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 Updated January, 2 2009 180.482 documents processed, 3.979.807 references and 1.716.086 citations



Journal of Time Series Analysis

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CIT: Number of citations to the series in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
IdI: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:
Immediacy Index:
Documents published:
Citations received:


Most cited documents in this series:

(1) RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400 A Sieve Bootstrap For The Test Of A Unit Root (2003).
Cited: 22 times.

(2) RePEc:bla:jtsera:v:24:y:2003:i:1:p:45-63 On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations* (2003).
Cited: 11 times.

(3) RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220 SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* (2003).
Cited: 10 times.

(4) RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378 Gaussian Semi-parametric Estimation of Fractional Cointegration (2003).
Cited: 10 times.

(5) RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669 A Dependence Metric for Possibly Nonlinear Processes (2004).
Cited: 10 times.

(6) RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98 Filtering and smoothing of state vector for diffuse state-space models (2003).
Cited: 9 times.

(7) RePEc:bla:jtsera:v:24:y:2003:i:4:p:461-482 Diagnostic Checking in a Flexible Nonlinear Time Series Model (2003).
Cited: 5 times.

(8) RePEc:bla:jtsera:v:26:y:2005:i:2:p:185-210 Blockwise empirical entropy tests for time series regressions (2005).
Cited: 5 times.

Cited: 5 times.

(10) RePEc:bla:jtsera:v:25:y:2004:i:1:p:33-53 Seasonal Unit Root Tests Under Structural Breaks* (2004).
Cited: 4 times.

(11) RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133 Unit-root testing against the alternative hypothesis of up to m structural breaks (2005).
Cited: 4 times.

(12) RePEc:bla:jtsera:v:29:y:2008:i:3:p:453-475 Stability of nonlinear AR-GARCH models (2008).
Cited: 3 times.

(13) RePEc:bla:jtsera:v:27:y:2006:i:3:p:347-365 Dynamics of Model Overfitting Measured in terms of Autoregressive Roots (2006).
Cited: 3 times.

(14) RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782 Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series (2007).
Cited: 3 times.

(15) RePEc:bla:jtsera:v:26:y:2005:i:1:p:83-105 Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series (2005).
Cited: 3 times.

(16) RePEc:bla:jtsera:v:25:y:2004:i:2:p:301-313 Assessment of Local Influence in GARCH Processes (2004).
Cited: 3 times.

(17) RePEc:bla:jtsera:v:25:y:2004:i:6:p:873-894 Time-scale transformations of discrete time processes (2004).
Cited: 3 times.

(18) RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722 Analysis of low count time series data by poisson autoregression (2004).
Cited: 3 times.

(19) RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308 Inference in Autoregression under Heteroskedasticity (2006).
Cited: 3 times.

(20) RePEc:bla:jtsera:v:25:y:2004:i:1:p:27-32 Error Correction Models for Fractionally Cointegrated Time Series (2004).
Cited: 3 times.

(21) RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60 Uniform Limit Theory for Stationary Autoregression (2006).
Cited: 3 times.

(22) RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282 On the Autocorrelation Properties of Long-Memory GARCH Processes (2004).
Cited: 2 times.

(23) RePEc:bla:jtsera:v:27:y:2006:i:5:p:725-738 Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning (2006).
Cited: 2 times.

(24) RePEc:bla:jtsera:v:26:y:2005:i:5:p:759-778 On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence (2005).
Cited: 2 times.

(25) RePEc:bla:jtsera:v:24:y:2003:i:1:p:65-84 Testing for serial dependence in time series models of counts (2003).
Cited: 2 times.

(26) RePEc:bla:jtsera:v:27:y:2006:i:5:p:671-684 Spurious Regression Under Broken-Trend Stationarity (2006).
Cited: 2 times.

(27) RePEc:bla:jtsera:v:24:y:2003:i:3:p:253-267 Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives (2003).
Cited: 2 times.

(28) RePEc:bla:jtsera:v:26:y:2005:i:4:p:581-611 Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series (2005).
Cited: 2 times.

(29) RePEc:bla:jtsera:v:24:y:2003:i:6:p:663-678 The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model (2003).
Cited: 2 times.

(30) RePEc:bla:jtsera:v:27:y:2006:i:1:p:1-17 Properties of higher order stochastic cycles (2006).
Cited: 2 times.

(31) RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401 Bootstrap Unit-Root Tests: Comparison and Extensions (2008).
Cited: 2 times.

(32) RePEc:bla:jtsera:v:24:y:2003:i:2:p:127-136 ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS (2003).
Cited: 2 times.

(33) RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409 A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006).
Cited: 2 times.

(34) RePEc:bla:jtsera:v:29:y:2008:i:1:p:142-162 Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators (2008).
Cited: 2 times.

(35) RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723 Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2006).
Cited: 2 times.

(36) RePEc:bla:jtsera:v:26:y:2005:i:5:p:631-668 Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs (2005).
Cited: 2 times.

(37) RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251 Consistent estimation of the memory parameter for nonlinear time series (2006).
Cited: 2 times.

(38) RePEc:bla:jtsera:v:24:y:2003:i:5:p:553-577 Tests for non-correlation of two cointegrated ARMA time series (2003).
Cited: 2 times.

(39) RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922 Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models (2004).
Cited: 2 times.

(40) RePEc:bla:jtsera:v:27:y:2006:i:3:p:411-440 Inference for pth-order random coefficient integer-valued autoregressive processes (2006).
Cited: 1 times.

(41) RePEc:bla:jtsera:v:24:y:2003:i:2:p:165-172 GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS (2003).
Cited: 1 times.

(42) RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369 Examination of Some More Powerful Modifications of the Dickey-Fuller Test (2005).
Cited: 1 times.

(43) RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875 Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series (2006).
Cited: 1 times.

(44) RePEc:bla:jtsera:v:25:y:2004:i:5:p:755-764 Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification (2004).
Cited: 1 times.

(45) RePEc:bla:jtsera:v:26:y:2005:i:6:p:893-916 Bootstrap Approximation to Prediction MSE for State-Space Models with Estimated Parameters (2005).
Cited: 1 times.

(46) RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330 Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility (2008).
Cited: 1 times.

(47) RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126 Bootstrapping unit root tests for integrated processes (2003).
Cited: 1 times.

(48) RePEc:bla:jtsera:v:25:y:2004:i:2:p:159-172 Some comments on specification tests in nonparametric absolutely regular processes (2004).
Cited: 1 times.

(49) RePEc:bla:jtsera:v:26:y:2005:i:2:p:251-278 Local Likelihood for non-parametric ARCH(1) models (2005).
Cited: 1 times.

(50) RePEc:bla:jtsera:v:25:y:2004:i:5:p:691-700 A joint test of fractional integration and structural breaks at a known period of time (2004).
Cited: 1 times.

Recent citations received in: | 2006 | 2005 | 2004 | 2003

Recent citations received in: 2006

(1) RePEc:cca:wpaper:32 International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (2006). Collegio Carlo Alberto / Working Papers

(2) RePEc:cwl:cwldpp:1585 Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006). Cowles Foundation, Yale University / Cowles Foundation Discussion Papers

(3) RePEc:cwl:cwldpp:1585r Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006). Cowles Foundation, Yale University / Cowles Foundation Discussion Papers

(4) RePEc:dgr:uvatin:20060101 Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment (2006). Tinbergen Institute / Tinbergen Institute Discussion Papers

(5) RePEc:gua:wpaper:em200601 Inflation and breaks: the validity of the Dickey-Fuller test (2006). Universidad de Guanajuato / School of Economics Working Papers

Recent citations received in: 2005

(1) RePEc:ehu:biltok:200502 Semiparametric estimation in perturbed long memory series. (2005). Universidad del Pais Vasco - Departamentos de Econometria y Estadistica, Fundamentos del Analisis Economico, Hacienda Publica y el Instituto de Ec

(2) RePEc:got:iaidps:115 Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile (2005). Ibero-America Institute for Economic Research / Ibero America Institute for Econ. Research (IAI) Discussion Papers

(3) RePEc:got:iaidps:116 Trade composition and total factor productivity: Evidence for Chile (2005). Ibero-America Institute for Economic Research / Ibero America Institute for Econ. Research (IAI) Discussion Papers

Recent citations received in: 2004

(1) RePEc:ams:ndfwpp:04-16 Goodness-of-fit test for copulas (2004). Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance / CeNDEF Working Papers

(2) RePEc:cte:wsrepe:ws042007 SPURIOUS AND HIDDEN VOLATILITY (2004). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(3) RePEc:eui:euiwps:eco2004/25 Forecasting with VARMA Models (2004). European University Institute / Economics Working Papers

(4) RePEc:wpa:wuwpem:0411010 The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts (2004). EconWPA / Econometrics

(5) RePEc:wpa:wuwpem:0411018 Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors (2004). EconWPA / Econometrics

Recent citations received in: 2003

(1) RePEc:bru:bruedp:03-15 Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables (2003). Economics and Finance Section, School of Social Sciences, Brunel University / Economics and Finance Discussion Papers

(2) RePEc:bru:bruppp:03-15 Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables (2003). Economics and Finance Section, School of Social Sciences, Brunel University / Public Policy Discussion Papers

(3) RePEc:cte:wsrepe:ws031126 RANGE UNIT ROOT TESTS (2003). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(4) RePEc:esx:essedp:570 Exact Local Whittle Estimation of Fractionally Cointegrated Systems (2003). University of Essex, Department of Economics / Economics Discussion Papers

(5) RePEc:msh:ebswps:2003-8 Coherent Predictions of Low Count Time Series (2003). Monash University, Department of Econometrics and Business Statistics / Monash Econometrics and Business Statistics Working Papers

(6) RePEc:wpa:wuwpem:0312003 Dating the Italian Business Cycle: A Comparison of Procedures (2003). EconWPA / Econometrics

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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©2009 Jose Manuel Barrueco | mail: