# Wiley Blackwell

# Journal of Time Series Analysis

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Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

**Current editor:**M.B. Priestley

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**Series handle:**repec:bla:jtsera

**ISSN:**0143-9782

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### 2008, Volume 29, Issue 6

**1088-1103 Fractional cointegration in the presence of linear trends***by*Uwe Hassler & Francesc Marmol & Carlos Velasco**1104-1131 Frequency estimation based on the cumulated Lomb-Scargle periodogram***by*C. Lévy-Leduc & E. Moulines & F. Roueff

### 2008, Volume 29, Issue 5

**741-761 An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints***by*Ignacio Arbués**762-782 On residual empirical processes of GARCH-SM models: application to conditional symmetry tests***by*Naâmane Laïb & Mohamed Lemdani & Elias Ould-Saïd**783-801 Local asymptotic normality and efficient estimation for INAR(p) models***by*Feike C. Drost & Ramon van den Akker & Bas J. M. Werker**802-810 The sampling properties of conditional independence graphs for I(1) structural VAR models***by*Granville Tunnicliffe Wilson & Marco Reale**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**834-867 Break Detection for a Class of Nonlinear Time Series Models***by*Richard A. Davis & Thomas C. M. Lee & Gabriel A. Rodriguez-Yam**868-880 A wavelet-Fisz approach to spectrum estimation***by*Piotr Fryzlewicz & Guy P. Nason & Rainer von Sachs**881-905 Assessing Time-Reversibility Under Minimal Assumptions***by*Zacharias Psaradakis**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

### 2008, Volume 29, Issue 4

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

### 2008, Volume 29, Issue 3

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

### 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

### 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

### 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

### 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

### 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 processes-super-1***by*Carlos Velasco

### 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

### 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

### 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

### 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 -super-®***by*Terence C. Mills

### 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

### 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

### 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

### 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

### 2006, Volume 27, Issue 1

**1-17 Properties of higher order stochastic cycles***by*Thomas M. Trimbur**19-39 Minimum alpha-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

### 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

### 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

### 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

### 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

### 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 Orregaard Nielsen**305-317 Assessing Persistence In Discrete Nonstationary Time-Series Models***by*B. P. M. McCabe & G. M. Martin & A. R. Tremayne

### 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 Lucia 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

### 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*Oscar 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

### 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

### 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