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 2004 0.21 0.51 51 22 43 9 0 3 0.06 0.23
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: 15 times.

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

(4) RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669 A Dependence Metric for Possibly Nonlinear Processes (2004).
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).
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).
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).
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).
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).
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).
Cited: 3 times.

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

(12) RePEc:bla:jtsera:v:25:y:2004:i:1:p:33-53 Seasonal Unit Root Tests Under Structural Breaks* (2004).
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).
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).
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).
Cited: 2 times.

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

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

(19) RePEc:bla:jtsera:v:25:y:2004:i:2:p:301-313 Assessment of Local Influence in GARCH Processes (2004).
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).
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).
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).
Cited: 1 times.

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

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

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

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

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

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

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

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

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

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

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

Latest citations received in: | 2004 | 2003 | 2002 | 2001

Latest citations received in: 2004

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

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

(3) 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

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

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.

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