Journal of Time Series Analysis

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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 0.31 0 0 0 0.15 2000 0.43 0 0 0 0.19 2001 0.4 0 0 0 0.17 2002 0.43 0 0 0 0.2 2003 0.48 43 86 0 0 6 0.14 0.22 2004 0.28 0.52 51 37 43 12 0 5 0.1 0.23 2005 0.14 0.59 41 25 94 13 0 3 0.07 0.27 2006 0.25 0.63 46 27 92 23 4.3 5 0.11 0.27
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.

(9) 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.

(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

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