Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

From Wiley Blackwell
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Volume 20, issue 6, 1999

Inverse Gaussian Autoregressive Models pp. 605-618

B. Abraham and N. Balakrishna

Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain pp. 619-654

Hui Chen and J. P. Romano

The Relevance Property For Prediction Intervals pp. 655-662

Paul Kabaila

On Assessing Prediction Error in Autoregressive Models pp. 663-670

Paul Kabaila and Zhisong He

Unit Roots and Asymmetric Smooth Transitions pp. 671-677

Robert Sollis, Stephen Leybourne and Paul Newbold

A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models pp. 679-691

Y. K. Tse and A. K. C. Tsui

Projection Pursuit Autoregression in Time Series pp. 693-714

Xingcun Xia and H. Z. An

Volume 20, issue 5, 1999

Polyvariograms and their Asymptotes pp. 387-512

Z. G. Chen and O. D. Anderson

A Class of Non‐Embeddable ARMA Processes pp. 483-486

A. E. Brockwell and P. J. Brockwell

ATesting for the Onset of Trend, Using Wavelets pp. 513-526

S. D. Gilbert

The Beveridge–Nelson Decomposition: A Different Perspective with New Results pp. 527-535

Victor Gomez and Jörg Breitung

A State‐Space EM Algorithm for Longitudinal Data pp. 537-550

Gloria Icaza and Richard Jones

Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes pp. 551-558

Yoshihide Kakizawa

On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion pp. 559-563

Takeshi Kato and Elias Masry

Long‐Memory Errors in Time Series Regressions with a Unit Root pp. 565-577

Diego Lubian

Nonparametric Autoregression with Multiplicative Volatility and Additive mean pp. 579-604

Lijian Yang, Wolfgang Hardle and Jens Nielsen

Volume 20, issue 4, 1999

A Note on Bootstrapping M‐Estimators in ARMA Models pp. 365-379

Michael Allen and Somnath Datta

Robust Estimation in Vector Autoregressive Moving‐Average Models pp. 381-399

Marta Garcia Ben, Elena J. Martinez and Victor J. Yohai

Bayesian Inference on Periodicities and Component Spectral Structure in Time Series pp. 401-416

Gabriel Huerta and Mike West

Consistent Estimation for Non‐Gaussian Non‐Causal Autoregessive Processes pp. 417-423

Huang Jian and Yudi Pawitan

Regression Models with Time Series Errors pp. 425-433

T. C. Lin, M. Pourahmadi and A. Schick

Detection of Periodic Autocorrelation in Time Series Data via Zero‐Crossings pp. 435-452

Donald E. K. Martin

Likelihood Ratio Tests for Seasonal Unit Roots pp. 453-476

Richard J. Smith and Robert Taylor

A Median‐Unbiased Estimator of the AR(1) Coefficient pp. 477-481

Ryszard Zielinski

Volume 20, issue 3, 1999

Specification Tests for the Variance of a Diffusion pp. 253-270

Valentina Corradi and Halbert White

Variable Bandwidth Kernel Estimators of the Spectral Density pp. 271-287

Eva Ferreira and Juan Manuel Rodriguez‐Poo

A Stochastic Approximation Algorithm for the Adaptive Control of Time Series Following Generalized Linear Models pp. 289-308

Konstantinos Fokianos and Benjamin Kedem

Diagnostics for Time Series Analysis pp. 309-330

Richard Gerlach, Chris Carter and Robert Kohn

Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series pp. 331-341

Clifford Hurvich and Rohit S. Deo

Valid Edgeworth Expansions of Some Estimators and Bootstrap Confidence Intervals in First‐order Autoregression pp. 343-359

Yoshihide Kakizawa

Volume 20, issue 2, 1999

On the Definitions of (Co‐)integration pp. 129-137

Karim M. Abadir and Robert Taylor

A Note on Modelling Seasonal Processes in Continuous Time pp. 139-143

Marcus Chambers

A Linear Discriminant for Gaussian Time Series pp. 145-153

G. R. Dargahi‐Noubary

Aggregation and Disaggregation of Structural Time Series Models pp. 155-171

Luiz Hotta and Klaus L. Vasconcellos

Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series pp. 173-192

Kanchan Mukherjee

The Local Bootstrap for Periodogram Statistics pp. 193-222

Efstathios Paparoditis and Dimitris N. Politis

The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series pp. 223-235

S. Rao Jammalamadaka, Chengou Wu and Weiqung Wang

Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers pp. 237-252

Timothy Vogelsang

Volume 20, issue 1, 1999

Exact Geometry of Autoregressive Models pp. 1-21

Kees Jan van Garderen

Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints pp. 23-30

Changli He and Timo Teräsvirta

An Estimating Method for Parametric Spectral Densities of Gaussian Time Series pp. 31-50

Fumiyasu Komaki

On the Size Properties of Phillips–Perron Tests pp. 51-61

Stephen Leybourne and Paul Newbold

Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models pp. 63-85

Michael K. Pitt and Neil Shephard

Gaussian Semiparametric Estimation of Non‐stationary Time Series pp. 87-127

Carlos Velasco

Volume 19, issue 6, 1998

On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series pp. 629-655

Rainer Dahlhaus and Liudas Giraitis

A Space‐Time Bilinear Model and its Identification pp. 657-679

Yuqing Dai and L. Billard

Some Inference Results for Causal Autoregressive Processes on a Plane pp. 681-691

Jiin‐Huarng Guo and L. Billard

Change‐Point Estimation of Fractionally Integrated Processes pp. 693-708

Chung‐Ming Kuan and Chih‐Chiang Hsu

Some Results on Specification Search and Pre‐testing in an ARMA(1,1) Process pp. 709-722

Thimothy Oke

The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes pp. 723-736

Dong Wan Shin

A New Test of Linearity of Time Series Based on the Bispectrum pp. 737-753

Gy. Terdik and J. Math

Volume 19, issue 5, 1998

Tests for Deterministic Versus Indeterministic Cycles pp. 505-529

Andrew Harvey and Mariane Streibel

Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm pp. 531-548

Lutz Kilian

Goodness‐of‐fit Test in Parametric Time Series Models pp. 549-574

Kathryn Prewitt

An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors pp. 575-589

Anton Schick

Unit Root Tests Based on Unconditional Maximum Likelihood Estimation for the Autoregressive Moving Average pp. 591-599

Dong Wan Shin and Wayne Fuller

Testing for a Unit Root in Autoregressive Moving‐average Models with Missing Data pp. 601-608

Dong Wan Shin and Sahadeb Sarkar

Seasonal Moving‐average Unit Root Tests in the Presence of a Linear Trend pp. 609-625

Wing‐kuen Tam and Gregory Reinsel

Volume 19, issue 4, 1998

Linear Trend with Fractionally Integrated Errors pp. 379-397

Rohit S. Deo and Clifford Hurvich

Tests for Change in a Mean Function when the Data are Dependent pp. 399-424

Jaehee H. Kim and Jeffrey D. Hart

Bartlett Corrections for Unit Root Test Statistics pp. 425-438

Rolf Larsson

Existence and Stochastic Structure of a Non‐negative Integer‐valued Autoregressive Process pp. 439-455

Alain Latour

An Improvement of Akaike's FPE Criterion to Reduce its Variability pp. 457-471

Xavier De Luna

Hyperbolic Decay Time Series pp. 473-483

A. I. McLeod

A k‐Factor GARMA Long‐memory Model pp. 485-504

Wayne A. Woodward, Q. C. Cheng and H. L. Gray

Volume 19, issue 3, 1998

Long‐range Dependence: Revisiting Aggregation with Wavelets pp. 253-266

Patrice Abry, Darryl Veitch and Patrick Flandrin

Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework pp. 267-283

Anindya Banerjee, Juan Dolado and Ricardo Mestre

A Difference Estimator for Testing Equality of Variances for Paired Time Series pp. 285-290

Bruce Cooil and Luke Froeb

Consistent Estimation of Linear and Non‐linear Autoregressive Models with Markov Regime pp. 291-307

Vikram Krishnamurthy and Tobias Ryden

Tests for Harmonic Components in the Spectra of Categorical Time Series pp. 309-323

Monnie McGee and Katherine Ensor

Dickey–Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series pp. 325-347

Kosuke Oya and Hiro Toda

Testing for Unit Roots in Monthly Time Series pp. 349-368

Robert Taylor

Testing for a Structural Break at Unknown Date with Long‐memory Disturbances pp. 369-376

Jonathan Wright

Book Review pp. 377-378

Patric Laycock

Volume 19, issue 2, 1998

Semiparametric Modeling of Seasonal Time Series pp. 127-145

Prabir Burman and Robert Shumway

Testing for Unit Roots and Non‐linear Transformations pp. 147-164

Philip Hans Franses and Michael McAleer

Tests of Independence in Time Series pp. 165-185

R. J. Kulperger and R. A. Lockhart

On Residual Variance Estimation in Autoregressive Models pp. 187-208

Raul P. Mentz, Pedro A. Morettin and Clélia Toloi

A Proposal for Estimation of the Parameters of Multivariate Moving‐average Models pp. 209-219

Anna Clara Monti

An Estimate of the Fractal Index Using Multiscale Aggregates pp. 221-233

John‐Michel Poggi and Marie‐Claude Viano

Bayesian Inference for Time Series with Stable Innovations pp. 235-249

Zuqiang Qiou and Nalini Ravishanker

Book Review pp. 251-252

Iswar Basawa

Volume 19, issue 1, 1998

On threshold moving‐average models pp. 1-18

Jan G. Gooijer

The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series pp. 19-46

Clifford Hurvich, Rohit Deo and Julia Brodsky

Time‐correlation analysis of nonstationary time series pp. 47-67

Ta‐Hsin Li

Tracking abrupt frequency changes pp. 69-82

Ta‐Hsin Li and Benjamin Kedem

Unit roots and smooth transitions pp. 83-97

Stephen Leybourne, Paul Newbold and Dimitrios Vougas

Bayesian analysis of autoregressive fractionally integrated moving‐average processes pp. 99-112

Jeffrey S. Pai and Nalini Ravishanker

A note on the corrected Akaike information criterion for threshold autoregressive models pp. 113-124

C. S. Wong and W. K. Li

Book Review pp. 125-126

K. F. Turkman