This file is part of IDEAS, which uses RePEc data

Blackwell Publishing

Journal of Time Series Analysis

Contact information of Blackwell Publishing:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782
Editor: M.B. Priestley
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:bla:jtsera

More pages of listings: 0|1

2008, Volume 29, Issue 6

947-972 Bootstrapping confidence intervals for the change-point of time series
by Marie Hušková & Claudia Kirch [Downloadable! (restricted)]
973-994 Maximum likelihood estimation of higher-order integer-valued autoregressive processes
by Ruijun Bu & Brendan McCabe & Kaddour Hadri [Downloadable! (restricted)]
995-1018 Subsampling in testing autocovariance for periodically correlated time series
by Łukasz Lenart & Jacek Leśkow & Rafał Synowiecki [Downloadable! (restricted)]
1019-1031 The exact discrete model of a system of linear stochastic differential equations driven by fractional noise
by Theodore Simos [Downloadable! (restricted)]
1032-1056 Nonlinear ARMA models with functional MA coefficients
by Hai-Bin Wang [Downloadable! (restricted)]
1057-1065 Outlier detection in ARMA models
by Hamid Louni [Downloadable! (restricted)]
1066-1087 Testing for a unit root under errors with just barely infinite variance
by Nikolaos Kourogenis & Nikitas Pittis [Downloadable! (restricted)]
1088-1103 Fractional cointegration in the presence of linear trends
by Uwe Hassler & Francesc Marmol & Carlos Velasco [Downloadable! (restricted)]
1104-1131 Frequency estimation based on the cumulated Lomb-Scargle periodogram
by C. Lévy-Leduc & E. Moulines & F. Roueff [Downloadable! (restricted)]

2008, Volume 29, Issue 5

741-761 An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints
by Ignacio Arbués [Downloadable! (restricted)]
762-782 On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
by Naâmane Laïb & Mohamed Lemdani & Elias Ould-Saïd [Downloadable! (restricted)]
783-801 Local asymptotic normality and efficient estimation for INAR(p) models
by Feike C. Drost & Ramon van den Akker & Bas J. M. Werker [Downloadable! (restricted)]
802-810 The sampling properties of conditional independence graphs for I(1) structural VAR models
by Granville Tunnicliffe Wilson & Marco Reale [Downloadable! (restricted)]
811-833 Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
by Jeongeun Kim & David S. Stoffer [Downloadable! (restricted)]
834-867 Break Detection for a Class of Nonlinear Time Series Models
by Richard A. Davis & Thomas C. M. Lee & Gabriel A. Rodriguez-Yam [Downloadable! (restricted)]
868-880 A wavelet-Fisz approach to spectrum estimation
by Piotr Fryzlewicz & Guy P. Nason & Rainer von Sachs [Downloadable! (restricted)]
881-905 Assessing Time-Reversibility Under Minimal Assumptions
by Zacharias Psaradakis [Downloadable! (restricted)]
906-945 Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
by Jean-Marc Bardet & Paul Doukhan & José Rafael León [Downloadable! (restricted)]

2008, Volume 29, Issue 4

619-628 Estimation of Parameters in the NLAR(p) Model
by Fukang Zhu & Dehui Wang [Downloadable! (restricted)]
629-652 Evaluating Specification Tests for Markov-Switching Time-Series Models
by Daniel R. Smith [Downloadable! (restricted)]
653-672 Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
by Mohamed Boutahar [Downloadable! (restricted)]
673-694 Statistical analysis of a spatio-temporal model with location-dependent parameters and a test for spatial stationarity
by Suhasini Subba Rao [Downloadable! (restricted)]
695-718 Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
by Peter Burridge & Daniela Hristova [Downloadable! (restricted)]
719-737 Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
by Emma M. Iglesias & Garry D. A. Phillips [Downloadable! (restricted)]
738-740 Book Review
by Joanne S. Ercolani [Downloadable! (restricted)]

2008, Volume 29, Issue 3

421-443 Tests against stationary and explosive alternatives in vector autoregressive models
by Niklas Ahlgren & Jukka Nyblom [Downloadable! (restricted)]
444-452 A superharmonic prior for the autoregressive process of the second-order
by Fuyuhiko Tanaka & Fumiyasu Komaki [Downloadable! (restricted)]
453-475 Stability of nonlinear AR-GARCH models
by Mika Meitz & Pentti Saikkonen [Downloadable! (restricted)]
476-500 Test for the null hypothesis of cointegration with reduced size distortion
by Eiji Kurozumi & Yoichi Arai [Downloadable! (restricted)]
501-512 Design of quadratic estimators using covariance information in linear discrete-time stochastic systems
by Seiichi Nakamori & Aurora Hermoso-Carazo & Josefa Linares-Pérez [Downloadable! (restricted)]
513-532 Improved inference for first-order autocorrelation using likelihood analysis
by M. Rekkas & Y. Sun & A. Wong [Downloadable! (restricted)]
533-554 A complete VARMA modelling methodology based on scalar components
by George Athanasopoulos & Farshid Vahid [Downloadable! (restricted)]
555-580 Using least squares to generate forecasts in regressions with serial correlation
by Sergio G. Koreisha & Yue Fang [Downloadable! (restricted)]
581-599 Large-scale volatility models: theoretical properties of professionals' practice
by Paolo Zaffaroni [Downloadable! (restricted)]
600-617 Portmanteau tests for ARMA models with infinite variance
by J.-W. Lin & A. I. McLeod [Downloadable! (restricted)]

2008, Volume 29, Issue 2

213-223 Improved Prediction Limits For AR(p) and ARCH(p) Processes
by Paul Kabaila & Khreshna Syuhada [Downloadable! (restricted)]
224-250 Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
by D. S. Poskitt [Downloadable! (restricted)]
251-263 Robust Estimation For Periodic Autoregressive Time Series
by Q. Shao [Downloadable! (restricted)]
264-299 Bootstrapping the Local Periodogram of Locally Stationary Processes
by Marios Sergides & Efstathios Paparoditis [Downloadable! (restricted)]
300-330 Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
by Giuseppe Cavaliere & A. M. Robert Taylor [Downloadable! (restricted)]
331-358 Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
by Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl [Downloadable! (restricted)]
359-370 An Improvement of the Portmanteau Statistic
by Naoya Katayama [Downloadable! (restricted)]
371-401 Bootstrap Unit-Root Tests: Comparison and Extensions
by Franz C. Palm & Stephan Smeekes & Jean-Pierre Urbain [Downloadable! (restricted)]
402-420 GQL Versus Conditional GQL Inferences for Non-Stationary Time Series of Counts with Overdispersion
by Taslim S. Mallick & Brajendra C. Sutradhar [Downloadable! (restricted)]

2008, Volume 29, Issue 1

1-13 Spectral measures of PARMA sequences
by Agnieszka Wyłomańska [Downloadable! (restricted)]
14-36 A light-tailed conditionally heteroscedastic model with applications to river flows
by Péter Elek & László Márkus [Downloadable! (restricted)]
37-50 Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms
by Monica Chiogna & Carlo Gaetan & Guido Masarotto [Downloadable! (restricted)]
51-73 Rank-based estimation for autoregressive moving average time series models
by Beth Andrews [Downloadable! (restricted)]
74-124 Duration time-series models with proportional hazard
by P. Gagliardini & C. Gourieroux [Downloadable! (restricted)]
125-141 Density estimation with locally identically distributed data and with locally stationary data
by Jussi Klemelä [Downloadable! (restricted)]
142-162 Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
by Nigar Hashimzade & Timothy J. Vogelsang [Downloadable! (restricted)]
163-185 Fractional integration and structural breaks at unknown periods of time
by Luis A. Gil-Alana [Downloadable! (restricted)]
186-202 Quantile self-exciting threshold autoregressive time series models
by Yuzhi Cai & Julian Stander [Downloadable! (restricted)]
203-212 Asymptotics for stationary very nearly unit root processes
by Donald W. K. Andrews & Patrik Guggenberger [Downloadable! (restricted)]

2007, Volume 28, Issue 6

793-806 A Test for Spectrum Flatness
by K. Drouiche [Downloadable! (restricted)]
807-826 Testing for Neglected Nonlinearity in Cointegrating Relationships
by Andrew P. Blake & George Kapetanios [Downloadable! (restricted)]
827-843 Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
by Wen-Jen Tsay [Downloadable! (restricted)]
844-866 Relative entropy and spectral constraints: some invariance properties of the ARMA class
by Valerie Girardin [Downloadable! (restricted)]
867-885 Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model
by Ginger M. Davis & Katherine B. Ensor [Downloadable! (restricted)]
886-909 Measuring the Advantages of Multivariate vs. Univariate Forecasts
by Daniel Peña & Ismael Sánchez [Downloadable! (restricted)]
910-922 Using the HEGY Procedure When Not All Roots Are Present
by Tomas del Barrio Castro [Downloadable! (restricted)]
923-942 Polynomial Cointegration Between Stationary Processes With Long Memory
by Marco Avarucci & Domenico Marinucci [Downloadable! (restricted)]

2007, Volume 28, Issue 5

629-645 State space models for time series with patches of unusual observations
by Jeremy Penzer [Downloadable! (restricted)]
646-665 Order Patterns in Time Series
by Chstoph Bandt & Faten Shiha [Downloadable! (restricted)]
666-685 Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
by Konstantinos Metaxoglou & Aaron Smith [Downloadable! (restricted)]
686-700 Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
by Amit Sen [Downloadable! (restricted)]
701-722 Temporal Aggregation and Bandwidth selection in estimating long memory
by Leonardo Rocha Souza [Downloadable! (restricted)]
723-743 Constructing Optimal tests on a Lagged dependent variable
by Patrick Marsh [Downloadable! (restricted)]
744-762 On Bayesian analysis of nonlinear continuous-time autoregression models
by O. Stramer & G. O. Roberts [Downloadable! (restricted)]
763-782 Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
by Mihaela Şerban & Anthony Brockwell & John Lehoczky & Sanjay Srivastava [Downloadable! (restricted)]
783-791 A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
by E. J. Godolphin & J. D. Godolphin [Downloadable! (restricted)]

2007, Volume 28, Issue 4

471-497 Effects of outliers on the identification and estimation of GARCH models
by M. Angeles Carnero & Daniel Peña & Esther Ruiz [Downloadable! (restricted)]
498-520 Embedding a Gaussian discrete-time autoregressive moving average process in a Gaussian continuous-time autoregressive moving average process
by Mituaki Huzii [Downloadable! (restricted)]
521-544 Contemporaneous aggregation of GARCH processes
by Paolo Zaffaroni [Downloadable! (restricted)]
545-575 Efficient estimation and inference in cointegrating regressions with structural change
by Eiji Kurozumi & Yoichi Arai [Downloadable! (restricted)]
576-599 Empirical likelihood confidence intervals for the mean of a long-range dependent process
by Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri [Downloadable! (restricted)]
600-627 The Periodogram of fractional processes-super-1
by Carlos Velasco [Downloadable! (restricted)]

2007, Volume 28, Issue 3

307-349 A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
by Javier Hidalgo [Downloadable! (restricted)]
350-360 A Note on Non-Negative Arma Processes
by Henghsiu Tsai & K. S. Chan [Downloadable! (restricted)]
361-385 Wiener-Kolmogorov Filtering and Smoothing for Multivariate Series With State-Space Structure
by Víctor Gómez [Downloadable! (restricted)]
386-407 Likelihood-based Analysis of a Class of Generalized Long-Memory Time Series Models
by A. E. Brockwell [Downloadable! (restricted)]
408-433 CUSUM of Squares-Based Tests for a Change in Persistence
by Stephen Leybourne & Robert Taylor & Tae-Hwan Kim [Downloadable! (restricted)]
434-453 Improvement of the quasi-likelihood ratio test in ARMA models: some results for bootstrap methods
by A. Canepa & L. G. Godfrey [Downloadable! (restricted)]
454-470 Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
by Christian Francq & Hamdi Raïssi [Downloadable! (restricted)]

2007, Volume 28, Issue 2

155-187 On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
by E. Moulines & F. Roueff & M. S. Taqqu [Downloadable! (restricted)]
188-224 New Improved Tests for Cointegration with Structural Breaks
by Joakim Westerlund & David L. Edgerton [Downloadable! (restricted)]
225-240 Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
by A. R. Soltani & M. Azimmohseni [Downloadable! (restricted)]
241-260 Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
by Daren B. H. Cline [Downloadable! (restricted)]
261-273 A Class of Antipersistent Processes
by Pascal Bondon & Wilfredo Palma [Downloadable! (restricted)]
274-306 Robust estimators under semi-parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection
by Ana Bianco & Graciela Boente [Downloadable! (restricted)]

2007, Volume 28, Issue 1

1-52 Identification of the multiscale fractional Brownian motion with biomechanical applications
by Jean-Marc Bardet & Pierre Bertrand [Downloadable! (restricted)]
53-71 Pooling-Based Data Interpolation and Backdating
by Massimiliano Marcellino [Downloadable! (restricted)]
72-91 High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
by Hao Yu [Downloadable! (restricted)]
92-110 MCMC for Integer-Valued ARMA processes
by Peter Neal & T. Subba Rao [Downloadable! (restricted)]
111-137 Residuals-based tests for the null of no-cointegration: an Analytical comparison
by Elena Pesavento [Downloadable! (restricted)]
138-153 ON M-Estimation Under Long-Range Dependence in Volatility
by Jan Beran [Downloadable! (restricted)]

2006, Volume 27, Issue 6

793-810 Optimal Detection of Exponential Component in Autoregressive Models
by Jelloul Allal & Saïd El Melhaoui [Downloadable! (restricted)]
811-829 Time Deformation, Continuous Euler Processes and Forecasting
by Chu-Ping C. Vijverberg [Downloadable! (restricted)]
831-841 Moving Average Representations for Multivariate Stationary Processes
by A. R. Soltani & M. Mohammadpour [Downloadable! (restricted)]
843-855 Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations
by Ahmed El Ghini & Christian Francq [Downloadable! (restricted)]
857-875 Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
by Qiwei Yao & Peter J. Brockwell [Downloadable! (restricted)]
877-910 Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape
by Elisabeth Gassiat & Céline Lévy-Leduc [Downloadable! (restricted)]
911-921 An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
by Wen-Den Chen [Downloadable! (restricted)]
923-942 Integer-Valued GARCH Process
by René Ferland & Alain Latour & Driss Oraichi [Downloadable! (restricted)]
943-944 Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel -super-®
by Terence C. Mills [Downloadable! (restricted)]

2006, Volume 27, Issue 5

637-669 Efficient Frequency Estimation from a Particular Almost Periodic Function with Application to Laser Vibrometry
by Céline Lévy-Leduc [Downloadable! (restricted)]
671-684 Spurious Regression Under Broken-Trend Stationarity
by Antonio E. Noriega & Daniel Ventosa-Santaulària [Downloadable! (restricted)]
685-701 Additive Outlier Detection Via Extreme-Value Theory
by Peter Burridge & A. M. Robert Taylor [Downloadable! (restricted)]
703-723 Tests for Long-Run Granger Non-Causality in Cointegrated Systems
by Taku Yamamoto & Eiji Kurozumi [Downloadable! (restricted)]
725-738 Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
by Rong Zhu & Harry Joe [Downloadable! (restricted)]
739-752 Power of a Unit-Root Test and the Initial Condition
by David I. Harvey & Stephen J. Leybourne [Downloadable! (restricted)]
753-766 Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
by Zacharias Psaradakis & Nicola Spagnolo [Downloadable! (restricted)]
767-791 On Hypotheses Testing for the Selection of Spatio-Temporal Models
by Ana Mónica C. Antunes & Tata Subba Rao [Downloadable! (restricted)]

2006, Volume 27, Issue 4

477-503 Structural Laplace Transform and Compound Autoregressive Models
by Serge Darolles & Christian Gourieroux & Joann Jasiak [Downloadable! (restricted)]
505-544 A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
by Chafik Bouhaddioui & Roch Roy [Downloadable! (restricted)]
545-576 Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
by Felipe Aparicio & Alvaro Escribano & Ana E. Sipols [Downloadable! (restricted)]
577-597 On a Mixture GARCH Time-Series Model
by Zhiqiang Zhang & Wai Keung Li & Kam Chuen Yuen [Downloadable! (restricted)]
599-612 Partial autocorrelation parameterization for subset autoregression
by A. I. McLeod & Y. Zhang [Downloadable! (restricted)]
613-636 Testing the Null of Co-integration in the Presence of Variance Breaks
by Giuseppe Cavaliere & A. M. Robert Taylor [Downloadable! (restricted)]

2006, Volume 27, Issue 3

323-345 Local Asymptotic Distributions of Stationarity Tests
by Nunzio Cappuccio & Diego Lubian [Downloadable! (restricted)]
347-365 Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
by Clive W. J. Granger & Yongil Jeon [Downloadable! (restricted)]
367-380 Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
by Zhengyuan Zhu & Murad S. Taqqu [Downloadable! (restricted)]
381-409 A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
by Ralf Becker & Walter Enders & Junsoo Lee [Downloadable! (restricted)]
411-440 Inference for pth-order random coefficient integer-valued autoregressive processes
by Haitao Zheng & Ishwar V. Basawa & Somnath Datta [Downloadable! (restricted)]
441-476 A Modified Nonparametric Prewhitened Covariance Estimator
by Masayuki Hirukawa [Downloadable! (restricted)]

2006, Volume 27, Issue 2

157-165 Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
by Y. Zhang & A. I. McLeod [Downloadable! (restricted)]
167-190 On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
by E. J. Godolphin & S. R. Bane [Downloadable! (restricted)]
191-209 Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
by Gabriel Pons [Downloadable! (restricted)]
211-251 Consistent estimation of the memory parameter for nonlinear time series
by Violetta Dalla & Liudas Giraitis & Javier Hidalgo [Downloadable! (restricted)]
253-287 Bernstein polynomial estimation of a spectral density
by Yoshihide Kakizawa [Downloadable! (restricted)]
289-308 Inference in Autoregression under Heteroskedasticity
by Peter C. B. Phillips & Ke-Li Xu [Downloadable! (restricted)]
309-322 Some Notes on Mutual Information Between Past and Future
by Lei M. Li [Downloadable! (restricted)]

2006, Volume 27, Issue 1

1-17 Properties of higher order stochastic cycles
by Thomas M. Trimbur [Downloadable! (restricted)]
19-39 Minimum alpha-divergence estimation for arch models
by S. Ajay Chandra & Masanobu Taniguchi [Downloadable! (restricted)]
41-50 The effect of observations on Bayesian choice of an autoregressive model
by K. D. S. Young & L. I. Pettit [Downloadable! (restricted)]
51-60 Uniform Limit Theory for Stationary Autoregression
by Liudas Giraitis & Peter C. B. Phillips [Downloadable! (restricted)]
61-76 Estimation in Random Coefficient Autoregressive Models
by Alexander Aue & Lajos Horváth & Josef Steinebach [Downloadable! (restricted)]
77-97 An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
by J. C. Jimenez & T. Ozaki [Downloadable! (restricted)]
99-117 Bayesian Model Uncertainty In Smooth Transition Autoregressions
by Hedibert F. Lopes & Esther Salazar [Downloadable! (restricted)]
119-128 Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
by Richard Luger [Downloadable! (restricted)]
129-139 A Shrinked Forecast in Stationary Processes Favouring Percentage Error
by Heungsun Park & Key-Il Shin [Downloadable! (restricted)]
141-156 A Bayesian Approach to Modelling Graphical Vector Autoregressions
by Jukka Corander & Mattias Villani [Downloadable! (restricted)]

2005, Volume 26, Issue 6

789-805 Stationary Autoregressive Models via a Bayesian Nonparametric Approach
by Ramsés H. Mena & Stephen G. Walker [Downloadable! (restricted)]
807-824 Explosive Random-Coefficient AR(1) Processes and Related Asymptotics for Least-Squares Estimation
by S. Y. Hwang & I. V. Basawa [Downloadable! (restricted)]
825-842 Maximum Likelihood Estimation for a First-Order Bifurcating Autoregressive Process with Exponential Errors
by J. Zhou & I. V. Basawa [Downloadable! (restricted)]
843-862 On Parameter Estimation for Exponential Dispersion Arma Models
by Peter X.-K. Song & Dingan Feng [Downloadable! (restricted)]
863-892 Efficient Estimation of Seasonal Long-Range-Dependent Processes
by Wilfredo Palma & Ngai Hang Chan [Downloadable! (restricted)]
893-916 Bootstrap Approximation to Prediction MSE for State-Space Models with Estimated Parameters
by Danny Pfeffermann & Richard Tiller [Downloadable! (restricted)]
917-942 Random Walks with Drift - A Sequential Approach
by Ansgar Steland [Downloadable! (restricted)]

2005, Volume 26, Issue 5

631-668 Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs
by Dietmar Bauer [Downloadable! (restricted)]
669-689 Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
by Eckhard Liebscher [Downloadable! (restricted)]
691-713 Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes
by Henghsiu Tsai & K. S. Chan [Downloadable! (restricted)]
715-741 Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models
by Arie Preminger & David Wettstein [Downloadable! (restricted)]
743-757 Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
by Hai-Bin Wang [Downloadable! (restricted)]
759-778 On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence
by A. M. Robert Taylor [Downloadable! (restricted)]

2005, Volume 26, Issue 4

489-518 Parameter Estimation for Periodically Stationary Time Series
by Paul L. Anderson & Mark M. Meerschaert [Downloadable! (restricted)]
519-525 Influence of Missing Values on the Prediction of a Stationary Time Series
by Pascal Bondon [Downloadable! (restricted)]
527-541 The Effect of the Estimation on Goodness-of-Fit Tests in Time Series Models
by Yue Fang [Downloadable! (restricted)]
543-568 Testing the Fit of a Vector Autoregressive Moving Average Model
by Efstathios Paparoditis [Downloadable! (restricted)]
569-579 Mixed Portmanteau Tests for Time-Series Models
by Heung Wong & Shiqing Ling [Downloadable! (restricted)]
581-611 Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series
by J. Arteche & C. Velasco [Downloadable! (restricted)]
613-624 Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes
by Henghsiu Tsai & K. S. Chan [Downloadable! (restricted)]

2005, Volume 26, Issue 3

323-354 Polynomial Trend Regression With Long-memory Errors
by Hwai-Chung Ho & Nan-Jung Hsu [Downloadable! (restricted)]
355-369 Examination of Some More Powerful Modifications of the Dickey-Fuller Test
by Stephen Leybourne & Tae-Hwan Kim & Paul Newbold [Downloadable! (restricted)]
371-397 Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints
by R. J. Biscay & Marc Lavielle & Carenne Ludeña [Downloadable! (restricted)]
399-421 Extreme Spectra of Var Models and Orders of Near-Cointegration
by E. E. Ioannidis & G. A. Chronis [Downloadable! (restricted)]
423-435 Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
by Sophie Lambert-Lacroix [Downloadable! (restricted)]
437-462 Implicit Bayesian Inference Using Option Prices
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin [Downloadable! (restricted)]
463-486 Fractional Invariance Principle
by Yuzo Hosoya [Downloadable! (restricted)]

2005, Volume 26, Issue 2

157-183 A Note on the Specification and Estimation of ARMAX Systems
by D. S. Poskitt [Downloadable! (restricted)]
185-210 Blockwise empirical entropy tests for time series regressions
by Francesco Bravo [Downloadable! (restricted)]
211-249 Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations
by Stilian Stoev & Murad S. Taqqu [Downloadable! (restricted)]
251-278 Local Likelihood for non-parametric ARCH(1) models
by Francesco Audrino [Downloadable! (restricted)]
279-304 Semiparametric Estimation in Time-Series Regression with Long-Range Dependence
by Morten Orregaard Nielsen [Downloadable! (restricted)]
305-317 Assessing Persistence In Discrete Nonstationary Time-Series Models
by B. P. M. McCabe & G. M. Martin & A. R. Tremayne [Downloadable! (restricted)]

2005, Volume 26, Issue 1

1-16 Large sample properties of spectral estimators for a class of stationary nonlinear processes
by Kamal C. Chanda [Downloadable! (restricted)]
17-36 Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
by Maria Eduarda Silva & Vera Lucia Oliveira [Downloadable! (restricted)]
37-48 Estimating the Rank of the Spectral Density Matrix
by Gonzalo Camba-Mendez & George Kapetanios [Downloadable! (restricted)]
49-81 Robust and powerful serial correlation tests with new robust estimates in ARX models
by Pierre Duchesne [Downloadable! (restricted)]
83-105 Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series
by Marc Hallin & Abdessamad Saidi [Downloadable! (restricted)]
107-121 Outlier Detection And Estimation In NonLinear Time Series
by Francesco Battaglia & Lia Orfei [Downloadable! (restricted)]
123-133 Unit-root testing against the alternative hypothesis of up to m structural breaks
by George Kapetanios [Downloadable! (restricted)]
135-150 Testing for EGARCH Against Stochastic Volatility Models
by Masahito Kobayashi & Xiuhong Shi [Downloadable! (restricted)]

2004, Volume 25, Issue 6

785-809 Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes
by J. Vermaak & C. Andrieu & A. Doucet & S. J. Godsill [Downloadable! (restricted)]
811-830 On The Peña-Box Model
by Yu-Pin Hu & Rouh-Jane Chou [Downloadable! (restricted)]
831-872 Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series
by Vidar Hjellvik & Rong Chen & Dag Tjøstheim [Downloadable! (restricted)]
873-894 Time-scale transformations of discrete time processes
by Oscar Jordà & Massimiliano Marcellino [Downloadable! (restricted)]
895-922 Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models
by Mark J. Jensen [Downloadable! (restricted)]
923-941 A Joint Regression Variable and Autoregressive Order Selection Criterion
by Peide Shi & Chih-Ling Tsai [Downloadable! (restricted)]

2004, Volume 25, Issue 5

627-648 An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
by André Klein & Guy Mélard [Downloadable! (restricted)]
649-669 A Dependence Metric for Possibly Nonlinear Processes
by C. W. Granger & E. Maasoumi & J. Racine [Downloadable! (restricted)]
671-690 Bayesian Subset Model Selection for Time Series
by N. K. Unnikrishnan [Downloadable! (restricted)]
691-700 A joint test of fractional integration and structural breaks at a known period of time
by Luis A. Gil-Alana [Downloadable! (restricted)]
701-722 Analysis of low count time series data by poisson autoregression
by R. K. Freeland & B. P. M. McCabe [Downloadable! (restricted)]
723-732 Maximum quasi-likelihood estimation for the near(2) model
by S. Perera [Downloadable! (restricted)]
733-753 Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
by Offer Lieberman & Peter C. B. Phillips [Downloadable! (restricted)]
755-764 Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification
by Tae-Hwan Kim & Stephen Leybourne & Paul Newbold [Downloadable! (restricted)]
765-783 Large sample properties of parameter least squares estimates for time-varying arma models
by Christian Francq & Antony Gautier [Downloadable! (restricted)]

2004, Volume 25, Issue 4

443-448 On the closed form of the covariance matrix and its inverse of the causal ARMA process
by John N. Haddad [Downloadable! (restricted)]
449-465 Bootstrap predictive inference for ARIMA processes
by Lorenzo Pascual & Juan Romo & Esther Ruiz [Downloadable! (restricted)]

More pages of listings: 0|1

Access and download statistics

Did you know? You too can volunteer for RePEc, for example by editing a NEP report.

This page was last updated on 2008-11-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.