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Citation Profile [Updated: 2021-02-02 17:32:57]
5 Years H
31
Impact Factor
0.59
5 Years IF
0.52
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0.03 0.09 0.19 0.02 27 27 33 5 5 60 2 147 3 0 0 0.04
1991 0.02 0.08 0.11 0.01 26 53 23 6 11 54 1 152 1 0 0 0.04
1992 0.04 0.09 0.06 0.01 34 87 34 5 16 53 2 154 2 0 0 0.04
1993 0 0.1 0.03 0 47 134 79 4 20 60 147 0 0 0.05
1994 0 0.12 0.01 0 46 180 113 2 22 81 161 0 0 0.06
1995 0.01 0.19 0.06 0.01 6 186 25 11 33 93 1 180 1 0 0 0.08
1996 0.02 0.22 0.08 0.04 35 221 74 17 50 52 1 159 6 0 0 0.1
1997 0.05 0.22 0.04 0.02 36 257 56 11 61 41 2 168 4 0 0 0.09
1998 0 0.26 0.03 0.01 46 303 268 9 70 71 170 1 0 1 0.02 0.12
1999 0.05 0.27 0.07 0.05 44 347 77 23 94 82 4 169 8 0 0 0.13
2000 0.03 0.32 0.08 0.04 37 384 61 28 125 90 3 167 7 0 0 0.14
2001 0 0.34 0.06 0.01 40 424 86 23 151 81 198 1 0 0 0.15
2002 0 0.37 0.1 0.04 35 459 86 36 196 77 203 9 0 0 0.19
2003 0.12 0.39 0.18 0.11 44 503 523 88 289 75 9 202 22 31 35.2 13 0.3 0.19
2004 0.37 0.44 0.26 0.24 55 558 466 139 434 79 29 200 47 60 43.2 11 0.2 0.2
2005 0.32 0.46 0.26 0.23 54 612 328 155 595 99 32 211 49 56 36.1 10 0.19 0.21
2006 0.46 0.46 0.22 0.4 46 658 688 141 739 109 50 228 91 2 1.4 11 0.24 0.21
2007 0.34 0.42 0.21 0.34 42 700 288 143 889 100 34 234 79 0 3 0.07 0.18
2008 0.65 0.44 0.29 0.56 54 754 440 220 1111 88 57 241 136 11 5 9 0.17 0.2
2009 0.56 0.43 0.3 0.55 36 790 223 240 1351 96 54 251 139 15 6.3 8 0.22 0.21
2010 0.44 0.43 0.28 0.47 44 834 274 234 1585 90 40 232 110 17 7.3 6 0.14 0.18
2011 0.49 0.45 0.27 0.54 57 891 194 241 1827 80 39 222 119 1 0.4 1 0.02 0.2
2012 0.39 0.45 0.33 0.4 74 965 179 323 2150 101 39 233 94 0 3 0.04 0.19
2013 0.31 0.51 0.34 0.46 57 1022 304 349 2500 131 40 265 123 19 5.4 12 0.21 0.21
2014 0.39 0.53 0.35 0.39 38 1060 153 372 2872 131 51 268 104 26 7 5 0.13 0.2
2015 0.65 0.53 0.36 0.47 51 1111 114 405 3277 95 62 270 127 24 5.9 9 0.18 0.2
2016 0.47 0.52 0.38 0.47 49 1160 99 439 3716 89 42 277 130 34 7.7 2 0.04 0.19
2017 0.34 0.53 0.35 0.45 53 1213 76 428 4144 100 34 269 122 38 8.9 4 0.08 0.19
2018 0.3 0.6 0.35 0.42 57 1270 77 445 4589 102 31 248 103 9 2 3 0.05 0.24
2019 0.43 0.68 0.57 0.39 53 1323 29 751 5340 110 47 248 97 0 7 0.13 0.25
2020 0.59 0.99 0.66 0.52 51 1374 1 906 6246 110 65 263 137 30 3.3 2 0.04 0.38
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations 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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
11983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Porterhudak, Susan ; Geweke, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238.

Full description at Econpapers || Download paper

207
22006A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409.

Full description at Econpapers || Download paper

196
31980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). Joyeux, Roselyne ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29.

Full description at Econpapers || Download paper

152
41998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework. (1998). Mestre, Ricardo ; Dolado, Juan ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:3:p:267-283.

Full description at Econpapers || Download paper

148
52008Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185.

Full description at Econpapers || Download paper

139
62013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

Full description at Econpapers || Download paper

118
72003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

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108
82005Unit‐root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

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87
92010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

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74
102003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252.

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74
112006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

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69
122004A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669.

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69
132003Gaussian Semi‐parametric Estimation of Fractional Cointegration. (2003). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378.

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52
142007Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497.

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50
152013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

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50
162003SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES. (2003). Rodríguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220.

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48
172003Testing for Linear Trend with Application to Relative Primary Commodity Prices. (2003). Pfaffenzeller, Stephan ; Kim, Tae-Hwan ; Newbold, Paul ; Rayner, Tony . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551.

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47
181986ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Tong, H ; Chan, K S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190.

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45
192006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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44
202004Asymmetric adjustment and smooth transitions: a combination of some unit root tests. (2004). Sollis, Robert. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417.

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44
211998Unit roots and smooth transitions. (1998). Leybourne, Stephen ; Vougas, Dimitrios ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:83-97.

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43
221983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS. (1983). Li, W K ; McLeod, A I. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273.

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42
231989ON GENERALIZED FRACTIONAL PROCESSES. (1989). ZHANG, NIEN FAN ; Gray, Henry L ; Woodward, Wayne A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:10:y:1989:i:3:p:233-257.

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41
242006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching. (2006). Spagnolo, Nicola ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766.

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40
252008Bootstrap Unit-Root Tests: Comparison and Extensions. (2008). Urbain, Jean-Pierre ; Smeekes, Stephan ; Palm, Franz. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401.

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40
262007CUSUM of Squares-Based Tests for a Change in Persistence. (2007). Taylor, Robert ; Leybourne, Stephen ; Kim, Tae-Hwan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433.

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38
272004Bootstrap predictive inference for ARIMA processes. (2004). Ruiz, Esther ; Romo, Juan ; Pascual, Lorenzo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465.

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34
282006Inference in Autoregression under Heteroskedasticity. (2006). Xu, Ke-Li ; Phillips, Peter. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308.

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34
292004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B. P. M. McCabe, ; B . P. M. McCabe, ; Freeland, R. K.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

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34
302006Structural Laplace Transform and Compound Autoregressive Models. (2006). Jasiak, Joann ; gourieroux, christian ; darolles, serge. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503.

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33
312009Testing for a break in persistence under long-range dependencies. (2009). Sibbertsen, Philipp ; Kruse, Robinson. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:3:p:263-285.

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32
322014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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30
332009A parametric estimation method for dynamic factor models of large dimensions. (2009). Marcellino, Massimiliano ; Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238.

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30
342002Comparison of unit root tests for time series with level shifts. (2002). Lütkepohl, Helmut ; Lanne, Markku ; Saikkonen, Pentti ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685.

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30
352010ADL tests for threshold cointegration. (2010). Li, Jing ; Lee, Junsoo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:4:p:241-254.

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29
362004On the Autocorrelation Properties of Long‐Memory GARCH Processes. (2004). Sola, Martin ; Psaradakis, Zacharias ; Karanasos, Menelaos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282.

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29
372011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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28
382003Filtering and smoothing of state vector for diffuse state‐space models. (2003). Koopman, Siem Jan ; Durbin, J.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98.

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28
39Consistent estimation of the memory parameter for nonlinear time series. (2006). Giraitis, Liudas ; Dalla, Violetta ; Hidalgo, Javier. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251.

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28
402008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility. (2008). Taylor, Robert ; Cavaliere, Giuseppe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:300-330.

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27
412008Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes. (2008). Poskitt, Donald. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:224-250.

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26
422006Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series. (2006). Brockwell, Peter J. ; Yao, Qiwei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:857-875.

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26
432005Examination of Some More Powerful Modifications of the Dickey–Fuller Test. (2005). Leybourne, Stephen ; Kim, Tae-Hwan ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:3:p:355-369.

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26
442010Local Whittle estimation of the memory parameter in presence of deterministic components. (2010). Iacone, Fabrizio. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:1:p:37-49.

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25
452012The averaged periodogram estimator for a power law in coherency. (2012). Sela, Rebecca ; Hurvich, Clifford. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:2:p:340-363.

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23
462007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

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23
471994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. (1994). Bai, Jushan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472.

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23
482001Testing Stochastic Cycles in Macroeconomic Time Series. (2001). Gil-Alana, Luis ; Gilalana, L A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:22:y:2001:i:4:p:411-430.

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23
492014QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS. (2014). Fokianos, Konstantinos ; Christou, Vasiliki . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:1:p:55-78.

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23
501996MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599.

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23
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11998Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework. (1998). Mestre, Ricardo ; Dolado, Juan ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:3:p:267-283.

Full description at Econpapers || Download paper

121
21980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). Joyeux, Roselyne ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29.

Full description at Econpapers || Download paper

87
31983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Porterhudak, Susan ; Geweke, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238.

Full description at Econpapers || Download paper

86
42006A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409.

Full description at Econpapers || Download paper

39
52013Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95.

Full description at Econpapers || Download paper

28
61983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS. (1983). Li, W K ; McLeod, A I. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273.

Full description at Econpapers || Download paper

27
71986ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Tong, H ; Chan, K S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190.

Full description at Econpapers || Download paper

26
82006Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942.

Full description at Econpapers || Download paper

20
91998Unit roots and smooth transitions. (1998). Leybourne, Stephen ; Vougas, Dimitrios ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:83-97.

Full description at Econpapers || Download paper

20
102008Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185.

Full description at Econpapers || Download paper

19
111982AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM. (1982). Stoffer, D S ; Shumway, R H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264.

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17
121999Gaussian Semiparametric Estimation of Non‐stationary Time Series. (1999). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:1:p:87-127.

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16
132013Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16.

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15
142018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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15
152005Unit‐root testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133.

Full description at Econpapers || Download paper

15
162014QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS. (2014). Fokianos, Konstantinos ; Christou, Vasiliki . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:1:p:55-78.

Full description at Econpapers || Download paper

13
171996MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599.

Full description at Econpapers || Download paper

13
181994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. (1994). Bai, Jushan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472.

Full description at Econpapers || Download paper

13
191989ON GENERALIZED FRACTIONAL PROCESSES. (1989). ZHANG, NIEN FAN ; Gray, Henry L ; Woodward, Wayne A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:10:y:1989:i:3:p:233-257.

Full description at Econpapers || Download paper

12
202010A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328.

Full description at Econpapers || Download paper

12
212002Comparison of unit root tests for time series with level shifts. (2002). Lütkepohl, Helmut ; Lanne, Markku ; Saikkonen, Pentti ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685.

Full description at Econpapers || Download paper

11
222003A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400.

Full description at Econpapers || Download paper

11
231992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING. (1992). Ahn, Sung K ; Reinsel, Gregory C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375.

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11
242018Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models. (2018). Giraitis, Liudas ; Yates, Tony ; Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:2:p:129-149.

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10
252016Filtering, Prediction and Simulation Methods for Noncausal Processes. (2016). Jasiak, Joann ; gourieroux, christian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:405-430.

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9
261998The mean squared error of Geweke and Porter‐Hudaks estimator of the memory parameter of a long‐memory time series. (1998). Hurvich, Clifford ; Brodsky, Julia ; Deo, Rohit. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:19-46.

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272017Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636.

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8
282017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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8
292006Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60.

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301994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY. (1994). Mak, T K ; Li, W K. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:6:p:627-636.

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8
312016Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test. (2016). Betken, Annika . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:6:p:785-809.

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8
322011A negative binomial integer‐valued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67.

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332015A Gini Autocovariance Function for Time Series Modelling. (2015). Carcea, Marcel ; Serfling, Robert. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:36:y:2015:i:6:p:817-838.

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342017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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352000Fast Filtering and Smoothing for Multivariate State Space Models. (2000). Koopman, S J ; Durbin, J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:3:p:281-296.

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7
362011A simple test of changes in mean in the possible presence of long‐range dependence. (2011). Shao, Xiaofeng. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:6:p:598-606.

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371983NONPARAMETRIC ESTIMATORS FOR TIME SERIES. (1983). Robinson, P M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:3:p:185-207.

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382013Determining the order of the functional autoregressive model. (2013). Reimherr, Matthew ; Kokoszka, Piotr. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:116-129.

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392014A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436.

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401987FIRST‐ORDER INTEGER‐VALUED AUTOREGRESSIVE (INAR(1)) PROCESS. (1987). Alzaid, A A ; Alosh, M A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:8:y:1987:i:3:p:261-275.

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7
412016Poisson QMLE of Count Time Series Models. (2016). Francq, Christian ; Ahmad, Ali. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314.

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7
422004Estimation of the location and exponent of the spectral singularity of a long memory process. (2004). Soulier, Philippe ; Hidalgo, Javier. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:1:p:55-81.

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6
432007New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224.

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6
442004Analysis of low count time series data by poisson autoregression. (2004). McCabe, Brendan ; B. P. M. McCabe, ; B . P. M. McCabe, ; Freeland, R. K.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722.

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452004On the Autocorrelation Properties of Long‐Memory GARCH Processes. (2004). Sola, Martin ; Psaradakis, Zacharias ; Karanasos, Menelaos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282.

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462010Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. (2010). Politis, Dimitris N. ; McMurry, Timothy L.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:6:p:471-482.

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471996A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING‐AVERAGE PROCESS. (1996). Chung, Chingfan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:2:p:111-140.

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481990BIASES OF ESTIMATORS IN MULTIVARIATE NON‐GAUSSIAN AUTOREGRESSIONS. (1990). Pope, Alun Lloyd. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:11:y:1990:i:3:p:249-258.

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492008Bootstrap Unit-Root Tests: Comparison and Extensions. (2008). Urbain, Jean-Pierre ; Smeekes, Stephan ; Palm, Franz. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401.

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502010ADL tests for threshold cointegration. (2010). Li, Jing ; Lee, Junsoo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:4:p:241-254.

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2020Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data. (2020). GUPTA, RANGAN ; Rojas, Omar ; Nazlioglu, Saban ; Coronado, Semei. In: Working Papers. RePEc:pre:wpaper:202006.

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2020Time-Varying Influence of Household Debt on Inequality in United Kingdom. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Gabauer, David ; Berisha, Edmond. In: Working Papers. RePEc:pre:wpaper:202017.

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2020Renewable energy consumption and industrial production: A disaggregated time-frequency analysis for the U.S.. (2020). Czudaj, Robert ; Hoang, Thihongvan ; Hussain, Syed Jawad ; van Hoang, Thi Hong. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319302051.

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2020Forecasting transaction counts with integer-valued GARCH models. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101779.

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2020Capital and Labor Income Pareto Exponents across Time and Space. (2020). Toda, Alexis Akira ; de Vries, Tjeerd. In: LIS Working papers. RePEc:lis:liswps:794.

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2020Constructing joint confidence bands for impulse response functions of VAR models – A review. (2020). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:69-83.

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2020Joint Bayesian Inference about Impulse Responses in VAR Models. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Working Papers. RePEc:fip:feddwp:88408.

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2020The Role of the Prior in Estimating VAR Models with Sign Restrictions. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Working Papers. RePEc:fip:feddwp:89121.

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2020Testing linear relationships between non-constant variances of economic variables. (2020). RAÏSSI, HAMDI ; Raissi, Hamdi ; Hirukawa, Junichi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189.

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2020Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x.

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2020Fractional Lévy stable motion: Finite difference iterative forecasting model. (2020). Song, Wanqing ; Liu, HE ; Zio, Enrico ; Kudreyko, Aleksey. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:133:y:2020:i:c:s096007792030031x.

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2020Tsallis conditional mutual information in investigating long range correlation in symbol sequences. (2020). Papapetrou, M ; Kugiumtzis, D. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317030.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Frequency Domain Local Bootstrap in long memory time series. (2020). Arteche, Josu. In: BILTOKI. RePEc:ehu:biltok:48980.

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2020Economic Policy Uncertainty: Persistence and Cross-Country Linkages. (2020). Caporale, Guglielmo Maria ; Gil-Alana, Luis A ; Aikins, Emmanuel Joel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8289.

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2020Spurious relationships in high dimensional systems with strong or mild persistence. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31553.

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2020Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data. (2020). Chambers, Marcus. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:140-160.

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2020On cointegration for processes integrated at different frequencies. (2020). del Barrio Castro, Tomás ; Cubadda, Gianluca ; Osborn, Denise R ; Cubada, Ginaluca. In: MPRA Paper. RePEc:pra:mprapa:102611.

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Recent citations
Recent citations received in 2020

YearCiting document
2020Estimating the mean under strong persistence. (2020). Hassler, Uwe ; Hosseinkouchack, Mehdi. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176520300069.

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2020A Coronavirus Asset Pricing Model: The Role of Skewness. (2020). Savva, Christos ; Delis, Manthos ; Theodossiou, Panayiotis. In: MPRA Paper. RePEc:pra:mprapa:100877.

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Recent citations received in 2019

YearCiting document
2019Spectral Analysis of Multivariate Time Series. (2019). von Sachs, Rainer. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019008.

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2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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2019A time-varying parameter structural model of the UK economy. (2019). Waldron, Matt ; Masolo, Riccardo M. ; Petrova, Katerina ; Kapetanios, George. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:5.

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2019Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework. (2019). Oxley, Les ; Glenn, Harold ; Hu, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:138-145.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203.

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2019Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647.

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2019Testing for moderate explosiveness. (2019). Wang, Shaoping ; Sun, Yixiao ; Guo, Gangzheng. In: Econometrics Journal. RePEc:oup:emjrnl:v:22:y:2019:i:1:p:73-95..

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Recent citations received in 2018

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2018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

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2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

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2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

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Recent citations received in 2017

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2017A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series. (2017). Shang, Han Lin ; Rice, Gregory. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:591-609.

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2017A New Covariance Function and Spatio-Temporal Prediction (Kriging) for A Stationary Spatio-Temporal Random Process. (2017). Rao, Subba T ; Terdik, Gyorgy . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:936-959.

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2017An endogenous regime-switching model of ordered choice with an application to federal funds rate target.. (2017). Sirchenko, Andrei. In: 2017 Papers. RePEc:jmp:jm2017:psi424.

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2017Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo. In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20175.

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