| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Bootstrap Stationarity Test for Predictive Regression Invalidity |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
27 |
| A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models |
0 |
0 |
0 |
6 |
1 |
1 |
3 |
60 |
| A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION |
0 |
0 |
0 |
6 |
0 |
2 |
5 |
48 |
| A Generalised Fractional Differencing Bootstrap for Long Memory Processes |
0 |
0 |
0 |
5 |
0 |
1 |
4 |
22 |
| A Note on Testing Covariance Stationarity |
0 |
0 |
0 |
45 |
0 |
0 |
2 |
142 |
| A Review of Unit Root Tests in Time Series: Volumes 1 and 2 |
0 |
0 |
0 |
26 |
0 |
1 |
2 |
58 |
| A bootstrap test for additive outliers in non-stationary time series |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
57 |
| A simple, robust and powerful test of the trend hypothesis |
1 |
1 |
2 |
88 |
3 |
5 |
9 |
239 |
| ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL |
0 |
0 |
0 |
20 |
0 |
1 |
2 |
61 |
| Adaptive Inference in Heteroscedastic Fractional Time Series Models |
0 |
0 |
4 |
21 |
0 |
0 |
6 |
47 |
| Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
4 |
| Additional critical values and asymptotic representations for seasonal unit root tests |
0 |
0 |
0 |
75 |
1 |
1 |
2 |
184 |
| Additive Outlier Detection Via Extreme‐Value Theory |
0 |
1 |
2 |
84 |
0 |
1 |
4 |
420 |
| Alternative estimators and unit root tests for seasonal autoregressive processes |
0 |
0 |
0 |
50 |
5 |
5 |
9 |
191 |
| An optimal test against a random walk component in a non-orthogonal unobserved components model |
0 |
0 |
0 |
63 |
1 |
1 |
1 |
496 |
| BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY |
0 |
0 |
0 |
15 |
0 |
2 |
3 |
65 |
| BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY |
0 |
0 |
3 |
124 |
3 |
3 |
7 |
253 |
| Bonferroni Type Tests for Return Predictability and the Initial Condition |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors |
0 |
1 |
1 |
1 |
0 |
3 |
8 |
8 |
| Book Reviews |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
9 |
| Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
42 |
| Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
76 |
| Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models |
0 |
0 |
0 |
8 |
0 |
1 |
4 |
58 |
| Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models |
0 |
0 |
0 |
131 |
4 |
7 |
10 |
490 |
| Bootstrap M Unit Root Tests |
0 |
0 |
0 |
92 |
1 |
2 |
6 |
238 |
| Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets |
0 |
0 |
1 |
65 |
0 |
1 |
6 |
202 |
| Bootstrapping the HEGY seasonal unit root tests |
0 |
0 |
0 |
77 |
2 |
6 |
8 |
276 |
| COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY |
0 |
0 |
2 |
59 |
3 |
4 |
10 |
162 |
| CUSUM of Squares‐Based Tests for a Change in Persistence |
0 |
0 |
0 |
84 |
1 |
2 |
4 |
183 |
| CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility* |
0 |
0 |
1 |
5 |
4 |
5 |
15 |
33 |
| Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes |
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0 |
0 |
5 |
0 |
0 |
1 |
15 |
| Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? |
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0 |
0 |
1 |
3 |
3 |
6 |
| Conference in honour of Paul Newbold |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
54 |
| Controversy: On Modelling the Long Run in Applied Economics |
0 |
0 |
0 |
43 |
0 |
0 |
0 |
174 |
| Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363] |
0 |
0 |
0 |
81 |
2 |
2 |
2 |
224 |
| Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460 |
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0 |
0 |
0 |
0 |
0 |
1 |
10 |
| DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER |
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0 |
0 |
3 |
2 |
2 |
3 |
28 |
| Detecting Multiple Changes in Persistence |
0 |
0 |
2 |
191 |
2 |
3 |
5 |
398 |
| Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| Determining the order of differencing in seasonal time series processes |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
440 |
| Deterministic Parameter Change Models in Continuous and Discrete Time |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
18 |
| Editorial |
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| Editorial Announcement |
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| Editorial Announcement |
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| Editorial Announcement: Addendum to Journal of Time Series Analysis Distinguished Authors 2023 |
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| Editorial Announcement: Journal of Time Series Analysis Distinguished Authors |
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| Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021 |
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| Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022 |
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17 |
| Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024 |
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| Editorial Announcement: Professor Michael McAleer |
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12 |
| Editorial announcement |
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| Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020 |
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16 |
| Editorial, January 2018 |
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1 |
19 |
| Editorial, September 2018 |
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1 |
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23 |
| Efficient tests of the seasonal unit root hypothesis |
0 |
0 |
0 |
65 |
1 |
1 |
1 |
155 |
| Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330] |
0 |
0 |
0 |
16 |
2 |
3 |
4 |
63 |
| Extensions to IVX methods of inference for return predictability |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
8 |
| Fluctuation Tests for a Change in Persistence |
0 |
0 |
0 |
30 |
0 |
1 |
2 |
134 |
| HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT |
0 |
0 |
1 |
144 |
1 |
1 |
11 |
286 |
| Improved tests for stock return predictability |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
| In memory of Michael McAleer: special issue of Econometric Reviews |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| Inference on co-integration parameters in heteroskedastic vector autoregressions |
0 |
0 |
1 |
41 |
3 |
7 |
14 |
141 |
| Inferring internal states across mice and monkeys using facial features |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility |
0 |
0 |
0 |
14 |
0 |
0 |
3 |
73 |
| Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem |
0 |
0 |
0 |
5 |
0 |
3 |
3 |
21 |
| Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
2 |
5 |
0 |
0 |
3 |
12 |
| Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes |
0 |
0 |
0 |
34 |
2 |
9 |
11 |
142 |
| Modified tests for a change in persistence |
0 |
0 |
1 |
96 |
1 |
5 |
6 |
285 |
| Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume |
0 |
0 |
0 |
7 |
1 |
1 |
4 |
34 |
| New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages |
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2 |
592 |
2 |
2 |
10 |
1,625 |
| ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS |
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0 |
0 |
21 |
1 |
1 |
2 |
86 |
| ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES |
0 |
0 |
0 |
34 |
1 |
2 |
4 |
198 |
| ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
37 |
| ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION |
0 |
0 |
0 |
13 |
1 |
1 |
3 |
49 |
| On Robust Trend Function Hypothesis Testing |
0 |
0 |
0 |
67 |
1 |
1 |
2 |
200 |
| On infimum Dickey–Fuller unit root tests allowing for a trend break under the null |
0 |
0 |
0 |
4 |
1 |
2 |
2 |
33 |
| On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity |
0 |
0 |
0 |
41 |
3 |
5 |
8 |
144 |
| On tests for changes in persistence |
0 |
0 |
0 |
36 |
1 |
1 |
3 |
108 |
| On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles |
0 |
0 |
0 |
12 |
0 |
0 |
4 |
75 |
| On the Definitions of (Co‐)integration |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
| On the Power of GLS‐Type Unit Root Tests |
0 |
1 |
1 |
1 |
0 |
1 |
4 |
9 |
| On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
531 |
| On the limiting behaviour of augmented seasonal unit root tests |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
35 |
| On the practical problems of computing seasonal unit root tests |
0 |
0 |
0 |
39 |
3 |
3 |
4 |
116 |
| On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
156 |
| Persistence change tests and shifting stable autoregressions |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
72 |
| Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach |
0 |
0 |
0 |
0 |
3 |
3 |
3 |
3 |
| Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form |
0 |
0 |
0 |
49 |
1 |
1 |
5 |
179 |
| REGRESSION-BASED SEASONAL UNIT ROOT TESTS |
0 |
0 |
0 |
74 |
0 |
1 |
5 |
220 |
| REJOINDER |
0 |
0 |
0 |
10 |
1 |
1 |
4 |
48 |
| Real‐Time Monitoring for Explosive Financial Bubbles |
0 |
1 |
2 |
15 |
2 |
5 |
10 |
56 |
| Real‐time detection of regimes of predictability in the US equity premium |
0 |
0 |
0 |
5 |
1 |
1 |
2 |
18 |
| Recursive and rolling regression-based tests of the seasonal unit root hypothesis |
0 |
0 |
1 |
246 |
0 |
0 |
2 |
655 |
| Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
321 |
| Regression‐based Tests for a Change in Persistence* |
0 |
0 |
0 |
32 |
0 |
1 |
1 |
115 |
| Robust Stationarity Tests in Seasonal Time Series Processes |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
501 |
| Robust and Powerful Tests for Nonlinear Deterministic Components |
0 |
1 |
2 |
8 |
0 |
2 |
6 |
55 |
| Robust methods for detecting multiple level breaks in autocorrelated time series |
0 |
0 |
0 |
22 |
0 |
0 |
3 |
109 |
| Robust tests for a linear trend with an application to equity indices |
0 |
0 |
0 |
16 |
2 |
2 |
6 |
64 |
| Robust tests for deterministic seasonality and seasonal mean shifts |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
14 |
| SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS |
0 |
0 |
0 |
4 |
0 |
1 |
3 |
24 |
| SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS |
0 |
0 |
0 |
48 |
2 |
2 |
3 |
144 |
| SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION |
0 |
0 |
0 |
16 |
1 |
1 |
1 |
76 |
| SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
17 |
| SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION |
0 |
0 |
0 |
10 |
0 |
1 |
1 |
63 |
| STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER |
0 |
0 |
0 |
10 |
0 |
1 |
5 |
96 |
| STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS |
0 |
0 |
1 |
53 |
1 |
2 |
5 |
165 |
| Seasonal Unit Root Tests Based on Forward and Reverse Estimation |
0 |
0 |
0 |
48 |
1 |
1 |
2 |
157 |
| Seasonal unit root tests and the role of initial conditions |
0 |
0 |
0 |
31 |
2 |
3 |
4 |
165 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
1 |
3 |
18 |
2 |
5 |
12 |
60 |
| Simple tests for stock return predictability with good size and power properties |
0 |
0 |
0 |
9 |
1 |
1 |
1 |
25 |
| Some New Tests for a Change in Persistence |
0 |
0 |
0 |
18 |
1 |
1 |
3 |
46 |
| Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
26 |
| Special issue of the Journal of Empirical Finance Guest Editors' introduction |
0 |
0 |
0 |
9 |
0 |
1 |
4 |
62 |
| TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND |
0 |
0 |
0 |
52 |
1 |
1 |
5 |
155 |
| TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY |
0 |
0 |
0 |
43 |
2 |
2 |
3 |
133 |
| TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
8 |
| THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS |
0 |
0 |
1 |
17 |
1 |
1 |
5 |
78 |
| Temporal Aggregation of Seasonally Near‐Integrated Processes |
0 |
0 |
1 |
7 |
0 |
0 |
1 |
14 |
| Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots |
0 |
0 |
0 |
56 |
0 |
0 |
2 |
229 |
| Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics |
0 |
0 |
0 |
21 |
2 |
4 |
7 |
95 |
| Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices |
0 |
0 |
0 |
24 |
1 |
1 |
2 |
122 |
| Testing for Unit Roots in Monthly Time Series |
0 |
0 |
1 |
7 |
0 |
1 |
6 |
19 |
| Testing for a Change in Persistence in the Presence of a Volatility Shift* |
0 |
0 |
0 |
32 |
0 |
1 |
4 |
131 |
| Testing for a break in trend when the order of integration is unknown |
0 |
0 |
0 |
39 |
1 |
4 |
8 |
152 |
| Testing for a change in persistence in the presence of non-stationary volatility |
0 |
0 |
0 |
88 |
0 |
1 |
5 |
341 |
| Testing for co-integration in vector autoregressions with non-stationary volatility |
0 |
0 |
2 |
69 |
0 |
1 |
9 |
227 |
| Testing for episodic predictability in stock returns |
0 |
0 |
0 |
5 |
2 |
3 |
4 |
30 |
| Testing for parameter instability in predictive regression models |
0 |
0 |
0 |
8 |
2 |
2 |
3 |
71 |
| Testing for seasonal unit roots by frequency domain regression |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
66 |
| Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics |
0 |
0 |
0 |
52 |
1 |
2 |
6 |
211 |
| Testing for unit roots in the presence of uncertainty over both the trend and initial condition |
0 |
0 |
0 |
19 |
1 |
1 |
2 |
68 |
| Testing for unit roots in time series models with non-stationary volatility |
0 |
1 |
2 |
224 |
1 |
4 |
9 |
499 |
| Testing the Null of Co‐integration in the Presence of Variance Breaks |
0 |
0 |
0 |
70 |
1 |
2 |
4 |
167 |
| Tests for an end-of-sample bubble in financial time series |
0 |
0 |
0 |
8 |
1 |
3 |
5 |
36 |
| Tests for explosive financial bubbles in the presence of non-stationary volatility |
3 |
4 |
16 |
108 |
4 |
8 |
26 |
225 |
| Tests of stationarity against a change in persistence |
0 |
0 |
0 |
142 |
1 |
2 |
4 |
359 |
| Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
195 |
| Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point |
0 |
0 |
0 |
5 |
1 |
3 |
5 |
66 |
| The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag‐selection in Unit Root Tests |
0 |
0 |
0 |
24 |
2 |
3 |
4 |
138 |
| The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- |
1 |
2 |
4 |
23 |
1 |
6 |
14 |
82 |
| The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests |
0 |
0 |
0 |
9 |
3 |
3 |
7 |
75 |
| The impact of the initial condition on robust tests for a linear trend |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
35 |
| Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility |
0 |
0 |
2 |
83 |
1 |
2 |
5 |
190 |
| Transformed regression-based long-horizon predictability tests |
0 |
0 |
0 |
1 |
1 |
2 |
4 |
10 |
| UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS |
0 |
0 |
0 |
9 |
1 |
2 |
2 |
48 |
| UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION |
0 |
0 |
0 |
89 |
7 |
8 |
10 |
244 |
| Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date |
0 |
0 |
0 |
5 |
4 |
4 |
5 |
37 |
| Unit Root Tests and Heavy-Tailed Innovations |
0 |
0 |
0 |
11 |
2 |
2 |
4 |
39 |
| Unit root testing under a local break in trend |
0 |
0 |
0 |
21 |
1 |
3 |
7 |
106 |
| Using covariates to improve the efficacy of univariate bubble detection methods |
0 |
0 |
0 |
2 |
1 |
3 |
5 |
13 |
| Variance Shifts, Structural Breaks, and Stationarity Tests |
0 |
0 |
0 |
2 |
3 |
3 |
5 |
372 |
| Variance ratio tests of the seasonal unit root hypothesis |
0 |
0 |
1 |
54 |
0 |
0 |
1 |
159 |
| Wild Bootstrap of the Sample Mean in the Infinite Variance Case |
0 |
0 |
1 |
22 |
0 |
1 |
8 |
92 |
| Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
30 |
| Total Journal Articles |
5 |
14 |
68 |
5,264 |
146 |
266 |
624 |
19,419 |
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