Most cited documents in this series:

Year	Title	Cited
2003	A Sieve Bootstrap For The Test Of A Unit Root RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400 [Citation Analysis]	54
2008	Fractional integration and structural breaks at unknown periods of time RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185 [Citation Analysis]	30
2004	A Dependence Metric for Possibly Nonlinear Processes RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669 [Citation Analysis]	23
2003	SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220 [Citation Analysis]	23
2006	A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409 [Citation Analysis]	20
2006	Uniform Limit Theory for Stationary Autoregression RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60 [Citation Analysis]	19
2007	Effects of outliers on the identification and estimation of GARCH models RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497 [Citation Analysis]	15
2003	ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252 [Citation Analysis]	15
2003	Gaussian Semi-parametric Estimation of Fractional Cointegration RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378 [Citation Analysis]	14
2007	CUSUM of Squares-Based Tests for a Change in Persistence RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433 [Citation Analysis]	13
2006	Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766 [Citation Analysis]	12
2009	A parametric estimation method for dynamic factor models of large dimensions RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238 [Citation Analysis]	12
2004	On the Autocorrelation Properties of Long-Memory GARCH Processes RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282 [Citation Analysis]	12
2004	Error Correction Models for Fractionally Cointegrated Time Series RePEc:bla:jtsera:v:25:y:2004:i:1:p:27-32 [Citation Analysis]	11
2004	Bootstrap predictive inference for ARIMA processes RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465 [Citation Analysis]	11
2003	Filtering and smoothing of state vector for diffuse state-space models RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98 [Citation Analysis]	11
2003	Testing for Linear Trend with Application to Relative Primary Commodity Prices RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551 [Citation Analysis]	11
2006	Consistent estimation of the memory parameter for nonlinear time series RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251 [Citation Analysis]	11
2006	Structural Laplace Transform and Compound Autoregressive Models RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503 [Citation Analysis]	11
2005	Unit-root testing against the alternative hypothesis of up to m structural breaks RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133 [Citation Analysis]	10
2003	On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations* RePEc:bla:jtsera:v:24:y:2003:i:1:p:45-63 [Citation Analysis]	10
2008	Bootstrap Unit-Root Tests: Comparison and Extensions RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401 [Citation Analysis]	10
2003	Diagnostic Checking in a Flexible Nonlinear Time Series Model RePEc:bla:jtsera:v:24:y:2003:i:4:p:461-482 [Citation Analysis]	10
2010	A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328 [Citation Analysis]	9
2006	Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers RePEc:bla:jtsera:v:27:y:2006:i:4:p:545-576 [Citation Analysis]	9
2004	Asymmetric adjustment and smooth transitions: a combination of some unit root tests RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417 [Citation Analysis]	9
2006	Inference in Autoregression under Heteroskedasticity RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308 [Citation Analysis]	8
2004	Analysis of low count time series data by poisson autoregression RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722 [Citation Analysis]	8
2005	Blockwise empirical entropy tests for time series regressions RePEc:bla:jtsera:v:26:y:2005:i:2:p:185-210 [Citation Analysis]	7
2004	Assessment of Local Influence in GARCH Processes RePEc:bla:jtsera:v:25:y:2004:i:2:p:301-313 [Citation Analysis]	7
2008	Duration time-series models with proportional hazard RePEc:bla:jtsera:v:29:y:2008:i:1:p:74-124 [Citation Analysis]	7
2007	Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782 [Citation Analysis]	6
2006	Tests for Long-Run Granger Non-Causality in Cointegrated Systems RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723 [Citation Analysis]	6
2003	Bootstrapping unit root tests for integrated processes RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126 [Citation Analysis]	6
2010	Local Whittle estimation of the memory parameter in presence of deterministic components RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49 [Citation Analysis]	6
2006	Spurious Regression Under Broken-Trend Stationarity RePEc:bla:jtsera:v:27:y:2006:i:5:p:671-684 [Citation Analysis]	6
2004	A joint test of fractional integration and structural breaks at a known period of time RePEc:bla:jtsera:v:25:y:2004:i:5:p:691-700 [Citation Analysis]	6
2003	Testing for serial dependence in time series models of counts RePEc:bla:jtsera:v:24:y:2003:i:1:p:65-84 [Citation Analysis]	6
2004	Some comments on specification tests in nonparametric absolutely regular processes RePEc:bla:jtsera:v:25:y:2004:i:2:p:159-172 [Citation Analysis]	6
2006	Dynamics of Model Overfitting Measured in terms of Autoregressive Roots RePEc:bla:jtsera:v:27:y:2006:i:3:p:347-365 [Citation Analysis]	6
2003	FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS RePEc:bla:jtsera:v:24:y:2003:i:2:p:137-140 [Citation Analysis]	6
2005	Parameter Estimation for Periodically Stationary Time Series RePEc:bla:jtsera:v:26:y:2005:i:4:p:489-518 [Citation Analysis]	5
2007	Empirical likelihood confidence intervals for the mean of a long-range dependent process RePEc:bla:jtsera:v:28:y:2007:i:4:p:576-599 [Citation Analysis]	5
2005	Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models RePEc:bla:jtsera:v:26:y:2005:i:5:p:715-741 [Citation Analysis]	4
2006	Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875 [Citation Analysis]	4
2004	Seasonal Unit Root Tests Under Structural Breaks* RePEc:bla:jtsera:v:25:y:2004:i:1:p:33-53 [Citation Analysis]	4
2005	Testing the Fit of a Vector Autoregressive Moving Average Model RePEc:bla:jtsera:v:26:y:2005:i:4:p:543-568 [Citation Analysis]	4
2004	Inference for Autocorrelations in the Possible Presence of a Unit Root RePEc:bla:jtsera:v:25:y:2004:i:2:p:251-263 [Citation Analysis]	4
2003	Testing Serial Correlation in Semiparametric Time Series Models RePEc:bla:jtsera:v:24:y:2003:i:3:p:311-335 [Citation Analysis]	4
2003	Reducing size distortions of parametric stationarity tests RePEc:bla:jtsera:v:24:y:2003:i:4:p:423-439 [Citation Analysis]	4

Citing documents used to compute impact factor 24:

Year	Title	See
2011	The Variance Profile RePEc:pra:mprapa:30378	[Citation Analysis]
2011	Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions RePEc:bos:wpaper:wp2011-049	[Citation Analysis]
2011	Model-based clustering and segmentation of time series with changes in regime RePEc:spr:advdac:v:5:y:2011:i:4:p:301-321	[Citation Analysis]
2011	Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation RePEc:bfr:banfra:334	[Citation Analysis]
2011	Stationarity, structural breaks, and economic growth in Mexico: 1895-2008 RePEc:bdm:wpaper:2011-11	[Citation Analysis]
2011	Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation RePEc:ags:eaae11:120387	[Citation Analysis]
2011	Exporters characteristics and the margins of trade RePEc:eec:wpaper:1117	[Citation Analysis]
2011	A data-driven test to compare two or multiple time series RePEc:eee:csdana:v:55:y:2011:i:6:p:2183-2196	[Citation Analysis]
2011	Asymptotic properties of weighted least squares estimation in weak parma models RePEc:pra:mprapa:28721	[Citation Analysis]
2011	Volatility models RePEc:cor:louvco:2011058	[Citation Analysis]
2011	Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models RePEc:msh:ebswps:2011-11	[Citation Analysis]
2011	Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals RePEc:eee:intfor:v:27:y::i:3:p:887-901	[Citation Analysis]
2011	Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP RePEc:jns:jbstat:v:231:y:2011:i:1:p:28-49	[Citation Analysis]
2011	Factor models RePEc:sgo:wpaper:1121	[Citation Analysis]
2011	Maximum likelihood estimation for dynamic factor models with missing data RePEc:eee:dyncon:v:35:y:2011:i:8:p:1358-1368	[Citation Analysis]
2011	Forecasting the US real house price index: Structural and non-structural models with and without fundamentals RePEc:eee:ecmode:v:28:y:2011:i:4:p:2013-2021	[Citation Analysis]
2011	A large factor model for forecasting macroeconomic variables in South Africa RePEc:eee:intfor:v:27:y:2011:i:4:p:1076-1088	[Citation Analysis]
2011	Efficient Estimation of Nonstationary Factor Models RePEc:sgo:wpaper:1101	[Citation Analysis]
2011	Testing for a rational bubble under long memory RePEc:rug:rugwps:11/722	[Citation Analysis]
2011	Detecting changes from short to long memory RePEc:spr:stpapr:v:52:y:2011:i:4:p:847-870	[Citation Analysis]
2011	Multivariate contemporaneous-threshold autoregressive models RePEc:eee:econom:v:160:y:2011:i:2:p:311-325	[Citation Analysis]
2011	Does the Box-Cox transformation help in forecasting macroeconomic time series? RePEc:pra:mprapa:32294	[Citation Analysis]
2011	Does the Box-Cox transformation help in forecasting macroeconomic time series? RePEc:syb:wpbsba:08/2011	[Citation Analysis]
2011	Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series? RePEc:eui:euiwps:eco2011/29	[Citation Analysis]

Cites in year: CiY