Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

From Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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