted Estimation of Harmonic Components in a Musical Sound Signal pp. 29-48

Rafael A. Irizarry

Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data pp. 49-56

Chunsheng Ma

Pooled Log Periodogram Regression pp. 57-93

Katsumi Shimotsu and Peter Phillips

The Use of Aggregate Time Series in Testing for Gaussianity pp. 95-116

Paulo Teles and William W. S. Wei

The Variance Ratio Test with Stable Paretian Errors pp. 117-126

Y. K. Tse and Xibin Zhang