Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 22, issue 6, 2001

Estimation of GARCH Models from the Autocorrelations of the Squares of a Process pp. 631-650

Richard T. Baillie and Huimin Chung

Large Sample Properties of Parameter Estimates for Periodic ARMA Models pp. 651-663

I. V. Basawa and Robert Lund

State‐space Models with Finite Dimensional Dependence pp. 665-678

Christian Gourieroux and Joann Jasiak

Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series pp. 679-709

Clifford Hurvich

A Note on Mean‐squared Prediction Errors of the Least Squares Predictors in Random Walk Models pp. 711-724

C. K. Ing

On Prediction Intervals for Conditionally Heteroscedastic Processes pp. 725-731

Paul Kabaila and Zhisong He

Model Selection in Threshold Models pp. 733-754

George Kapetanios

Volume 22, issue 5, 2001

Maximum Likelihood Estimates of a Class of One‐Dimensional Stochastic Differential Equation Models From Discrete Data pp. 505-515

Eugene M. Cleur

Parameter Estimation of Stochastic Processes with Long‐range Dependence and Intermittency pp. 517-535

Jiti Gao, Vo Anh, Chris Heyde and Quang Tieng

Elimination of Third‐series Effect and Defining Partial Measures of Causality pp. 537-554

Yuzo Hosoya

Prediction in ARMA Models with GARCH in Mean Effects pp. 555-576

Menelaos Karanasos

Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors pp. 577-594

Zacharias Psaradakis

recursive Mean Adjustment for Unit Root Tests pp. 595-612

Dong Wan Shin and Beong Soo So

Estimation of Hidden Frequencies for 2D Stationary Processes pp. 613-629

Hao Zhang and V. Mandrekar

Volume 22, issue 4, 2001

Estimation in the Mixture Transition Distribution Model pp. 379-397

Andre Berchtold

Recursive Relations for Multistep Prediction of a Stationary Time Series pp. 399-410

Pascal Bondon

Testing Stochastic Cycles in Macroeconomic Time Series pp. 411-430

L. A. Gil‐Alana

Averaged Periodogram Spectral Estimation with Long‐memory Conditional Heteroscedasticity pp. 431-459

Marc Henry

Bootstrapping Time Series Regressions with Integrated Processes pp. 461-480

Hongyi Li and Zhijie Xiao

Sample Cross‐correlations for Moving Averages with Regularly Varying Tails pp. 481-492

Mark M. Meerschaert and Hans‐Peter Scheffler

A Bias Correction for Cross‐validation Bandwidth Selection when a Kernel Estimate is Based on Dependent Data pp. 493-503

Martin Skold

Volume 22, issue 3, 2001

A Hierarchical Approach to Covariance Function Estimation for Time Series pp. 253-266

Michael J. Daniels and Noel Cressie

Cross‐validation Criteria for Setar Model Selection pp. 267-281

Jan G. Gooijer

The Effect of Linear Time Trends on the KPSS Test for Cointegration pp. 283-292

Uwe Hassler

Robust Automatic Bandwidth for Long Memory pp. 293-316

Marc Henry

Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series? pp. 317-337

Piotr S. Kokoszka and Murad S. Taqqu

On the Distributional Properties of GARCH Processes pp. 339-352

M. Pawlak and W. Schmid

S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend pp. 353-363

Philipp Sibbertsen

Predictions in time Series Using Multivariate Regression Models pp. 365-373

Frantisek Stulajter

Volume 22, issue 2, 2001

Testing for the Presence of a Random Walk in Series with Structural Breaks pp. 127-150

Fabio Busetti and Andrew Harvey

Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses pp. 151-173

Rong Chen and Lon‐Mu Liu

Stochastic Regression Model with Dependent Disturbances pp. 175-196

Kokyo Choy and Masanobu Taniguchi

Conditional Heteroskedasticity Driven by Hidden Markov Chains pp. 197-220

Christian Francq, Michel Roussignol and Jean-Michel Zakoian

Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models pp. 221-249

Clifford Hurvich and Julia Brodsky

Volume 22, issue 1, 2001

An Extension Problem For Discrete‐Time Periodically Correlated Stochastic Processes pp. 1-11

D. Alpay, A. Chevreuil and Ph. Loubaton

Nonparametric Tests of Change‐Points with Tapered Data pp. 13-43

Yves Rozenholc

Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression pp. 45-66

Ismael Sanchez and Daniel Peña

Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes pp. 67-86

Mattias Villani

Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative pp. 87-105

Zhijie Xiao

Autocovariance Structure of Markov Regime Switching Models and Model Selection pp. 107-124

Jing Zhang and Robert A. Stine

Volume 21, issue 6, 2000

Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study pp. 615-647

Ingolf Dittmann

Adaptive Fourier Series and the Analysis of Periodicities in Time Series Data pp. 649-662

Robert V. Foutz and Hoonja Lee

Highly Robust Estimation of the Autocovariance Function pp. 663-684

Yanyuan Ma and Marc G. Genton

Spectral Regression For Cointegrated Time Series With Long‐Memory Innovations pp. 685-705

D. Marinucci

On Kay's Frequency Estimator pp. 707-712

B. G. Quinn

Testing Linearity For Stationary Time Series Using the Sample Interquartile Range pp. 713-722

J. Yuan

Testing Gaussianity and Linearity For Random Fields in the Frequency Domain pp. 723-737

J. Yuan

Volume 21, issue 5, 2000

Sign Invariance in Goodness‐of‐Fit Tests for Time Series pp. 489-496

T. W. Anderson and M. A. Stephens

Testing for the Presence of Self‐Similarity of Gaussian Time Series Having Stationary Increments pp. 497-515

Jean‐Marc Bardet

Estimation of the Dominating Frequency for Stationary and Nonstationary Fractional Autoregressive Models pp. 517-533

Jan Beran and Sucharita Ghosh

Second‐Order Noncausality in Multivariate GARCH Processes pp. 535-557

Fabienne Comte and Offer Lieberman

Subset ARMA Model Identification Using Genetic Algorithms pp. 559-570

Carlo Gaetan

Time Series Models in Non‐Normal Situations: Symmetric Innovations pp. 571-596

M. L. Tiku, Wing-Keung Wong, David C. Vaughan and Guorui Bian

A Wavelet‐Based Test for Stationarity pp. 597-613

Rainer Von Sachs and Michael H. Neumann

Volume 21, issue 4, 2000

The Role of the Likelihood Function in the Estimation of Chaos Models pp. 363-387

T. Ozaki, J. C. Jimenez and V. Haggan‐Ozaki

A Robust Algorithm in Sequentially Selecting Subset Time Series Systems Using Neural Networks pp. 389-412

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

Prediction Variance and Information Worth of Observations in Time Series pp. 413-434

Mohsen Pourahmadi and E. S. Soofi

Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process pp. 435-456

Pentti Saikkonen and Helmut Lütkepohl

Nonparametric Lag Selection for Time Series pp. 457-487

Rolf Tschernig and Lijian Yang

Volume 21, issue 3, 2000

Time Scale Estimation by Tracking Parameter Variation pp. 237-248

John Belcher and Granville Tunnicliffe Wilson

The Limiting Density of Unit Root Test Statistics: A Unifying Technique pp. 249-260

Mithat Gonen, Madan L. Puri, Frits H. Ruymgaart and Martien C. A. Van Zuijlen

Bayesian Unit Root Test in Nonnormal AR(1) Model pp. 261-280

Hikaru Hasegawa, Anoop Chaturvedi and Tran Van Hoa

Fast Filtering and Smoothing for Multivariate State Space Models pp. 281-296

Siem Jan Koopman and James Durbin

Moving Averages of Random Vectors with Regularly Varying Tails pp. 297-328

Mark M. Meerschaert and Hans‐Peter Scheffler

Local Cross‐validation for Spectrum Bandwidth Choice pp. 329-361

Carlos Velasco

Volume 21, issue 2, 2000

Hidden Frequency Estimation with Data Tapers pp. 113-142

Zhao‐Guo Chen, Ka Ho Wu and Rainer Dahlhaus

Residual Autocorrelation Distribution in the Validation Data Set pp. 143-153

Alessandro Fasso

An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series pp. 155-180

Clifford Hurvich and Willa W. Chen

Correlational Properties of Chebyshev Chaotic Sequences pp. 181-191

Tohru Kohda, Akio Tsuneda and Anthony J. Lawrance

Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence pp. 193-218

Eric Moulines and Philippe Soulier

Bayesian Prediction Mean Squared Error for State Space Models with Estimated Parameters pp. 219-236

Benoit Quenneville and Avinash C. Singh

Volume 21, issue 1, 2000

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes pp. 1-25

Josu Arteche and Peter M. Robinson

Simple Regressions with Linear Time Trends pp. 27-32

Uwe Hasseler

Least‐squares Estimation of an Unknown Number of Shifts in a Time Series pp. 33-59

Marc Lavielle and Eric Moulines

Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach pp. 61-74

Remigijus Leipus and Marie‐Claude Viano

Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models pp. 75-93

Robert Lund and I. V. Basawa

Some Results Concerning the Asymptotic Distribution of Sample Fourier Transforms and Periodograms for a Discrete‐time Stationary Process with a Continuous Spectrum pp. 95-109

A. M. Walker