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Wiley-Blackwell: Journal of Time Series Analysis

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1.

Nonlinear Autocorrelograms: An Application to Inter-Trade Durations

Journal of Time Series Analysis, Vol. 23, No. 2, pp. 127-154, 2002
Number of pages: 28 Posted: 24 Nov 2002
Accepted Paper Series
University of Toronto - Department of Economics and York University - Department of Economics
Downloads 37
2.

On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equation

Journal of Time Series Analysis, Vol. 24, pp. 45-63, 2003
Number of pages: 19 Posted: 03 Jun 2003
Accepted Paper Series
Queensland University of Technology - School of Economics and Finance, University of Glasgow - Department of Mathematics and University of Melbourne - Department of Economics
Downloads 35
3.

Structural Laplace Transform and Compound Autoregressive Models

Journal of Time Series Analysis, Vol. 27, No. 4, pp. 477-503, July 2006
Number of pages: 27 Posted: 02 Jun 2006
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and York University - Department of Economics
Downloads 34
4.

A Note on the Specification and Estimation of ARMAX Systems

Journal of Time Series Analysis, Vol. 26, No. 2, pp. 157-183, March 2005
Number of pages: 27 Posted: 17 Feb 2005
Accepted Paper Series
Monash University - Department of Econometrics & Business Statistics
Downloads 30
5.

Multivariate Time-Series Analysis With Categorical and Continuous Variables in an LSTR Model

Journal of Time Series Analysis, Vol. 28, Issue 6, pp. 867-885, November 2007
Number of pages: 19 Posted: 17 Oct 2007
Accepted Paper Series
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 30
6.

Consistent Estimation of the Memory Parameter for Nonlinear Time Series

Journal of Time Series Analysis, Vol. 27, No. 2, pp. 211-251, March 2006
Number of pages: 41 Posted: 08 May 2006
Accepted Paper Series
London School of Economics & Political Science (LSE) - Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD), University of York - Department of Mathematics and Economics and London School of Economics & Political Science (LSE) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 29
7.

State Space Models for Time Series with Patches of Unusual Observations

Journal of Time Series Analysis, Vol. 28, No. 5, pp. 629-645, September 2007
Number of pages: 17 Posted: 09 Aug 2007
Accepted Paper Series
London School of Economics
Downloads 29
8.

Assessment of Local Influence in GARCH Processes

Journal of Time Series Analysis, Vol. 25, No. 2, pp. 301-313, March 2004
Number of pages: 13 Posted: 18 Mar 2004
Accepted Paper Series
Monash University
Downloads 28
9.

Likelihood-Based Analysis of a Class of Generalized Long-Memory Time Series Models

Journal of Time Series Analysis, Vol. 28, No. 3, pp. 386-407, May 2007
Number of pages: 22 Posted: 02 May 2007
Accepted Paper Series
Carnegie Mellon University - Department of Statistics
Downloads 28
10.

A Note on Non-Negative Arma Processes

Journal of Time Series Analysis, Vol. 28, No. 3, pp. 350-360, May 2007
Number of pages: 11 Posted: 02 May 2007
Accepted Paper Series
Academia Sinica - Institute of Statistical Science and University of Iowa - Department of Statistics & Actuarial Science
Downloads 27
11.

Blockwise Empirical Entropy Tests for Time Series Regressions

Journal of Time Series Analysis, Vol. 26, No. 2, pp. 185-210, March 2005
Number of pages: 26 Posted: 17 Feb 2005
Accepted Paper Series
University of York - Department of Economics and Related Studies
Downloads 27
12.

Efficient Frequency Estimation from a Particular Almost Periodic Function With Application to Laser Vibrometry

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 637-669, September 2006
Number of pages: 33 Posted: 22 Mar 2007
Accepted Paper Series
Telecom ParisTech
Downloads 27
13.

Error Correction Models for Fractionally Cointegrated Time Series

Journal of Time Series Analysis, Vol. 25, No. 1, pp. 27-32, January 2004
Number of pages: 6 Posted: 07 Apr 2004
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 27
14.

A Note on the Filtering for Some Time Series Models

Journal of Time Series Analysis, Vol. 25, No. 3, pp. 397-407, May 2004
Number of pages: 11 Posted: 04 Jul 2004
Accepted Paper Series
The University of Sydney and University of Manitoba
Downloads 26
15.

Bootstrap Approximation to Prediction MSE for State-Space Models with Estimated Parameters

Journal of Time Series Analysis, Vol. 26, No. 6, pp. 893-916, November 2005
Number of pages: 24 Posted: 10 Nov 2005
Accepted Paper Series
Hebrew University of Jerusalem - Department of Statistics and United States Bureau of Labor Statistics
Downloads 26
16.

Estimation of Nonparametric Autoregressive Time Series Models Under Dynamical Constraints

Journal of Time Series Analysis, Vol. 26, No. 3, pp. 371-397, May 2005
Number of pages: 27 Posted: 25 May 2005
Accepted Paper Series
University of Havana - Departamento de Matematica Aplicada, Université Paris XI Sud - Department of Mathematics and Université Paris V Rene Descartes
Downloads 26
17.

On the Use of Sub-Sample Unit Root Tests to Detect Changes in Persistence

Journal of Time Series Analysis, Vol. 26, No. 5, pp. 759-778, September 2005
Number of pages: 20 Posted: 31 Aug 2005
Accepted Paper Series
University of Birmingham - Department of Economics
Downloads 26
18.

Reducing Size Distortions of Parametric Stationarity Tests

Journal of Time Series Analysis, Vol. 24, pp. 423-439, July 2003
Number of pages: 17 Posted: 29 Sep 2003
Accepted Paper Series
University of Helsinki - Department of Political and Economic Studies and University of Helsinki - Department of Statistics
Downloads 26
19.

Stationary Autoregressive Models via a Bayesian Nonparametric Approach

Journal of Time Series Analysis, Vol. 26, No. 6, pp. 789-805, November 2005
Number of pages: 17 Posted: 09 Nov 2005
Accepted Paper Series
Universidad Nacional Autónoma de México (UNAM) - IIMAS and University of Kent - Institute of Mathematics, Statistics and Actuarial Science
Downloads 26
20.

Testing for Neglected Nonlinearity in Cointegrating Relationships

Journal of Time Series Analysis, Vol. 28, Issue 6, pp. 807-826, November 2007
Number of pages: 20 Posted: 17 Oct 2007
Accepted Paper Series
Bank of England - CCBS and University of London - Queen Mary College - Department of Economics
Downloads 26
21.

Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series

Journal of Time Series Analysis, Vol. 26, No. 4, pp. 581-611, July 2005
Number of pages: 31 Posted: 26 Jun 2005
Accepted Paper Series
University of the Basque Country and Universidad Carlos III de Madrid - Department of Economics
Downloads 26
22.

Diagnostic Checking in a Flexible Nonlinear Time Series Model

Journal of Time Series Analysis, Vol. 24, pp. 461-482, July 2003
Number of pages: 22 Posted: 24 Oct 2003
Accepted Paper Series
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 25
23.

Difference Equations for the Higher-Order Moments and Cumulants of the INAR(1) Model

Journal of Time Series Analysis, Vol. 25, No. 3, pp. 317-333, May 2004
Number of pages: 17 Posted: 04 Jul 2004
Accepted Paper Series
Universidade do Porto and Universidade do Porto
Downloads 25
24.

Evolutive Instantaneous Spectrum Associated with Partial Autocorrelation Function

Journal of Time Series Analysis, Vol. 23, No. 4, pp. 377-399, 2002
Number of pages: 23 Posted: 02 Dec 2002
Accepted Paper Series
Laboratoir LMC-IMAG and Laboratoir LMC-IMAG
Downloads 25
25.

Kernel Deconvolution of Stochastic Volatility Models

Journal of Time Series Analysis, Vol. 25, No. 4, pp. 563-582, July 2004
Number of pages: 20 Posted: 30 Aug 2004
Accepted Paper Series
Université Paris V Rene Descartes - UFR Biomédicale
Downloads 25
26.

Large Sample Properties of Spectral Estimators for a Class of Stationary Nonlinear Processes

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 1-16, January 2005
Number of pages: 16 Posted: 06 Jan 2005
Accepted Paper Series
Texas Tech University - Department of Mathematics and Statistics
Downloads 25
27.

On the Pena-Box Model

Journal of Time Series Analysis, Vol. 25, No. 6, pp. 811-830, November 2004
Number of pages: 20 Posted: 09 Nov 2004
Accepted Paper Series
National Chi Nan University and National Tsing Hua University
Downloads 25
28.

A Generalized Portmanteau Test for Independence of Two Infinite-Order Vector Autoregressive Series

Journal of Time Series Analysis, Vol. 27, No. 4, pp. 505-544, July 2006
Number of pages: 40 Posted: 02 Jun 2006
Accepted Paper Series
University of Montreal - Department of Mathematics and Statistics and University of Montreal - Department of Mathematics and Statistics
Downloads 24
29.

A Note on Estimation by Least Squares for Harmonic Component Models

Journal of Time Series Analysis, Vol. 24, pp. 613-629, September 2003
Number of pages: 17 Posted: 24 Oct 2003
Accepted Paper Series
University of Sheffield - School of Mathematics and Statistics
Downloads 24
30.

An Algorithm for Computing the Asymptotic Fisher Information Matrix for Seasonal SISO Models

Journal of Time Series Analysis, Vol. 25, No. 5, pp. 627-648, September 2004
Number of pages: 22 Posted: 07 Sep 2004
Accepted Paper Series
University of Amsterdam and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 24
31.

Comparison of Unit Root Tests for Time Series with Level Shifts

Journal of Time Series Analysis, Vol. 23, pp. 667-685, 2002
Number of pages: 19 Posted: 14 Feb 2003
Accepted Paper Series
University of Helsinki - Department of Political and Economic Studies, European University Institute and University of Helsinki - Department of Statistics
Downloads 24
32.

New Improved Tests for Cointegration with Structural Breaks

Journal of Time Series Analysis, Vol. 28, No. 2, pp. 188-224, March 2007
Number of pages: 37 Posted: 17 Feb 2007
Accepted Paper Series
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 24
33.

On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter

Journal of Time Series Analysis, Vol. 28, No. 2, pp. 155-187, March 2007
Number of pages: 33 Posted: 17 Feb 2007
Accepted Paper Series
Ecole Nationale Superieure des Telecommunications, Ecole Nationale Superieure des Telecommunications and Boston University - Department of Mathematics and Statistics
Downloads 24
34.

Temporal Aggregation and Spurious Instantaneous Causality in Multiple Time Series Models

Journal of Time Series Analysis, Vol. 23, pp. 651-665, 2002
Number of pages: 15 Posted: 14 Feb 2003
Accepted Paper Series
Humboldt-Universitat Zu Berlin and Rutgers University - Department of Economics
Downloads 24
35.

Testing Composite Hypotheses for Locally Stationary Processes

Journal of Time Series Analysis, Vol. 24, pp. 483-504, July 2003
Number of pages: 22 Posted: 18 Nov 2003
Accepted Paper Series
Osaka University and Osaka University
Downloads 24
36.

Testing for Linear Trend with Application to Relative Primary Commodity Prices

Journal of Time Series Analysis, Vol. 24, pp. 539-551, September 2003
Number of pages: 13 Posted: 22 Oct 2003
Accepted Paper Series
University of Nottingham - School of Economics, University of Nottingham, University of Nottingham and University of Nottingham - School of Economics
Downloads 24
37.

Time-Varying Autoregressions with Model Order Uncertainty

Journal of Time Series Analysis, Vol. 23, pp. 599-618, 2002
Number of pages: 20 Posted: 14 May 2003
Accepted Paper Series
Universidad Simon Bolivar and Universidad Simon Bolivar
Downloads 24
38.

Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present Only Under the Alternative: An Application to Switching Regression Models

Journal of Time Series Analysis, Vol. 26, No. 5, pp. 715-741, September 2005
Number of pages: 27 Posted: 31 Aug 2005
Accepted Paper Series
University of Haifa - Department of Economics and Ben-Gurion University of the Negev
Downloads 24
39.

A Joint Test of Fractional Integration and Structural Breaks at a Known Period of Time

Journal of Time Series Analysis, Vol. 25, No. 5, pp. 691-700, September 2004
Number of pages: 10 Posted: 07 Sep 2004
Accepted Paper Series
University of Navarra - Department of Economics
Downloads 23
40.

A Nonparametric Test for Weak Dependence against Strong Cycles and its Bootstrap Analogue

Journal of Time Series Analysis, Vol. 28, No. 3, pp. 307-349, May 2007
Number of pages: 43 Posted: 02 May 2007
Accepted Paper Series
London School of Economics & Political Science (LSE) - Department of Economics
Downloads 23
41.

Book Review

Journal of Time Series Analysis, Vol. 25, No. 2, pp. 315-316, March 2004
Number of pages: 2 Posted: 26 Apr 2004
Accepted Paper Series
Loughborough University - Department of Economics
Downloads 23
42.

Estimating the Rank of the Spectral Density Matrix

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 37-48, January 2005
Number of pages: 12 Posted: 06 Jan 2005
Accepted Paper Series
European Central Bank (ECB) and University of London - Queen Mary College - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 23
43.

Estimation in Random Coefficient Autoregressive Models

Journal of Time Series Analysis, Vol. 27, No. 1, pp. 61-76, January 2006
Number of pages: 16 Posted: 11 Apr 2006
Accepted Paper Series
University of Utah - Department of Mathematics, University of Utah - Department of Mathematics and University of Cologne - Department of Mathematics
Downloads 23
44.

Modelling Count Data Time Series With Markov Processes Based on Binomial Thinning

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 725-738, September 2006
Number of pages: 14 Posted: 22 Mar 2007
Accepted Paper Series
McMaster University - Department of Mathematics & Statistics and University of British Columbia - Department of Statistics
Downloads 23
45.

Power of a Unit-Root Test and the Initial Condition

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 739-752, September 2006
Number of pages: 14 Posted: 22 Mar 2007
Accepted Paper Series
University of Nottingham - School of Economics and University of Nottingham
Downloads 23
46.

Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 83-105, January 2005
Number of pages: 23 Posted: 06 Jan 2005
Accepted Paper Series
ECARES, Universite Libre de Bruxelles and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 23
47.

Testing the Fit of a Vector Autoregressive Moving Average Model

Journal of Time Series Analysis, Vol. 26, No. 4, pp. 543-568, July 2005
Number of pages: 26 Posted: 24 Jun 2005
Accepted Paper Series
University of Cyprus - Department of Mathematics and Statistics
Downloads 23
48.

The Econometric Analysis of Seasonal Time Series

Journal of Time Series Analysis, Vol. 26, pp. 319-321, March 2005
Number of pages: 3 Posted: 18 Feb 2005
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 23
49.

A Note on Calculating Autocovariances of Long-memory Processes

Journal of Time Series Analysis, Vol. 23, pp. 503-508, 2002
Number of pages: 6 Posted: 23 Jun 2003
Accepted Paper Series
affiliation not provided to SSRN and University of Padua - Department of Statistical Sciences
Downloads 22
50.

Asymmetric Adjustment and Smooth Transitions: A Combination of Some Unit Root Tests

Journal of Time Series Analysis, Vol. 25, No. 3, pp. 409-417, May 2004
Number of pages: 9 Posted: 04 Jul 2004
Accepted Paper Series
Newcastle University (UK)
Downloads 22