Journal of Time Series Analysis

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

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.17 0 0 0 0.08 1997 0.2 0 0 0 0.08 1998 0.23 0 0 0 0.1 1999 0.32 0 0 0 0.16 2000 0.43 0 0 0 0.19 2001 0.39 0 0 0 0.17 2002 0.42 0 0 0 0.2 2003 0.47 43 65 0 0 6 0.14 0.22
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). Journal of Time Series Analysis
Cited: 15 times.

(2) RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378 Gaussian Semi-parametric Estimation of Fractional Cointegration (2003). Journal of Time Series Analysis
Cited: 9 times.

(3) 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). Journal of Time Series Analysis
Cited: 9 times.

(4) RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669 A Dependence Metric for Possibly Nonlinear Processes (2004). Journal of Time Series Analysis
Cited: 7 times.

(5) RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98 Filtering and smoothing of state vector for diffuse state-space models (2003). Journal of Time Series Analysis
Cited: 7 times.

(6) RePEc:bla:jtsera:v:24:y:2003:i:4:p:461-482 Diagnostic Checking in a Flexible Nonlinear Time Series Model (2003). Journal of Time Series Analysis
Cited: 6 times.

(7) RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220 SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* (2003). Journal of Time Series Analysis
Cited: 6 times.

(8) RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252 ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS (2003). Journal of Time Series Analysis
Cited: 5 times.

(9) 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). Journal of Time Series Analysis
Cited: 3 times.

(10) RePEc:bla:jtsera:v:26:y:2005:i:2:p:185-210 Blockwise empirical entropy tests for time series regressions (2005). Journal of Time Series Analysis
Cited: 3 times.

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

(12) RePEc:bla:jtsera:v:25:y:2004:i:1:p:33-53 Seasonal Unit Root Tests Under Structural Breaks* (2004). Journal of Time Series Analysis
Cited: 3 times.

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

(14) 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). Journal of Time Series Analysis
Cited: 2 times.

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

(16) RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308 Inference in Autoregression under Heteroskedasticity (2006). Journal of Time Series Analysis
Cited: 2 times.

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

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

(19) RePEc:bla:jtsera:v:25:y:2004:i:2:p:301-313 Assessment of Local Influence in GARCH Processes (2004). Journal of Time Series Analysis
Cited: 2 times.

(20) 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). Journal of Time Series Analysis
Cited: 2 times.

(21) 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). Journal of Time Series Analysis
Cited: 1 times.

(22) RePEc:bla:jtsera:v:25:y:2004:i:2:p:251-263 Inference for Autocorrelations in the Possible Presence of a Unit Root (2004). Journal of Time Series Analysis
Cited: 1 times.

(23) RePEc:bla:jtsera:v:26:y:2005:i:3:p:463-486 Fractional Invariance Principle (2005). Journal of Time Series Analysis
Cited: 1 times.

(24) RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433 CUSUM of Squares-Based Tests for a Change in Persistence (2007). Journal of Time Series Analysis
Cited: 1 times.

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

(26) RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60 Uniform Limit Theory for Stationary Autoregression (2006). Journal of Time Series Analysis
Cited: 1 times.

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

(28) RePEc:bla:jtsera:v:26:y:2005:i:2:p:279-304 Semiparametric Estimation in Time-Series Regression with Long-Range Dependence (2005). Journal of Time Series Analysis
Cited: 1 times.

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

(30) RePEc:bla:jtsera:v:24:y:2003:i:2:p:165-172 GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS (2003). Journal of Time Series Analysis
Cited: 1 times.

(31) 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). Journal of Time Series Analysis
Cited: 1 times.

(32) 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). Journal of Time Series Analysis
Cited: 1 times.

(33) RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723 Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2006). Journal of Time Series Analysis
Cited: 1 times.

(34) RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126 Bootstrapping unit root tests for integrated processes (2003). Journal of Time Series Analysis
Cited: 1 times.

(35) RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465 Bootstrap predictive inference for ARIMA processes (2004). Journal of Time Series Analysis
Cited: 1 times.

(36) RePEc:bla:jtsera:v:26:y:2005:i:1:p:135-150 Testing for EGARCH Against Stochastic Volatility Models (2005). Journal of Time Series Analysis
Cited: 1 times.

(37) RePEc:bla:jtsera:v:27:y:2006:i:4:p:577-597 On a Mixture GARCH Time-Series Model (2006). Journal of Time Series Analysis
Cited: 1 times.

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

(39) RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282 On the Autocorrelation Properties of Long-Memory GARCH Processes (2004). Journal of Time Series Analysis
Cited: 1 times.

(40) RePEc:bla:jtsera:v:26:y:2005:i:4:p:489-518 Parameter Estimation for Periodically Stationary Time Series (2005). Journal of Time Series Analysis
Cited: 1 times.

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

(42) RePEc:bla:jtsera:v:28:y:2007:i:1:p:92-110 MCMC for Integer-Valued ARMA processes (2007). Journal of Time Series Analysis
Cited: 1 times.

(43) RePEc:bla:jtsera:v:25:y:2004:i:5:p:701-722 Analysis of low count time series data by poisson autoregression (2004). Journal of Time Series Analysis
Cited: 1 times.

(44) RePEc:bla:jtsera:v:26:y:2005:i:2:p:251-278 Local Likelihood for non-parametric ARCH(1) models (2005). Journal of Time Series Analysis
Cited: 1 times.

(45) 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). Journal of Time Series Analysis
Cited: 1 times.

(46) RePEc:bla:jtsera:v:24:y:2003:i:2:p:127-136 ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS (2003). Journal of Time Series Analysis
Cited: 1 times.

(47) 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). Journal of Time Series Analysis
Cited: 1 times.

(48) RePEc:bla:jtsera:v:24:y:2003:i:4:p:423-439 Reducing size distortions of parametric stationarity tests (2003). Journal of Time Series Analysis
Cited: 1 times.

(49) RePEc:bla:jtsera:v:27:y:2006:i:5:p:671-684 Spurious Regression Under Broken-Trend Stationarity (2006). Journal of Time Series Analysis
Cited: 1 times.

Latest citations received in: | 2003 | 2002 | 2001 | 2000

Latest 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

Latest citations received in: 2002

Latest citations received in: 2001

Latest citations received in: 2000

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Source data used to compute the impact factor of RePEc series.