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Content
May 2008, Volume 29, Issue 3
- 600-617 Portmanteau tests for ARMA models with infinite variance
by J.‐W. Lin & A. I. McLeod
March 2008, Volume 29, Issue 2
- 213-223 Improved Prediction Limits For AR(p) and ARCH(p) Processes
by Paul Kabaila & Khreshna Syuhada - 224-250 Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes
by D. S. Poskitt - 251-263 Robust Estimation For Periodic Autoregressive Time Series
by Q. Shao - 264-299 Bootstrapping the Local Periodogram of Locally Stationary Processes
by Marios Sergides & Efstathios Paparoditis - 300-330 Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
by Giuseppe Cavaliere & A. M. Robert Taylor - 331-358 Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
by Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl - 359-370 An Improvement of the Portmanteau Statistic
by Naoya Katayama - 371-401 Bootstrap Unit‐Root Tests: Comparison and Extensions
by Franz C. Palm & Stephan Smeekes & Jean‐Pierre Urbain - 402-420 GQL Versus Conditional GQL Inferences for Non‐Stationary Time Series of Counts with Overdispersion
by Taslim S. Mallick & Brajendra C. Sutradhar
January 2008, Volume 29, Issue 1
- 1-13 Spectral measures of PARMA sequences
by Agnieszka Wyłomańska - 14-36 A light‐tailed conditionally heteroscedastic model with applications to river flows
by Péter Elek & László Márkus - 37-50 Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms
by Monica Chiogna & Carlo Gaetan & Guido Masarotto - 51-73 Rank‐based estimation for autoregressive moving average time series models
by Beth Andrews - 74-124 Duration time‐series models with proportional hazard
by P. Gagliardini & C. Gourieroux - 125-141 Density estimation with locally identically distributed data and with locally stationary data
by Jussi Klemelä - 142-162 Fixed‐b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
by Nigar Hashimzade & Timothy J. Vogelsang - 163-185 Fractional integration and structural breaks at unknown periods of time
by Luis A. Gil‐Alana - 186-202 Quantile self‐exciting threshold autoregressive time series models
by Yuzhi Cai & Julian Stander - 203-212 Asymptotics for stationary very nearly unit root processes
by Donald W. K. Andrews & Patrik Guggenberger
November 2007, Volume 28, Issue 6
- 793-806 A Test for Spectrum Flatness
by K. Drouiche - 807-826 Testing for Neglected Nonlinearity in Cointegrating Relationships
by Andrew P. Blake & George Kapetanios - 827-843 Using Difference‐Based Methods for Inference in Regression with Fractionally Integrated Processes
by Wen‐Jen Tsay - 844-866 Relative entropy and spectral constraints: some invariance properties of the ARMA class
by Valerie Girardin - 867-885 Multivariate Time‐Series Analysis With Categorical and Continuous Variables in an Lstr Model
by Ginger M. Davis & Katherine B. Ensor - 886-909 Measuring the Advantages of Multivariate vs. Univariate Forecasts
by Daniel Peña & Ismael Sánchez - 910-922 Using the HEGY Procedure When Not All Roots Are Present
by Tomas del Barrio Castro - 923-942 Polynomial Cointegration Between Stationary Processes With Long Memory
by Marco Avarucci & Domenico Marinucci
September 2007, Volume 28, Issue 5
- 629-645 State space models for time series with patches of unusual observations
by Jeremy Penzer - 646-665 Order Patterns in Time Series
by Chstoph Bandt & Faten Shiha - 666-685 Maximum Likelihood Estimation of VARMA Models Using a State‐Space EM Algorithm
by Konstantinos Metaxoglou & Aaron Smith - 686-700 Joint Hypothesis Tests for a Unit Root When There is a Break in the Innovation Variance
by Amit Sen - 701-722 Temporal Aggregation and Bandwidth selection in estimating long memory
by Leonardo Rocha Souza - 723-743 Constructing Optimal tests on a Lagged dependent variable
by Patrick Marsh - 744-762 On Bayesian analysis of nonlinear continuous‐time autoregression models
by O. Stramer & G. O. Roberts - 763-782 Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
by Mihaela ŞErban & Anthony Brockwell & John Lehoczky & Sanjay Srivastava - 783-791 A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving‐Average Models
by E. J. Godolphin & J. D. Godolphin
July 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 - 498-520 Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process
by Mituaki Huzii - 521-544 Contemporaneous aggregation of GARCH processes
by Paolo Zaffaroni - 545-575 Efficient estimation and inference in cointegrating regressions with structural change
by Eiji Kurozumi & Yoichi Arai - 576-599 Empirical likelihood confidence intervals for the mean of a long‐range dependent process
by Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri - 600-627 The Periodogram of fractional processes1
by Carlos Velasco
May 2007, Volume 28, Issue 3
- 307-349 A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
by Javier Hidalgo - 350-360 A Note on Non‐Negative Arma Processes
by Henghsiu Tsai & K. S. Chan - 361-385 Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure
by Víctor Gómez - 386-407 Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
by A. E. Brockwell - 408-433 CUSUM of Squares‐Based Tests for a Change in Persistence
by Stephen Leybourne & Robert Taylor & Tae‐Hwan Kim - 434-453 Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods
by A. Canepa & L. G. Godfrey - 454-470 Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
by Christian Francq & Hamdi Raïssi
March 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 - 188-224 New Improved Tests for Cointegration with Structural Breaks
by Joakim Westerlund & David L. Edgerton - 225-240 Simulation of Real‐Valued Discrete‐Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
by A. R. Soltani & M. Azimmohseni - 241-260 Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models
by Daren B. H. Cline - 261-273 A Class of Antipersistent Processes
by Pascal Bondon & Wilfredo Palma - 274-306 Robust estimators under semi‐parametric partly linear autoregression: Asymptotic behaviour and bandwidth selection
by Ana Bianco & Graciela Boente
January 2007, Volume 28, Issue 1
- 1-52 Identification of the multiscale fractional Brownian motion with biomechanical applications
by Jean‐Marc Bardet & Pierre Bertrand - 53-71 Pooling‐Based Data Interpolation and Backdating
by Massimiliano Marcellino - 72-91 High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
by Hao Yu - 92-110 MCMC for Integer‐Valued ARMA processes
by Peter Neal & T. Subba Rao - 111-137 Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
by Elena Pesavento - 138-153 ON M‐Estimation Under Long‐Range Dependence in Volatility
by Jan Beran
November 2006, Volume 27, Issue 6
- 793-810 Optimal Detection of Exponential Component in Autoregressive Models
by Jelloul Allal & Saïd El Melhaoui - 811-829 Time Deformation, Continuous Euler Processes and Forecasting
by Chu‐Ping C. Vijverberg - 831-841 Moving Average Representations for Multivariate Stationary Processes
by A. R. Soltani & M. Mohammadpour - 843-855 Asymptotic Relative Efficiency of Goodness‐Of‐Fit Tests Based on Inverse and Ordinary Autocorrelations
by Ahmed El Ghini & Christian Francq - 857-875 Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
by Qiwei Yao & Peter J. Brockwell - 877-910 Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape
by Elisabeth Gassiat & Céline Lévy‐Leduc - 911-921 An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
by Wen‐Den Chen - 923-942 Integer‐Valued GARCH Process
by René Ferland & Alain Latour & Driss Oraichi - 943-944 Introductory Econometrics: Using Monte Carlo Simulation with Microsoft Excel ®
by Terence C. Mills
September 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 - 671-684 Spurious Regression Under Broken‐Trend Stationarity
by Antonio E. Noriega & Daniel Ventosa‐Santaulària - 685-701 Additive Outlier Detection Via Extreme‐Value Theory
by Peter Burridge & A. M. Robert Taylor - 703-723 Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems
by Taku Yamamoto & Eiji Kurozumi - 725-738 Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
by Rong Zhu & Harry Joe - 739-752 Power of a Unit‐Root Test and the Initial Condition
by David I. Harvey & Stephen J. Leybourne - 753-766 Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
by Zacharias Psaradakis & Nicola Spagnolo - 767-791 On Hypotheses Testing for the Selection of Spatio‐Temporal Models
by Ana Mónica C. Antunes & Tata Subba Rao
July 2006, Volume 27, Issue 4
- 477-503 Structural Laplace Transform and Compound Autoregressive Models
by Serge Darolles & Christian Gourieroux & Joann Jasiak - 505-544 A Generalized Portmanteau Test For Independence Of Two Infinite‐Order Vector Autoregressive Series
by Chafik Bouhaddioui & Roch Roy - 545-576 Range Unit‐Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
by Felipe Aparicio & Alvaro Escribano & Ana E. Sipols - 577-597 On a Mixture GARCH Time‐Series Model
by Zhiqiang Zhang & Wai Keung Li & Kam Chuen Yuen - 599-612 Partial autocorrelation parameterization for subset autoregression
by A. I. McLeod & Y. Zhang - 613-636 Testing the Null of Co‐integration in the Presence of Variance Breaks
by Giuseppe Cavaliere & A. M. Robert Taylor
May 2006, Volume 27, Issue 3
- 323-345 Local Asymptotic Distributions of Stationarity Tests
by Nunzio Cappuccio & Diego Lubian - 347-365 Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
by Clive W. J. Granger & Yongil Jeon - 367-380 Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
by Zhengyuan Zhu & Murad S. Taqqu - 381-409 A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks
by Ralf Becker & Walter Enders & Junsoo Lee - 411-440 Inference for pth‐order random coefficient integer‐valued autoregressive processes
by Haitao Zheng & Ishwar V. Basawa & Somnath Datta - 441-476 A Modified Nonparametric Prewhitened Covariance Estimator
by Masayuki Hirukawa
March 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 - 167-190 On the Evaluation of the Information Matrix for Multiplicative Seasonal Time‐Series Models
by E. J. Godolphin & S. R. Bane - 191-209 Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information
by Gabriel Pons - 211-251 Consistent estimation of the memory parameter for nonlinear time series
by Violetta Dalla & Liudas Giraitis & Javier Hidalgo - 253-287 Bernstein polynomial estimation of a spectral density
by Yoshihide Kakizawa - 289-308 Inference in Autoregression under Heteroskedasticity
by Peter C. B. Phillips & Ke‐Li Xu - 309-322 Some Notes on Mutual Information Between Past and Future
by Lei M. Li
January 2006, Volume 27, Issue 1
- 1-17 Properties of higher order stochastic cycles
by Thomas M. Trimbur - 19-39 Minimum α‐divergence estimation for arch models
by S. Ajay Chandra & Masanobu Taniguchi - 41-50 The effect of observations on Bayesian choice of an autoregressive model
by K. D. S. Young & L. I. Pettit - 51-60 Uniform Limit Theory for Stationary Autoregression
by Liudas Giraitis & Peter C. B. Phillips - 61-76 Estimation in Random Coefficient Autoregressive Models
by Alexander Aue & Lajos Horváth & Josef Steinebach - 77-97 An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
by J. C. Jimenez & T. Ozaki - 99-117 Bayesian Model Uncertainty In Smooth Transition Autoregressions
by Hedibert F. Lopes & Esther Salazar - 119-128 Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
by Richard Luger - 129-139 A Shrinked Forecast in Stationary Processes Favouring Percentage Error
by Heungsun Park & Key‐Il Shin - 141-156 A Bayesian Approach to Modelling Graphical Vector Autoregressions
by Jukka Corander & Mattias Villani
November 2005, Volume 26, Issue 6
- 789-805 Stationary Autoregressive Models via a Bayesian Nonparametric Approach
by Ramsés H. Mena & Stephen G. Walker - 807-824 Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
by S. Y. Hwang & I. V. Basawa - 825-842 Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
by J. Zhou & I. V. Basawa - 843-862 On Parameter Estimation for Exponential Dispersion Arma Models
by Peter X.‐K. Song & Dingan Feng - 863-892 Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
by Wilfredo Palma & Ngai Hang Chan - 893-916 Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
by Danny Pfeffermann & Richard Tiller - 917-942 Random Walks with Drift – A Sequential Approach
by Ansgar Steland
September 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 - 669-689 Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
by Eckhard Liebscher - 691-713 Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
by Henghsiu Tsai & K. S. Chan - 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 - 743-757 Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
by Hai‐Bin Wang - 759-778 On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
by A. M. Robert Taylor - 779-780 Book Reviews
by Robert H. Shumway - 780-782 Book Reviews
by C. T. J. Dodson - 782-783 Book Reviews
by Terence C. Mills - 783-784 Book Reviews
by Richard E. Chandler - 784-785 Book Reviews
by Mohsen Pourahmadi - 786-786 Book Reviews
by Gyorgy Terdik
July 2005, Volume 26, Issue 4
- 489-518 Parameter Estimation for Periodically Stationary Time Series
by Paul L. Anderson & Mark M. Meerschaert - 519-525 Influence of Missing Values on the Prediction of a Stationary Time Series
by Pascal Bondon - 527-541 The Effect of the Estimation on Goodness‐of‐Fit Tests in Time Series Models
by Yue Fang - 543-568 Testing the Fit of a Vector Autoregressive Moving Average Model
by Efstathios Paparoditis - 569-579 Mixed Portmanteau Tests for Time‐Series Models
by Heung Wong & Shiqing Ling - 581-611 Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
by J. Arteche & C. Velasco - 613-624 Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
by Henghsiu Tsai & K. S. Chan - 625-626 Book Review: The Estimation and Tracking of Frequency
by P. Whittle - 626-627 Book Review: Seasonal Adjustment with the X‐11 Method
by G. Janacek - 627-628 Book Review: Measuring Business Cycles in Economic Time Series
by G. Janacek - 628-629 Book Review: Advanced Linear Modelling
by T. Subba Rao
May 2005, Volume 26, Issue 3
- 323-354 Polynomial Trend Regression With Long‐memory Errors
by Hwai‐Chung Ho & Nan‐Jung Hsu - 355-369 Examination of Some More Powerful Modifications of the Dickey–Fuller Test
by Stephen Leybourne & Tae‐Hwan Kim & Paul Newbold - 371-397 Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints
by R. J. Biscay & Marc Lavielle & Carenne Ludeña - 399-421 Extreme Spectra of Var Models and Orders of Near‐Cointegration
by E. E. Ioannidis & G. A. Chronis - 423-435 Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
by Sophie Lambert‐Lacroix - 437-462 Implicit Bayesian Inference Using Option Prices
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin - 463-486 Fractional Invariance Principle
by Yuzo Hosoya - 487-488 Book Review
by Paul Fearnhead
March 2005, Volume 26, Issue 2
- 157-183 A Note on the Specification and Estimation of ARMAX Systems
by D. S. Poskitt - 185-210 Blockwise empirical entropy tests for time series regressions
by Francesco Bravo - 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 - 251-278 Local Likelihood for non‐parametric ARCH(1) models
by Francesco Audrino - 279-304 Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
by Morten Ørregaard Nielsen - 305-317 Assessing Persistence In Discrete Nonstationary Time‐Series Models
by B. P. M. McCabe & G. M. Martin & A. R. Tremayne - 319-321 The Econometric Analysis of Seasonal Time Series
by Philip Hans Franses
January 2005, Volume 26, Issue 1
- 1-16 Large sample properties of spectral estimators for a class of stationary nonlinear processes
by Kamal C. Chanda - 17-36 Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
by Maria Eduarda Silva & Vera Lúcia Oliveira - 37-48 Estimating the Rank of the Spectral Density Matrix
by Gonzalo Camba‐Mendez & George Kapetanios - 49-81 Robust and powerful serial correlation tests with new robust estimates in ARX models
by Pierre Duchesne - 83-105 Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
by Marc Hallin & Abdessamad Saidi - 107-121 Outlier Detection And Estimation In NonLinear Time Series
by Francesco Battaglia & Lia Orfei - 123-133 Unit‐root testing against the alternative hypothesis of up to m structural breaks
by George Kapetanios - 135-150 Testing for EGARCH Against Stochastic Volatility Models
by Masahito Kobayashi & Xiuhong Shi - 151-152 Book Reviews 1
by Barry Quinn
November 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 - 811-830 On The Peña–Box Model
by Yu‐Pin Hu & Rouh‐Jane Chou - 831-872 Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series
by Vidar Hjellvik & Rong Chen & Dag Tjøstheim - 873-894 Time‐scale transformations of discrete time processes
by Òscar Jordà & Massimiliano Marcellino - 895-922 Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
by Mark J. Jensen - 923-941 A Joint Regression Variable and Autoregressive Order Selection Criterion
by Peide Shi & Chih‐Ling Tsai
September 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 - 649-669 A Dependence Metric for Possibly Nonlinear Processes
by C. W. Granger & E. Maasoumi & J. Racine - 671-690 Bayesian Subset Model Selection for Time Series
by N. K. Unnikrishnan - 691-700 A joint test of fractional integration and structural breaks at a known period of time
by Luis A. Gil‐Alana - 701-722 Analysis of low count time series data by poisson autoregression
by R. K. Freeland & B. P. M. McCabe - 723-732 Maximum quasi‐likelihood estimation for the near(2) model
by S. Perera - 733-753 Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
by Offer Lieberman & Peter C. B. Phillips - 755-764 Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
by Tae‐Hwan Kim & Stephen Leybourne & Paul Newbold - 765-783 Large sample properties of parameter least squares estimates for time‐varying arma models
by Christian Francq & Antony Gautier
July 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 - 449-465 Bootstrap predictive inference for ARIMA processes
by Lorenzo Pascual & Juan Romo & Esther Ruiz - 467-482 Bayesian selection of threshold autoregressive models
by Edward P. Campbell - 483-499 Estimation and testing for the parameters of ARCH(q) under ordered restriction
by Dehui Wang & Lixin Song & Ningzhong Shi - 501-528 On testing for separable correlations of multivariate time series
by Yasumasa Matsuda & Yoshihiro Yajima - 529-550 Analysis of the correlation structure of square time series
by Wilfredo Palma & Mauricio Zevallos - 551-561 Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
by Taiyeong Lee & David A. Dickey - 563-582 Kernel deconvolution of stochastic volatility models
by Fabienne Comte - 583-602 Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
by Tae‐Hwan Kim & Stephen J. Leybourne & Paul Newbold - 603-623 Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
by William R. Bell & Donald E. K. Martin
May 2004, Volume 25, Issue 3
- 317-333 Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
by Maria Eduarda Da Silva & Vera Lúcia Oliveira - 335-350 Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
by Georges Oppenheim & Marie‐Claude Viano - 351-358 The adjustment of prediction intervals to account for errors in parameter estimation
by Paul Kabaila & Zhisong He - 359-372 Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
by Qin Shao & Robert Lund - 373-395 Goodness‐of‐fit tests of normality for the innovations in ARMA models
by Gilles R. Ducharme & Pierre Lafaye de Micheaux - 397-407 A Note on the Filtering for Some Time Series Models
by S. Peiris & A. Thavaneswaran - 409-417 Asymmetric adjustment and smooth transitions: a combination of some unit root tests
by Robert Sollis - 419-441 Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
by P. W. Fong & W. K. Li
March 2004, Volume 25, Issue 2
- 159-172 Some comments on specification tests in nonparametric absolutely regular processes
by Holger Dette & Ingrid Spreckelsen - 173-197 Partial Likelihood Inference For Time Series Following Generalized Linear Models
by Konstantinos Fokianos & Benjamin Kedem - 199-216 Kernel matching scheme for block bootstrap of time series data
by Tae Yoon Kim & Sun Young Hwang