Journal of Time Series Analysis

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

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.08 1997 0.21 0 0 0 0.08 1998 0.22 0 0 0 0.1 1999 0.28 0 0 0 0.13 2000 0.37 0 0 0 0.16 2001 0.37 0 0 0 0.16 2002 0.41 0 0 0 0.19 2003 0.42 43 143 0 0 6 0.14 0.2 2004 0.28 0.47 51 76 43 12 0 6 0.12 0.21 2005 0.17 0.5 41 39 94 16 0 4 0.1 0.23 2006 0.3 0.51 46 88 92 28 3.6 8 0.17 0.22 2007 0.18 0.4 42 38 87 16 0 3 0.07 0.18 2008 0.31 0.42 54 49 88 27 0 4 0.07 0.21 2009 0.21 0.43 34 19 96 20 0 6 0.18 0.19
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: 40 times.

(2) RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220 SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* (2003).
Cited: 19 times.

(3) RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185 Fractional integration and structural breaks at unknown periods of time (2008).
Cited: 17 times.

(4) 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: 14 times.

(5) RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669 A Dependence Metric for Possibly Nonlinear Processes (2004).
Cited: 11 times.

(6) RePEc:bla:jtsera:v:28:y:2007:i:3:p:408-433 CUSUM of Squares-Based Tests for a Change in Persistence (2007).
Cited: 11 times.

(7) RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60 Uniform Limit Theory for Stationary Autoregression (2006).
Cited: 11 times.

(8) RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378 Gaussian Semi-parametric Estimation of Fractional Cointegration (2003).
Cited: 11 times.

(9) 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: 10 times.

(10) 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: 10 times.

(11) 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: 9 times.

(12) 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: 9 times.

(13) RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401 Bootstrap Unit-Root Tests: Comparison and Extensions (2008).
Cited: 8 times.

(14) RePEc:bla:jtsera:v:25:y:2004:i:1:p:27-32 Error Correction Models for Fractionally Cointegrated Time Series (2004).
Cited: 7 times.

(15) RePEc:bla:jtsera:v:27:y:2006:i:4:p:545-576 Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers (2006).
Cited: 7 times.

(16) 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.

(17) RePEc:bla:jtsera:v:27:y:2006:i:5:p:671-684 Spurious Regression Under Broken-Trend Stationarity (2006).
Cited: 6 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: 6 times.

(19) RePEc:bla:jtsera:v:27:y:2006:i:2:p:289-308 Inference in Autoregression under Heteroskedasticity (2006).
Cited: 6 times.

(20) RePEc:bla:jtsera:v:27:y:2006:i:2:p:211-251 Consistent estimation of the memory parameter for nonlinear time series (2006).
Cited: 5 times.

(21) RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126 Bootstrapping unit root tests for integrated processes (2003).
Cited: 5 times.

(22) RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465 Bootstrap predictive inference for ARIMA processes (2004).
Cited: 5 times.

(23) RePEc:bla:jtsera:v:27:y:2006:i:3:p:347-365 Dynamics of Model Overfitting Measured in terms of Autoregressive Roots (2006).
Cited: 5 times.

(24) RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238 A parametric estimation method for dynamic factor models of large dimensions (2009).
Cited: 5 times.

(25) RePEc:bla:jtsera:v:27:y:2006:i:5:p:753-766 Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching (2006).
Cited: 5 times.

(26) RePEc:bla:jtsera:v:25:y:2004:i:2:p:301-313 Assessment of Local Influence in GARCH Processes (2004).
Cited: 5 times.

(27) RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551 Testing for Linear Trend with Application to Relative Primary Commodity Prices (2003).
Cited: 5 times.

(28) RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497 Effects of outliers on the identification and estimation of GARCH models (2007).
Cited: 5 times.

(29) RePEc:bla:jtsera:v:26:y:2005:i:2:p:185-210 Blockwise empirical entropy tests for time series regressions (2005).
Cited: 5 times.

(30) RePEc:bla:jtsera:v:28:y:2007:i:5:p:763-782 Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series (2007).
Cited: 4 times.

(31) RePEc:bla:jtsera:v:25:y:2004:i:3:p:409-417 Asymmetric adjustment and smooth transitions: a combination of some unit root tests (2004).
Cited: 4 times.

(32) RePEc:bla:jtsera:v:25:y:2004:i:2:p:159-172 Some comments on specification tests in nonparametric absolutely regular processes (2004).
Cited: 4 times.

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

(34) RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503 Structural Laplace Transform and Compound Autoregressive Models (2006).
Cited: 4 times.

(35) RePEc:bla:jtsera:v:29:y:2008:i:3:p:453-475 Stability of nonlinear AR-GARCH models (2008).
Cited: 4 times.

(36) RePEc:bla:jtsera:v:24:y:2003:i:1:p:65-84 Testing for serial dependence in time series models of counts (2003).
Cited: 4 times.

(37) 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: 4 times.

(38) RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282 On the Autocorrelation Properties of Long-Memory GARCH Processes (2004).
Cited: 4 times.

(39) 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: 4 times.

(40) RePEc:bla:jtsera:v:25:y:2004:i:1:p:33-53 Seasonal Unit Root Tests Under Structural Breaks* (2004).
Cited: 4 times.

(41) RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723 Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2006).
Cited: 4 times.

(42) RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328 A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component (2010).
Cited: 3 times.

(43) RePEc:bla:jtsera:v:28:y:2007:i:6:p:910-922 Using the HEGY Procedure When Not All Roots Are Present (2007).
Cited: 3 times.

(44) RePEc:bla:jtsera:v:30:y:2009:i:1:p:47-69 Transformations and seasonal adjustment (2009).
Cited: 3 times.

(45) 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: 3 times.

(46) RePEc:bla:jtsera:v:30:y:2009:i:3:p:263-285 Testing for a break in persistence under long-range dependencies (2009).
Cited: 3 times.

(47) RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922 Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models (2004).
Cited: 3 times.

(48) RePEc:bla:jtsera:v:24:y:2003:i:3:p:311-335 Testing Serial Correlation in Semiparametric Time Series Models (2003).
Cited: 3 times.

(49) RePEc:bla:jtsera:v:29:y:2008:i:1:p:74-124 Duration time-series models with proportional hazard (2008).
Cited: 3 times.

(50) 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.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:aah:create:2009-24 A Meta-Distribution for Non-Stationary Samples (2009). CREATES Research Papers

(2) RePEc:eui:euiwps:eco2009/17 Forecasting Aggregated Time Series Variables: A Survey (2009).

(3) RePEc:ime:imedps:09-e-23 Inconsistency of a Unit Root Test against Stochastic Unit Root Processes (2009). IMES Discussion Paper Series

(4) RePEc:nlv:wpaper:1001 Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals (2009). Working Papers

(5) RePEc:uct:uconnp:2009-42 Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals (2009). Working papers

(6) RePEc:udt:wpecon:2009-03 Multivariate Contemporaneous Threshold Autoregressive Models (2009). Department of Economics Working Papers

Recent citations received in: 2008

(1) RePEc:aah:create:2008-30 Parameter estimation in nonlinear AR-GARCH models (2008). CREATES Research Papers

(2) RePEc:nuf:econwp:0806 Unit Root Testing with Unstable Volatility (2008). Economics Papers

(3) RePEc:oxf:wpaper:396 Parameter estimation in nonlinear AR-GARCH models (2008). Economics Series Working Papers

(4) RePEc:shr:wpaper:08-17 Modified Fast Double Sieve Bootstraps for ADF Tests (2008). Cahiers de recherche

Recent citations received in: 2007

(1) RePEc:aah:create:2007-44 Long memory modelling of inflation with stochastic variance and structural breaks (2007). CREATES Research Papers

(2) RePEc:dgr:kubcen:200723 Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53) (2007). Discussion Paper

(3) RePEc:han:dpaper:dp-381 Testing for a break in persistence under long-range dependencies (2007). Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover

Recent citations received in: 2006

(1) RePEc:bdm:wpaper:2006-12 Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks (2006). Working Papers

(2) RePEc:cca:wpaper:32 International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (2006). Carlo Alberto Notebooks

(3) RePEc:cwl:cwldpp:1585 Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006). Cowles Foundation Discussion Papers

(4) RePEc:cwl:cwldpp:1585r Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2006). Cowles Foundation Discussion Papers

(5) RePEc:dgr:uvatin:20060101 Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment (2006). Tinbergen Institute Discussion Papers

(6) RePEc:hst:hstdps:d06-197 Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors (2006). Hi-Stat Discussion Paper Series

(7) RePEc:icr:wpicer:41-2006 International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach (2006). ICER Working Papers

(8) RePEc:udt:wpecon:2006-04 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting (2006). Department of Economics Working Papers

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