Journal of Time Series Econometrics

2009 - 2024

Current editor(s): Javier Hidalgo

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Wavelet Estimation of Copulas for Time Series pp. 31: Morettin Pedro A., Toloi Clelia M.C., Chiann Chang and C.S. de Miranda José
Noncausal Autoregressions for Economic Time Series pp. 32: Markku Lanne and Pentti Saikkonen
Forecasting with Universal Approximators and a Learning Algorithm pp. 32: Anders Kock
On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance pp. 34: Pierre Perron and Ren Linxia

Nonparametric Unit Root Test and Structural Breaks pp. 14: Jorge Belaire-Franch and Contreras Dulce
Detection of Additive Outliers in Seasonal Time Series pp. 20: Niels Haldrup, Antonio Montañés and Andreu Sansó
Estimating Autocorrelations in the Presence of Deterministic Trends pp. 25: Cindy Shin-huei Wang and Christian Hafner
Some New Results for Threshold AR(1) Models pp. 42: John Knight and Satchell Stephen

Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction pp. 8: Tim Bollerslev, Bent Jesper Christensen, Niels Haldrup and Asger Lunde
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots pp. 21: Michael Jansson and Morten Nielsen
Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index pp. 23: Luetkepohl Helmut and Fang Xu
Econometric Modelling of Time Series with Outlying Observations pp. 26: David Hendry and Grayham Mizon
HYBRID GARCH Models and Intra-Daily Return Periodicity pp. 28: Chen Xilong, Ghysels Eric and Wang Fangfang
Detecting Common Dynamics in Transitory Components pp. 28: Christensen Timothy, Stan Hurn and Adrian Pagan
On a Graphical Technique for Evaluating Some Rational Expectations Models pp. 29: Soren Johansen and Swensen Anders R
Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary pp. 32: Christian Dahl and Emma Iglesias
Evaluating Automatic Model Selection pp. 33: Jennifer Castle, Jurgen Doornik and David Hendry
Nonparametric Tests for Periodic Integration pp. 35: Tomás del Barrio Castro and Denise Osborn
Consideration of Trends in Time Series pp. 40: Halbert White and Clive Granger

Testing for a Deterministic Trend When There is Evidence of Unit Root pp. 26: Daniel Ventosa-Santaulària and Manuel Gómez-Zaldívar
Estimation and Inference in Time Series with Omitted I(1) Variables pp. 28: Gerdie Everaert
Costationarity of Locally Stationary Time Series pp. 35: Alessandro Cardinali and Nason Guy P

Nonlinearity and Spatial Lag Dependence: Tests Based on Double-Length Regressions pp. 18: Dong Li and Canh Le
Has the Volatility of U.S. Inflation Changed and How? pp. 22: Stefano Grassi and Tommaso Proietti
Extended Fractional Gaussian Noise and Simple ARFIMA Approximations pp. 26: Man Kasing
The PCSE Estimator is Good -- Just Not As Good As You Think pp. 26: W. Reed and Webb Rachel
On Convergence of the QMLE for Misspecified GARCH Models pp. 31: Jensen Anders Tolver and Theis Lange
Signal Extraction Revision Variances as a Goodness-of-Fit Measure pp. 32: Tucker McElroy and Wildi Marc
Testing Unit Root Based on Partially Adaptive Estimation pp. 34: Luiz Lima and Zhijie Xiao
A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels pp. 38: J. Miller

Autoregression with Non-Gaussian Innovations pp. 18: Yuzhi Cai
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes pp. 30: Matei Demetrescu
Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions pp. 41: Alessio Sancetta and Nikandrova Arina

Selecting Instrumental Variables in a Data Rich Environment pp. 34: Serena Ng and Jushan Bai
Asymptotics of the QMLE for Non-Linear ARCH Models pp. 38: Dennis Kristensen and Anders Rahbek
Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities pp. 38: Basher Syed A. and Josep Carrion-i-Silvestre
The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series pp. 44: Christine Amsler, Peter Schmidt and Timothy Vogelsang
Statistical Fourier Analysis: Clarifications and Interpretations pp. 49: David Pollock