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Content
January 2006, Volume 27, Issue 1
- 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 - 217-234 Subsampling the mean of heavy‐tailed dependent observations
by Piotr Kokoszka & Michael Wolf - 235-250 A class of modified high‐order autoregressive models with improved resolution of low‐frequency cycles
by Alex S. Morton & Granville Tunnicliffe‐Wilson - 251-263 Inference for Autocorrelations in the Possible Presence of a Unit Root
by Dimitris N. Politis & Joseph P. Romano & Michael Wolf - 265-282 On the Autocorrelation Properties of Long‐Memory GARCH Processes
by Menelaos Karanasos & Zacharias Psaradakis & Martin Sola - 283-299 M‐Estimation for regressions with integrated regressors and arma errors
by Dong Wan Shin & Oesook Lee - 301-313 Assessment of Local Influence in GARCH Processes
by Xibin Zhang - 315-316 Book review
by Terence C. Mills
January 2004, Volume 25, Issue 1
- 1-25 Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
by Stelios Arvanitis & Antonis Demos - 27-32 Error Correction Models for Fractionally Cointegrated Time Series
by Ingolf Dittmann - 33-53 Seasonal Unit Root Tests Under Structural Breaks
by Uwe Hassler & Paulo M. M. Rodrigues - 55-81 Estimation of the location and exponent of the spectral singularity of a long memory process
by Javier Hidalgo & Philippe Soulier - 83-101 Improvement of the Likelihood Ratio Test Statistic in ARMA Models
by Bernardo M. Lagos & Pedro A. Morettin - 103-125 The Stationary Marginal Distribution of a Threshold AR(1) Process
by Wilfried Loges - 127-135 A small‐sample overlapping variance‐ratio test
by Y. K. Tse & K. W. Ng & Xibin Zhang - 137-154 Improved prediction intervals for stochastic process models
by Paolo Vidoni - 155-157 Book Reviews
by B. L. S. Prakasa Rao - 157-157 Book Reviews
by M. B. Priestley - 157-158 Book Reviews
by T. Subba Rao
November 2003, Volume 24, Issue 6
- 631-646 A Bayesian Approach to Event Prediction
by M. Antunes & M. A. Amaral Turkman & K. F. Turkman - 647-662 Rank Based Dickey–Fuller Test Statistics
by Stergios B. Fotopoulos & Sung K. Ahn - 663-678 The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
by Søren Johansen - 679-703 A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes
by Takeshi Kato & Elias Masry - 705-720 Distribution of the estimated lyapunov exponents from noisy chaotic time series
by Dejian Lai & Guanrong Chen - 721-738 Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System
by Yuichi Nagahara - 739-754 Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
by B. Tarami & M. Pourahmadi
September 2003, Volume 24, Issue 5
- 505-511 Simulating a class of stationary Gaussian processes using the Davies–Harte algorithm, with application to long memory processes
by Peter F. Craigmile - 513-527 Decomposition of Time Series Dynamic Linear Models
by E. J. G Odolphin & S. E. Johnson - 539-551 Testing for Linear Trend with Application to Relative Primary Commodity Prices
by Tae‐Hwan Kim & Stephan Pfaffenzeller & Tony Rayner & Paul Newbold - 553-577 Tests for non‐correlation of two cointegrated ARMA time series
by Dinh Tuan Pham & Roch Roy & Lyne Cédras - 579-590 Extremes of Some Sub‐Sampled Time Series
by M. G. Scotto & K. F. Turkman & C. W. Anderson - 591-612 Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
by A. M. Robert Taylor - 613-629 A note on estimation by least squares for harmonic component models
by A. M. Walker
July 2003, Volume 24, Issue 4
- 379-400 A Sieve Bootstrap For The Test Of A Unit Root
by Yoosoon Chang & Joon Y. Park - 401-422 On Estimating Conditional Mean‐Squared Prediction Error in Autoregressive Models
by Ching‐Kang Ing & Shu‐Hui Yu - 423-439 Reducing size distortions of parametric stationarity tests
by Markku Lanne & Pentti Saikkonen - 441-460 Seasonal Unit Root Tests Based on Forward and Reverse Estimation
by Stephen Leybourne & A. M. Robert Taylor - 461-482 Diagnostic Checking in a Flexible Nonlinear Time Series Model
by Marcelo C. Medeiros & Alvaro Veiga - 483-504 Testing Composite Hypotheses for Locally Stationary Processes
by Kenji Sakiyama & Masanobu Taniguchi
May 2003, Volume 24, Issue 3
- 253-267 Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
by Andrew P. Blake & George Kapetanios - 269-282 Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals
by Malay Ghosh & Jungeun Heo - 283-309 First‐Order Autoregressive Processes with Heterogeneous Persistence
by Joann Jasiak - 311-335 Testing Serial Correlation in Semiparametric Time Series Models
by Dingding Li & Thanasis Stengos - 337-344 Likelihood analysis of a first‐order autoregressive model with exponential innovations
by B. Nielsen & N. Shephard - 345-378 Gaussian Semi‐parametric Estimation of Fractional Cointegration
by Carlos Velasco
March 2003, Volume 24, Issue 2
- 127-136 Estimating The Arch Parameters By Solving Linear Equations
by Arup Bose & Kanchan Mukherjee - 137-140 Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points
by Fabio Busetti & Andrew Harvey - 141-148 Smoothing With An Unknown Initial Condition
by Piet De Jong & Singfat Chu‐Chun‐Lin - 149-158 Dynamic State‐Space Models
by Wensheng Guo - 159-164 A Note On Busetti–Harvey Tests For Stationarity In Series With Structural Breaks
by David I. Harvey & Terence C. Mills - 165-172 Generalized Least Squares Estimation Of Arma Models
by L. Kavalieris & E. J. Hannan & M. Salau - 173-192 Stationary Tangent: The Discrete And Non‐Smooth Case
by U. Keich - 193-220 Searching For Additive Outliers In Nonstationary Time Series
by Pierre Perron & Gabriel Rodríguez - 221-236 Leave‐K‐Out Diagnostics In State‐Space Models
by Tommaso Proietti - 237-252 On The Determination Of The Number Of Regimes In Markov‐Switching Autoregressive Models
by Zacharias Psaradakis & Nicola Spagnolo
January 2003, Volume 24, Issue 1
- 1-23 Optimal sampling for density estimation in continuous time
by D. Blanke & B. Pumo - 25-44 Maximum likelihood estimation in space time bilinear models
by Yuqing Dai & L. Billard - 45-63 On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations
by A. S. Hurn & K. A. Lindsay & V. L. Martin - 65-84 Testing for serial dependence in time series models of counts
by Robert C. Jung & A. R. Tremayne - 85-98 Filtering and smoothing of state vector for diffuse state‐space models
by S. J. Koopman & J. Durbin - 99-126 Bootstrapping unit root tests for integrated processes
by Anders Rygh Swensen
November 2002, Volume 23, Issue 6
- 629-649 Selecting the forgetting factor in subset autoregressive modelling
by T. J. Brailsford & Jack H. W. Penm & R. D. Terrell - 651-665 Temporal aggregation and spurious instantaneous causality in multiple time series models
by Jörg Breitung & Norman R. Swanson - 667-685 Comparison of unit root tests for time series with level shifts
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - 687-705 Bayesian methods for change‐point detection in long‐range dependent processes
by Bonnie K. Ray & Ruey S. Tsay - 707-731 Asymptotic laws of successive least squares estimates for seasonal arima models and application
by B. Truong‐van & P. Varachaud - 733-751 A State space approach to bootstrapping conditional forecasts in arma models
by Kent D. Wall & David S. Stoffer
September 2002, Volume 23, Issue 5
- 503-508 A note on calculating autocovariances of long‐memory processes
by Stefano Bertelli & Massimiliano Caporin - 509-522 Nonlinear error correction models
by Alvaro Escribano & Santiago Mira - 523-553 Nonlinear functionals of the periodogram
by Gilles Fay & Eric Moulines & Philippe Soulier - 555-585 Properties of the nonparametric autoregressive bootstrap
by J. Franke & J.‐P. Kreiss & E. Mammen & M. H. Neumann - 587-598 Adjusting forecast intervals in arch‐m models
by Jesús Miguel & Pilar Olave - 599-618 Time‐varying autoregressions with model order uncertainty
by Raquel Prado & Gabriel Huerta - 619-626 A note on maximum autoregressive processes of order one
by M. Zarepour & D. Banjevic - 627-628 The Estimation and Tracking of Frequency
by P. Whittle
July 2002, Volume 23, Issue 4
- 401-423 Lag length estimation in large dimensional systems
by Jesús Gonzalo & Jean‐Yves Pitarakis - 425-458 Bayesian analysis of switching ARCH models
by Sylvia Kaufmann & Sylvia Frühwirth‐Schnatter - 459-471 Nonlinear modelling of periodic threshold autoregressions using Tsmars
by Peter A. W. Lewis & Bonnie K. Ray - 473-486 An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
by José Alberto Mauricio - 487-501 Deconvolution of fractional brownian motion
by Vladas Pipiras & Murad S. Taqqu
May 2002, Volume 23, Issue 3
- 251-285 Semiparametric robust tests on seasonal or cyclical long memory time series
by Josu Arteche - 287-312 Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
by Laurence Broze & Christian Francq & Jean‐Michel Zakoïan - 313-331 Prediction and nonparametric estimation for time series with heavy tails
by Peter Hall & Liang Peng & Qiwei Yao - 333-339 Cointegration in frequency domain
by D. Levy - 341-375 Robust estimates for arch processes
by Nora Muler & Victor J. Yohai
March 2002, Volume 23, Issue 2
- 127-154 Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
by Christian Gouriéroux & Joann Jasiak - 155-171 On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
by Niels Haldrup & Peter Lildholdt - 173-191 A Direct Test for Cointegration Between a Pair of Time Series
by Stephen J. Leybourne & Paul Newbold & Dimitrios Vougas & Tae‐Hwan Kim - 193-213 Controlling Revisions in Arima‐Model‐Based Seasonal Adjustment
by Christophe Planas & Raoul Depoutot - 215-250 A Nonparametric Prewhitened Covariance Estimator
by Zhijie Xiao & Oliver Linton
January 2002, Volume 23, Issue 1
- 1-28 Approximate Conditional Unit Root Inference
by Henrik Hansen & Anders Rahbek - 29-48 Weighted Estimation of Harmonic Components in a Musical Sound Signal
by Rafael A. Irizarry - 49-56 Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
by Chunsheng Ma - 57-93 Pooled Log Periodogram Regression
by Katsumi Shimotsu & Peter C. B. Phillips - 95-116 The Use of Aggregate Time Series in Testing for Gaussianity
by Paulo Teles & William W. S. Wei - 117-126 The Variance Ratio Test with Stable Paretian Errors
by Y. K. Tse & X. B. Zhang
November 2001, Volume 22, Issue 6
- 631-650 Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
by Richard T. Baillie & Huimin Chung - 651-663 Large Sample Properties of Parameter Estimates for Periodic ARMA Models
by I. V. Basawa & Robert Lund - 665-678 State‐space Models with Finite Dimensional Dependence
by Christian Gourieroux & Joann Jasiak - 679-709 Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
by Clifford M. Hurvich - 711-724 A Note on Mean‐squared Prediction Errors of the Least Squares Predictors in Random Walk Models
by C. K. Ing - 725-731 On Prediction Intervals for Conditionally Heteroscedastic Processes
by Paul Kabaila & Zhisong He - 733-754 Model Selection in Threshold Models
by George Kapetanios