Table of contents for issues of Journal of Time Series Analysis

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Volume 1, Number 1, January, 1980
Volume 1, Number 2, March, 1980
Volume 2, Number 1, January, 1981
Volume 2, Number 2, March, 1981
Volume 2, Number 3, May, 1981
Volume 2, Number 4, July, 1981
Volume 3, Number 1, January, 1982
Volume 3, Number 2, March, 1982
Volume 3, Number 3, May, 1982
Volume 3, Number 4, July, 1982
Volume 4, Number 1, January, 1983
Volume 4, Number 2, March, 1983
Volume 4, Number 3, May, 1983
Volume 4, Number 4, July, 1983
Volume 5, Number 1, January, 1984
Volume 5, Number 2, March, 1984
Volume 5, Number 3, May, 1984
Volume 5, Number 4, July, 1984
Volume 6, Number 1, January, 1985
Volume 6, Number 2, March, 1985
Volume 6, Number 3, May, 1985
Volume 6, Number 4, July, 1985
Volume 7, Number 1, January, 1986
Volume 7, Number 2, March, 1986
Volume 7, Number 3, May, 1986
Volume 7, Number 4, July, 1986
Volume 8, Number 1, January, 1987
Volume 8, Number 2, March, 1987
Volume 8, Number 3, May, 1987
Volume 8, Number 4, July, 1987
Volume 9, Number 1, January, 1988
Volume 9, Number 2, March, 1988
Volume 9, Number 3, May, 1988
Volume 9, Number 4, July, 1988
Volume 10, Number 1, January, 1989
Volume 10, Number 2, March, 1989
Volume 10, Number 3, May, 1989
Volume 10, Number 4, July, 1989
Volume 11, Number 1, January, 1990
Volume 11, Number 2, March, 1990
Volume 11, Number 3, May, 1990
Volume 11, Number 4, July, 1990
Volume 12, Number 1, January, 1991
Volume 12, Number 2, March, 1991
Volume 12, Number 3, May, 1991
Volume 12, Number 4, July, 1991
Volume 13, Number 1, January, 1992
Volume 13, Number 2, March, 1992
Volume 13, Number 3, May, 1992
Volume 13, Number 4, July, 1992
Volume 13, Number 5, September, 1992
Volume 13, Number 6, November, 1992
Volume 14, Number 1, January, 1993
Volume 14, Number 2, March, 1993
Volume 14, Number 3, May, 1993
Volume 14, Number 4, July, 1993
Volume 14, Number 5, September, 1993
Volume 14, Number 6, November, 1993
Volume 15, Number 1, January, 1994
Volume 15, Number 2, March, 1994
Volume 15, Number 3, May, 1994
Volume 15, Number 4, July, 1994
Volume 15, Number 5, September, 1994
Volume 15, Number 6, November, 1994
Volume 16, Number 1, January, 1995
Volume 16, Number 2, March, 1995
Volume 16, Number 3, May, 1995
Volume 16, Number 4, July, 1995
Volume 16, Number 5, September, 1995
Volume 16, Number 6, November, 1995
Volume 17, Number 1, January, 1996
Volume 17, Number 2, March, 1996
Volume 17, Number 3, May, 1996
Volume 17, Number 4, July, 1996
Volume 17, Number 5, September, 1996
Volume 17, Number 6, November, 1996
Volume 18, Number 1, January, 1997
Volume 18, Number 2, March, 1997
Volume 18, Number 3, May, 1997
Volume 18, Number 4, July, 1997
Volume 18, Number 5, September, 1997
Volume 18, Number 6, November, 1997
Volume 19, Number 1, January, 1998
Volume 19, Number 2, March, 1998
Volume 19, Number 3, May, 1998
Volume 19, Number 4, July, 1998
Volume 19, Number 5, September, 1998
Volume 19, Number 6, November, 1998
Volume 20, Number 1, January, 1999
Volume 20, Number 2, March, 1999
Volume 20, Number 3, May, 1999
Volume 20, Number 4, July, 1999
Volume 20, Number 5, September, 1999
Volume 20, Number 6, November, 1999
Volume 21, Number 1, January, 2000
Volume 21, Number 2, March, 2000
Volume 21, Number 3, May, 2000
Volume 21, Number 4, July, 2000
Volume 21, Number 5, September, 2000
Volume 21, Number 6, November, 2000
Volume 22, Number 1, January, 2001
Volume 22, Number 2, March, 2001
Volume 22, Number 3, May, 2001
Volume 22, Number 4, July, 2001
Volume 22, Number 5, September, 2001
Volume 22, Number 6, November, 2001
Volume 23, Number 1, January, 2002
Volume 23, Number 2, March, 2002
Volume 23, Number 3, May, 2002
Volume 23, Number 4, July, 2002
Volume 23, Number 5, September, 2002
Volume 23, Number 6, November, 2002
Volume 24, Number 1, January, 2003
Volume 24, Number 2, March, 2003
Volume 24, Number 3, May, 2003
Volume 24, Number 4, July, 2003
Volume 24, Number 5, September, 2003
Volume 24, Number 6, November, 2003
Volume 25, Number 1, January, 2004
Volume 25, Number 2, March, 2004
Volume 25, Number 3, May, 2004
Volume 25, Number 4, July, 2004
Volume 25, Number 5, September, 2004
Volume 25, Number 6, November, 2004
Volume 26, Number 1, January, 2005
Volume 26, Number 2, March, 2005
Volume 26, Number 3, May, 2005
Volume 26, Number 4, July, 2005
Volume 26, Number 5, September, 2005
Volume 26, Number 6, November, 2005
Volume 27, Number 1, January, 2006
Volume 27, Number 2, March, 2006
Volume 27, Number 3, May, 2006
Volume 27, Number 4, July, 2006
Volume 27, Number 5, September, 2006
Volume 27, Number 6, November, 2006
Volume 28, Number 1, January, 2007
Volume 28, Number 2, March, 2007
Volume 28, Number 3, May, 2007
Volume 28, Number 4, July, 2007
Volume 28, Number 5, September, 2007
Volume 28, Number 6, November, 2007
Volume 29, Number 1, January, 2008
Volume 29, Number 2, March, 2008
Volume 29, Number 3, May, 2008
Volume 29, Number 4, July, 2008
Volume 29, Number 5, September, 2008
Volume 29, Number 6, November, 2008
Volume 30, Number 1, January, 2009
Volume 30, Number 2, March, 2009
Volume 30, Number 3, May, 2009
Volume 30, Number 4, July, 2009
Volume 30, Number 5, September, 2009
Volume 30, Number 6, November, 2009
Volume 31, Number 1, January, 2010
Volume 31, Number 2, March, 2010
Volume 31, Number 3, May, 2010
Volume 31, Number 4, July, 2010
Volume 31, Number 5, September, 2010
Volume 31, Number 6, November, 2010
Volume 32, Number 1, January, 2011
Volume 32, Number 2, March, 2011
Volume 32, Number 3, May, 2011
Volume 32, Number 4, July, 2011
Volume 32, Number 5, September, 2011
Volume 32, Number 6, November, 2011
Volume 33, Number 1, January, 2012
Volume 33, Number 2, March, 2012
Volume 33, Number 3, May, 2012
Volume 33, Number 4, July, 2012
Volume 33, Number 5, September, 2012
Volume 33, Number 6, November, 2012
Volume 34, Number 1, January, 2013
Volume 34, Number 2, March, 2013
Volume 34, Number 3, May, 2013
Volume 34, Number 4, July, 2013
Volume 34, Number 5, September, 2013
Volume 34, Number 6, November, 2013
Volume 35, Number 1, January, 2014
Volume 35, Number 2, March, 2014
Volume 35, Number 3, May, 2014
Volume 35, Number 4, July, 2014
Volume 35, Number 5, September, 2014
Volume 35, Number 6, November, 2014
Volume 36, Number 1, January, 2015
Volume 36, Number 2, March, 2015
Volume 36, Number 3, May, 2015
Volume 36, Number 4, July, 2015
Volume 36, Number 5, September, 2015
Volume 36, Number 6, November, 2015
Volume 37, Number 1, January, 2016
Volume 37, Number 2, March, 2016
Volume 37, Number 3, May, 2016
Volume 37, Number 4, July, 2016
Volume 37, Number 5, September, 2016
Volume 37, Number 6, November, 2016
Volume 38, Number 1, January, 2017
Volume 38, Number 2, March, 2017
Volume 38, Number 3, May, 2017
Volume 38, Number 4, July, 2017
Volume 38, Number 5, September, 2017
Volume 38, Number 6, November, 2017
Volume 39, Number 1, January, 2018
Volume 39, Number 2, March, 2018
Volume 39, Number 3, May, 2018
Volume 39, Number 4, July, 2018
Volume 39, Number 5, September, 2018
Volume 39, Number 6, November, 2018
Volume 40, Number 1, January, 2019
Volume 40, Number 2, March, 2019
Volume 40, Number 3, May, 2019
Volume 40, Number 4, July, 2019
Volume 40, Number 5, September, 2019
Volume 40, Number 6, November, 2019
Volume 41, Number 1, January, 2020
Volume 41, Number 2, March, 2020
Volume 41, Number 3, May, 2020
Volume 41, Number 4, July, 2020
Volume 41, Number 5, September, 2020
Volume 41, Number 6, November, 2020
Volume 42, Number 1, January, 2021
Volume 42, Number 2, March, 2021
Volume 42, Number 3, May, 2021
Volume 42, Number 4, July, 2021
Volume 42, Number 5-6, September, 2021
Volume 43, Number 1, January, 2022
Volume 43, Number 2, March, 2022
Volume 43, Number 3, May, 2022
Volume 43, Number 4, July, 2022
Volume 43, Number 5, September, 2022
Volume 43, Number 6, November, 2022
Volume 44, Number 1, January, 2023
Volume 44, Number 2, March, 2023
Volume 44, Number 3, May, 2023
Volume 44, Number 4, July, 2023
Volume 44, Number 5-6, September, 2023
Volume 45, Number 1, January, 2024
Volume 45, Number 2, March, 2024
Volume 45, Number 3, May, 2024
Volume 45, Number 4, July, 2024
Volume 45, Number 5, September, 2024


Journal of Time Series Analysis
Volume 1, Number 1, January, 1980

                Hirotugu Akaike   Seasonal Adjustment by a Bayesian
                                  Modeling . . . . . . . . . . . . . . . . 1--13
           C. W. J. Granger and   
                Roselyne Joyeux   An Introduction to Long-Memory Time
                                  Series Models and Fractional
                                  Differencing . . . . . . . . . . . . . . 15--29
                   Paul Newbold   A Note on Relations Between Seasonally
                                  Adjusted Variables . . . . . . . . . . . 31--35
             D. F. Nicholls and   
                    B. G. Quinn   The Estimation of Random Coefficient
                                  Autoregressive Models. I . . . . . . . . 37--46
                M. B. Priestley   State-Dependent Models: a General
                                  Approach to Non-Linear Time Series
                                  Analysis . . . . . . . . . . . . . . . . 47--71
              Chen Zhao-Guo and   
                   E. J. Hannan   The Distribution of Periodogram
                                  Ordinates  . . . . . . . . . . . . . . . 73--82

Journal of Time Series Analysis
Volume 1, Number 2, March, 1980

             T. W. Anderson and   
           Raúl P. Mentz   On the Structure of the Likelihood
                                  Function of Autoregressive and Moving
                                  Average Models . . . . . . . . . . . . . 83--94
            David R. Brillinger   The Comparison of Least Squares and
                                  Third-Order Periodogram Procedures in
                                  the Estimation of Bifrequency  . . . . . 95--102
             Neville Davies and   
            Trevor Spedding and   
                 William Watson   Autoregressive Moving Average Processes
                                  with Non-Normal Residuals  . . . . . . . 103--109
          Michael L. Deaton and   
                Robert V. Foutz   Group Delay and the Time-Lag
                                  Relationship Between Stochastic
                                  Processes  . . . . . . . . . . . . . . . 111--118
                     Paul Evans   A Time-Series Test of the Natural-Rate
                                  Hypothesis . . . . . . . . . . . . . . . 119--133
              W. S. Hopwood and   
                     P. Newbold   Time Series Analysis in Accounting: a
                                  Survey and Analysis of Recent Issues . . 135--144
               T. Subba Rao and   
                     M. M. Gabr   A Test for Linearity of Stationary Time
                                  Series . . . . . . . . . . . . . . . . . 145--158


Journal of Time Series Analysis
Volume 2, Number 1, January, 1981

          Gwilym M. Jenkins and   
                 Athar S. Alavi   Some Aspects of Modelling and
                                  Forecasting Multivariate Time Series . . 1--47
               J. Pemberton and   
                        H. Tong   A Note on the Distributions of
                                  Non-Linear Autoregressive Stochastic
                                  Models . . . . . . . . . . . . . . . . . 49--52
             Masanobu Taniguchi   Robust Regression and Interpolation for
                                  Time Series  . . . . . . . . . . . . . . 53--62

Journal of Time Series Analysis
Volume 2, Number 2, March, 1981

                    A. Azzalini   Replicated Observations of Low Order
                                  Autoregressive Time Series . . . . . . . 63--70
      G. R. Dargahi-Noubary and   
                  P. J. Laycock   Spectral Ratio Discriminants and
                                  Information Theory . . . . . . . . . . . 71--86
                  Mituaki Huzii   Estimation of Coefficients of an
                                  Autoregressive Process by Using a Higher
                                  Order Moment . . . . . . . . . . . . . . 87--93
                   Heejoon Kang   Necessary and Sufficient Conditions for
                                  Causality Testing in Multivariate ARMA
                                  Models . . . . . . . . . . . . . . . . . 95--101
              Genshiro Kitagawa   A Nonstationary Time Series Model and
                                  Its Fitting by a Recursive Filter  . . . 103--116

Journal of Time Series Analysis
Volume 2, Number 3, May, 1981

              Jean-Marie Dufour   Rank Tests for Serial Dependence . . . . 117--128
                    W. Dunsmuir   Estimation of Periodically Varying Means
                                  and Standard Deviations in Time Series
                                  Data . . . . . . . . . . . . . . . . . . 129--153
                 M. M. Gabr and   
                   T. Subba Rao   The Estimation and Prediction of Subset
                                  Bilinear Time Series Models with
                                  Applications . . . . . . . . . . . . . . 155--171
              William B. Gordon   Accuracy of Linear Spectral Estimates of
                                  Band-Limited Signals . . . . . . . . . . 173--184
                B. G. Quinn and   
                 D. F. Nicholls   The Estimation of Random Coefficient
                                  Autogressive Models. II  . . . . . . . . 185--203

Journal of Time Series Analysis
Volume 2, Number 4, July, 1981

           Jeffrey B. Birch and   
              R. Douglas Martin   Confidence Intervals for Robust
                                  Estimates of the First Order
                                  Autoregressive Parameter . . . . . . . . 205--220
                   A. C. Harvey   Finite Sample Prediction and
                                  Overdifferencing . . . . . . . . . . . . 221--232
          Agnes M. Herzberg and   
                   J. S. Hickie   An Investigation of Andrews' Plots to
                                  Show Time Variation of Model Parameters  233--262
              D. S. Poskitt and   
                 A. R. Tremayne   A Time Series Application of the Use of
                                  Monte Carlo Methods to Compare
                                  Statistical Tests  . . . . . . . . . . . 263--277
                        H. Tong   A Note on a Markov Bilinear Stochastic
                                  Process in Discrete Time . . . . . . . . 279--284


Journal of Time Series Analysis
Volume 3, Number 1, January, 1982

                  K. S. Lii and   
              K. N. Helland and   
                  M. Rosenblatt   Estimating Three-Dimensional Energy
                                  Transfer in Isotropic Turbulence . . . . 1--28
                       T. Ozaki   The Statistical Analysis of Perturbed
                                  Limit Cycle Processes Using Nonlinear
                                  Time Series Models . . . . . . . . . . . 29--41
            Jack H. W. Penm and   
                  R. D. Terrell   On the Recursive Fitting of Subset
                                  Autoregressions  . . . . . . . . . . . . 43--59
                   Peter Praetz   The Market Model, CAPM and Efficiency in
                                  the Frequency Domain . . . . . . . . . . 61--79

Journal of Time Series Analysis
Volume 3, Number 2, March, 1982

            M. N. Bhattacharyya   Lydia Pinkham Data Remodelled  . . . . . 81--102
               C. W. J. Granger   Acronyms in Time Series Analysis (ATSA)  103--107
                       T. Hasan   Nonlinear Time Series Regression for a
                                  Class of Amplitude Modulated
                                  Consinusoids . . . . . . . . . . . . . . 109--122
                B. G. Quinn and   
                 D. F. Nicholls   Testing for the Randomness of
                                  Autoregressive Coefficients  . . . . . . 123--135
                        H. Tong   A Note on Using Threshold Autoregressive
                                  Models for Multi-Step-Ahead Prediction
                                  of Cyclical Data . . . . . . . . . . . . 137--140

Journal of Time Series Analysis
Volume 3, Number 3, May, 1982

               B. R. Clarke and   
                E. J. Godolphin   Comparative Power Studies for Goodness
                                  of Fit Tests of Time Series Models . . . 141--151
               D. M. Cooper and   
                     E. F. Wood   Identifying Multivariate Time Series
                                  Models . . . . . . . . . . . . . . . . . 153--164
           Bradley W. Dickinson   Sufficient Statistics for Stationary
                                  Discrete-Time Gaussian Random Processes  165--168
               Melvin J. Hinich   Testing for Gaussianity and Linearity of
                                  a Stationary Time Series . . . . . . . . 169--176
                  G. J. Janacek   Determining the Degree of Differencing
                                  for Time Series Via the Log Spectrum . . 177--183
               Saleem A. Kassam   Robust Hypothesis Testing and Robust
                                  Time Series Interpolation and Regression 185--194
             Harald E. Krogstad   On the Covariance of the Periodogram . . 195--207
           John S. Tyssedal and   
           Dag Tjòstheim   Autoregressive Processes with a Time
                                  Dependent Variance . . . . . . . . . . . 209--217

Journal of Time Series Analysis
Volume 3, Number 4, July, 1982

                      Anonymous   Book Reviews . . . . . . . . . . . . . . 283--285
                    A. Azzalini   Approximate Filtering of Parameter
                                  Driven Processes . . . . . . . . . . . . 219--223
              N. Cantarelis and   
                 F. R. Johnston   On-Line Variance Estimation for the
                                  Steady State Bayesian Forecasting Model  225--234
          Helmut Lütkepohl   Differencing Multiple Time Series:
                                  Another Look at Canadian Money and
                                  Income Data  . . . . . . . . . . . . . . 235--243
               Domenico Piccolo   The Size of the Stationarity and
                                  Invertibility Region of an
                                  Autoregressive-Moving Average Process    245--247
                    B. G. Quinn   A Note on the Existence of Strictly
                                  Stationary Solutions to Bilinear
                                  Equations  . . . . . . . . . . . . . . . 249--252
              R. H. Shumway and   
                  D. S. Stoffer   An Approach to Time Series Smoothing and
                                  Forecasting Using the EM Algorithm . . . 253--264
       Dag Tjòstheim and   
                Jostein Paulsen   Empirical Identification of Multiple
                                  Time Series  . . . . . . . . . . . . . . 265--282


Journal of Time Series Analysis
Volume 4, Number 1, January, 1983

           S. B. Fotopoulos and   
                      W. D. Ray   Components of Prediction Errors for a
                                  Stationary Process with Estimated
                                  Parameters . . . . . . . . . . . . . . . 1--8
                An Hong-Zhi and   
              Chen Zhao-Guo and   
                   E. J. Hannan   A Note on ARMA Estimation  . . . . . . . 9--17
               P. A. Jacobs and   
                 P. A. W. Lewis   Stationary Discrete
                                  Autoregressive-Moving Average Time
                                  Series Generated by Mixtures . . . . . . 19--36
                   Paul Kabaila   On the Asymptotic Efficiency of
                                  Estimators of the Parameters of an ARMA
                                  Process  . . . . . . . . . . . . . . . . 37--47
              Pedro A. Morettin   A Note on a Central Limit Theorem for
                                  Stationary Processes . . . . . . . . . . 49--52
                 P. Newbold and   
                         T. Bos   On $q$-Conditioned Partial Correlations  53--55
                Yoshimichi Ochi   Asymptotic Expansions for the
                                  Distribution of an Estimator in the
                                  First-Order Autoregressive Process . . . 57--67
               Pentti Saikkonen   Asymptotic Relative Efficiency of Some
                                  Tests of Fit in Time Series Models . . . 69--78

Journal of Time Series Analysis
Volume 4, Number 2, March, 1983

            Francesco Battaglia   Inverse Autocovariances and a Measure of
                                  Linear Determinism for a Stationary
                                  Process  . . . . . . . . . . . . . . . . 79--87
                   W. K. Li and   
                      Y. V. Hui   Estimation of Random Coefficient
                                  Autoregressive Process: an Empirical
                                  Bayes Approach . . . . . . . . . . . . . 89--94
            M. Bhaskara Rao and   
               T. Subba Rao and   
                   A. M. Walker   On the Existence of Some Bilinear Time
                                  Series Models  . . . . . . . . . . . . . 95--110
                  B. Truong-Van   Generalized Seasonal ARIMA Processes:
                                  Regularity/Singularity Criteria and
                                  Linear Prediction  . . . . . . . . . . . 111--126
                   A. Ullah and   
           V. K. Srivastava and   
                   L. Magee and   
                  A. Srivastava   Estimation of Linear Regression Model
                                  with Autocorrelated Disturbances . . . . 127--135

Journal of Time Series Analysis
Volume 4, Number 3, May, 1983

                 R. J. Bhansali   Estimation of the Order of a Moving
                                  Average Model from Autoregressive and
                                  Window Estimates of the Inverse
                                  Correlation Function . . . . . . . . . . 137--162
                Rainer Dahlhaus   Spectral Analysis with Tapered Data  . . 163--175
                    Per Hokstad   A Method for Diagnostic Checking of Time
                                  Series Models  . . . . . . . . . . . . . 177--183
                 P. M. Robinson   Nonparametric Estimators for Time Series 185--207
              Wang Shou-Ren and   
                An Hong-Zhi and   
                        H. Tong   On the Distribution of a Simple
                                  Stationary Bilinear Process  . . . . . . 209--216

Journal of Time Series Analysis
Volume 4, Number 4, July, 1983

                 Mukhtar M. Ali   A Note on Approximating the Distribution
                                  of the Durbin-Watson Statistic . . . . . 217--220
                John Geweke and   
             Susan Porter-Hudak   The Estimation and Application of Long
                                  Memory Time Series Models  . . . . . . . 221--238
                  K. S. Lim and   
                        H. Tong   A Statistical Approach to
                                  Difference-Delay Equation Modelling in
                                  Ecology --- Two Case Studies . . . . . . 239--267
               A. I. McLeod and   
                       W. K. Li   Diagnostic Checking ARMA Time Series
                                  Models Using Squared-Residual
                                  Autocorrelations . . . . . . . . . . . . 269--273


Journal of Time Series Analysis
Volume 5, Number 1, January, 1984

          B. D. O. Anderson and   
                    M. Deistler   Identifiability in Dynamic
                                  Errors-In-Variables Models . . . . . . . 1--13
                Allan P. Layton   A Further Note on the Detection of
                                  Granger Instantaneous Causality  . . . . 15--18
           Anders Milhòj   Multiplicative Exponential Models for
                                  Stationary Time Series . . . . . . . . . 19--35
             Masanobu Taniguchi   Validity of Edgeworth Expansions for
                                  Statistics of Time Series  . . . . . . . 37--51
                 Pham Dinh Tuan   The Estimation of Parameters for
                                  Autoregressive Moving Average Models . . 53--68

Journal of Time Series Analysis
Volume 5, Number 2, March, 1984

                  V. Haggan and   
               S. M. Heravi and   
                M. B. Priestley   A Study of the Application of
                                  State-Dependent Models in Non-Linear
                                  Time Series Analysis . . . . . . . . . . 69--102
                  V. Haggan and   
                 O. B. Oyetunji   On the Selection of Subset
                                  Autoregressive Time Series Models  . . . 103--113
                Jostein Paulsen   Order Determination of Multivariate
                                  Autoregressive Time Series with Unit
                                  Roots  . . . . . . . . . . . . . . . . . 115--127
                Andrew A. Weiss   Arma Models with Arch Errors . . . . . . 129--143

Journal of Time Series Analysis
Volume 5, Number 3, May, 1984

               Quang Phuc Duong   On the Choice of the Order of
                                  Autoregressive Models: a Ranking and
                                  Selection Approach . . . . . . . . . . . 145--157
              E. M. R. A. Engel   A Unified Approach to the Study of Sums,
                                  Products, Time-Aggregation and Other
                                  Functions of ARMA Processes  . . . . . . 159--171
                       W. K. Li   On the Autocorrelation Structure and
                                  Identification of Some Bilinear Time
                                  Series . . . . . . . . . . . . . . . . . 173--181
                 D. Piccolo and   
          G. Tunnicliffe Wilson   A Unified Approach to ARMA Model
                                  Identification and Preliminary
                                  Estimation . . . . . . . . . . . . . . . 183--204

Journal of Time Series Analysis
Volume 5, Number 4, July, 1984

                 C. Corradi and   
                     C. Scarani   A Note on the Computation of the
                                  Bayesian Decomposition of a Time Series  205--212
               David F. Findley   On Some Ambiguities Associated with the
                                  Fitting of ARMA Models to Time Series    213--225
                  Jurgen Franke   On the Robust Prediction and
                                  Interpolation of Time Series in the
                                  Presence of Correlated Noise . . . . . . 227--244
                 Makio Ishiguro   Computationally Efficient Implementation
                                  of a Bayesian Seasonal Adjustment
                                  Procedure  . . . . . . . . . . . . . . . 245--253
               N. D. Morris and   
                 D. Pfeffermann   A Kalman Filter Approach to the
                                  Forecasting of Monthly Time Series
                                  Affected by Morris Festivals . . . . . . 255--268
             Daniel Peña   The Autocorrelation Function of Seasonal
                                  ARMA Models  . . . . . . . . . . . . . . 269--272
                 Pham Dinh Tuan   A Note on Some Statistics Useful in
                                  Identifying the Order of Autoregressive
                                  Moving Average Model . . . . . . . . . . 273--279


Journal of Time Series Analysis
Volume 6, Number 1, January, 1985

             Paul D. Feigin and   
             Richard L. Tweedie   Random Coefficient Autoregressive
                                  Processes: a Markov Chain Analysis of
                                  Stationarity and Finiteness of Moments   1--14
              J.-P. Florens and   
                    M. Mouchart   Conditioning in Dynamic Models . . . . . 15--34
          Helmut Lütkepohl   Comparison of Criteria for Estimating
                                  the Order of a Vector Autoregressive
                                  Process  . . . . . . . . . . . . . . . . 35--52
                  Chen Zhao-Guo   The Asymptotic Efficiency of a Linear
                                  Procedure of Estimation for ARMA Models  53--62

Journal of Time Series Analysis
Volume 6, Number 2, March, 1985

              D. F. Gingras and   
                       E. Masry   Spectral Density Estimation from
                                  Nonlinearly Observed Data  . . . . . . . 63--80
              Guy Mélard   Examples of the Evolutionary Spectrum
                                  Theory . . . . . . . . . . . . . . . . . 81--90
                D. N. P. Murthy   First Order Auto-Regressive Model
                                  Parameter Estimation with Periodic
                                  Observations . . . . . . . . . . . . . . 91--95
        U. Stadtmüller and   
                    R. Trautner   Asymptotic Behaviour of Discrete Linear
                                  Processes  . . . . . . . . . . . . . . . 97--108
              Harry H. Tigelaar   Identification of Noisy Linear Systems
                                  with Multiple ARMA Inputs  . . . . . . . 109--115
       Dag Tjòstheim and   
                Jostein Paulsen   Least Squares Estimates and Order
                                  Determination Procedures for
                                  Autoregressive Processes with a Time
                                  Dependent Variance . . . . . . . . . . . 117--133
                  Joe Whittaker   Additive Elements of ARMA Models . . . . 135--140

Journal of Time Series Analysis
Volume 6, Number 3, May, 1985

           Judith W. Koslov and   
               Richard H. Jones   A Unified Approach to Confidence Bounds
                                  for the Autoregressive Spectral
                                  Estimator  . . . . . . . . . . . . . . . 141--151
                   Keh-Shin Lii   Transfer Function Model Order and
                                  Parameter Estimation . . . . . . . . . . 153--169
           Timo Teräsvirta   Mink and Muskrat Interaction: A
                                  Structural Analysis  . . . . . . . . . . 171--180
                Andrew A. Weiss   The Stability of the $ {\rm AR}(1) $
                                  Process with an $ {\rm AR}(1) $
                                  Coefficient  . . . . . . . . . . . . . . 181--186
               Yoshihiro Yajima   Asymptotic Properties of the Sample
                                  Autocorrelations and Partial
                                  Autocorrelations of a Multiplicative
                                  ARIMA Process  . . . . . . . . . . . . . 187--201

Journal of Time Series Analysis
Volume 6, Number 4, July, 1985

          Phillip A. Cartwright   Forecasting Time Series: A Comparative
                                  Analysis of Alternative Classes of Time
                                  Series Models  . . . . . . . . . . . . . 203--211
                Rainer Dahlhaus   On the Asymptotic Distribution of
                                  Bartlett's $ U_p $-Statistic . . . . . . 213--227
                  D. F. Findley   On the Unbiasedness Property of AIC for
                                  Exact Or Approximating Linear Stochastic
                                  Time Series Models . . . . . . . . . . . 229--252
                  Reg Kulperger   On an Optimality Property of Whittle's
                                  Gaussian Estimate of the Parameter of
                                  the Spectrum of a Time Series  . . . . . 253--259
               David S. Stoffer   Central Limit Theorems for Finite
                                  Walsh-Fourier Transforms of Weakly
                                  Stationary Time Series . . . . . . . . . 261--267
                    N. Watanabe   Note on the Kalman Filter with Estimated
                                  Parameters . . . . . . . . . . . . . . . 269--278


Journal of Time Series Analysis
Volume 7, Number 1, January, 1986

             Ji\vri And\vel and   
        Tomá\^s Barto\vn   A Note on the Threshold $ {\rm AR}(1) $
                                  Model with Cauchy Innovations  . . . . . 1--5
               D. S. Coates and   
                   P. J. Diggle   Tests for Comparing Two Estimated
                                  Spectral Densities . . . . . . . . . . . 7--20
               John Darroch and   
            Miloslav Jirina and   
                  John McDonald   The Sum of Finite Moving Average
                                  Processes  . . . . . . . . . . . . . . . 21--25
               E. J. Hannan and   
                  L. Kavalieris   Regression, Autoregression Models  . . . 27--49
           Dag Tjòstheim   Some Doubly Stochastic Time Series
                                  Models . . . . . . . . . . . . . . . . . 51--72
                 Pham Dinh Tuan   A Frequency Domain Approach to Lagrange
                                  Multiplier Test for Autoregressive
                                  Moving Average Models  . . . . . . . . . 73--78

Journal of Time Series Analysis
Volume 7, Number 2, March, 1986

                 R. J. Bhansali   The Criterion Autoregressive Transfer
                                  Function of Parzen . . . . . . . . . . . 79--104
          Deborah A. Guyton and   
             Nien-Fan Zhang and   
                Robert V. Foutz   A Random Parameter Process for Modeling
                                  and Forecasting Time Series  . . . . . . 105--115
                  Kuldeep Kumar   On the Identification of Some Bilinear
                                  Time Series Models . . . . . . . . . . . 117--122
              Mohsen Pourahmadi   On Stationarity of the Solution of a
                                  Doubly Stochastic Model  . . . . . . . . 123--131
               Pentti Saikkonen   Asymptotic Properties of Some
                                  Preliminary Estimators for
                                  Autoregressive Moving Average Time
                                  Series Models  . . . . . . . . . . . . . 133--155

Journal of Time Series Analysis
Volume 7, Number 3, May, 1986

             S. I. Akamanam and   
            M. Bhaskara Rao and   
                 K. Subramanyam   On the Ergodicity of Bilinear Time
                                  Series Models  . . . . . . . . . . . . . 157--163
                      Anonymous   Announcement . . . . . . . . . . . . . . i--i
          Richard A. Ashley and   
       Douglas M. Patterson and   
               Melvin J. Hinich   A Diagnostic Test for Nonlinear Serial
                                  Dependence in Time Series Fitting Errors 165--178
                 K. S. Chan and   
                        H. Tong   On Estimating Thresholds in
                                  Autoregressive Models  . . . . . . . . . 179--190
                   Piet de Jong   State Transition Specification in
                                  State-Space Models . . . . . . . . . . . 213--216
       Wolfgang Härdle and   
                 Pham-Dinh Tuan   Some Theory on $M$-Smoothing of Time
                                  Series . . . . . . . . . . . . . . . . . 191--204
    Göran Högnäs   Comparison of Some Non-Linear
                                  Autoregressive Processes . . . . . . . . 205--211
              D. S. Poskitt and   
                 A. R. Tremayne   Some Aspects of the Performance of
                                  Diagnostic Checks in Bivariate Time
                                  Series Models  . . . . . . . . . . . . . 217--233

Journal of Time Series Analysis
Volume 7, Number 4, July, 1986

             T. W. Anderson and   
              Akimichi Takemura   Why Do Noninvertible Estimated Moving
                                  Averages Occur?  . . . . . . . . . . . . 235--254
                Don Coursey and   
                   Hans Nyquist   A Procedure for Obtaining $M$-Estimates
                                  in Regression Models with Serially
                                  Dependent Errors . . . . . . . . . . . . 255--267
          Joseph D. Petruccelli   On the Consistency of Least Squares
                                  Estimators for a Threshold $ {\rm AR}(1)
                                  $ Model  . . . . . . . . . . . . . . . . 269--278
            Daniel O. Stram and   
              William W. S. Wei   A Methodological Note on the
                                  Disaggregation of Time Series Totals . . 293--302
            Daniel O. Stram and   
              William W. S. Wei   Temporal Aggregation in the ARIMA
                                  Process  . . . . . . . . . . . . . . . . 279--292
                 Andrew A. Weis   On the Stability of a Heteroscedastic
                                  Process  . . . . . . . . . . . . . . . . 303--310


Journal of Time Series Analysis
Volume 8, Number 1, January, 1987

                Juha Ahtola and   
                 George C. Tiao   Distributions of Least Squares
                                  Estimators of Autoregressive Parameters
                                  for a Process with Complex Roots on the
                                  Unit Circle  . . . . . . . . . . . . . . 1--14
                Juha Ahtola and   
                 George C. Tiao   A Note on Asymptotic Inference in
                                  Autoregressive Models with Roots on the
                                  Unit Circle  . . . . . . . . . . . . . . 15--19
    Kaizô I. Beltrato and   
               Peter Bloomfield   Determining the Bandwidth of a Kernel
                                  Spectrum Estimate  . . . . . . . . . . . 21--38
                 Benjamin Kedem   Detection of Periodicities by
                                  Higher-Order Crossings . . . . . . . . . 39--50
                   Keith Knight   Rate of Convergence of Centred Estimates
                                  of Autoregressive Parameters for
                                  Infinite Variance Autoregressions  . . . 51--60
         V. A. Samaranayake and   
                 David P. Hasza   The Asymptotic Properties of the Sample
                                  Autocorrelations for a Multiple
                                  Autoregressive Process with One Unit
                                  Root . . . . . . . . . . . . . . . . . . 79--93
                     B. L. Shea   Estimation of Multivariate Time Series   95--109
             Masanobu Taniguchi   Third Order Asymptotic Properties of
                                  BLUE and LSE for a Regression Model with
                                  ARMA Residual  . . . . . . . . . . . . . 111--114
                 Pham Dinh Tuan   Exact Maximum Likelihood Estimate and
                                  Lagrange Multiplier Test Statistic for
                                  ARMA Models  . . . . . . . . . . . . . . 61--78
              Kenneth F. Wallis   Time Series Analysis of Bounded Economic
                                  Variables  . . . . . . . . . . . . . . . 115--123

Journal of Time Series Analysis
Volume 8, Number 2, March, 1987

                   Piero Barone   A Method for Generating Independent
                                  Realizations of a Multivariate Normal
                                  Stationary and Invertible $ {\rm
                                  ARMA}(p, q) $ Process  . . . . . . . . . 125--130
            Corrado Corradi and   
                Claudia Scarani   Improving the Computational Efficiency
                                  of the Bayesian Decomposition of a Time
                                  Series: a Comment  . . . . . . . . . . . 131--133
                 Serge Degerine   Maximum Likelihood Estimation of
                                  Autocovariance Matrices from Replicated
                                  Short Time Series  . . . . . . . . . . . 135--146
            Ludwig Fahrmeir and   
                 Heinz Kaufmann   Regression Models for Non-Stationary
                                  Categorical Time Series  . . . . . . . . 147--160
                      K. S. Lim   A Comparative Study of Various
                                  Univariate Time Series Models for
                                  Canadian Lynx Data . . . . . . . . . . . 161--176
           Agustin Maravall and   
                David A. Pierce   A Prototypical Seasonal Adjustment Model 177--193
            Abdelkader Mokkadem   Sur un modéle autorégressif non linéaire,
                                  ergodicité et ergodicité géométrique.
                                  (French) [On a non-linear autoregressive
                                  model, ergodicity and geometric
                                  ergodicity]  . . . . . . . . . . . . . . 195--204
                     Boaz Porat   Some Asymptotic Properties of the Sample
                                  Covariances of Gaussian Autoregressive
                                  Moving-Average Processes . . . . . . . . 205--220
      Boonchai K. Stensholt and   
           Dag Tjòstheim   Multiple Bilinear Time Series Models . . 221--233
                    S. Yakowitz   Nearest-Neighbour Methods for Time
                                  Series Analysis  . . . . . . . . . . . . 235--247

Journal of Time Series Analysis
Volume 8, Number 3, May, 1987

              Juan Carlos Abril   The Approximate Densities of Some
                                  Quadratic Forms of Stationary Random
                                  Variables  . . . . . . . . . . . . . . . 249--259
               M. A. Al-Osh and   
                   A. A. Alzaid   First-Order Integer-Valued
                                  Autoregressive ($ {\rm INAR}(1) $)
                                  Process  . . . . . . . . . . . . . . . . 261--275
                      Anonymous   Correction . . . . . . . . . . . . . . . i--i
                 K. S. Chan and   
                        H. Tong   A Note on Embedding a Discrete Parameter
                                  ARMA Model in a Continuous Parameter
                                  ARMA Model . . . . . . . . . . . . . . . 277--281
                Kamal C. Chanda   Asymptotic Expansions for the
                                  Distributions of Serial Correlations . . 283--291
         Tomás Cipra and   
            Pavel Tlustý   Estimation in Multiple
                                  Autoregressive-Moving Average Models
                                  Using Periodicity  . . . . . . . . . . . 293--300
                   Paul Kabaila   On Rissanen's Lower Bound on the
                                  Accumulated Mean-Square Prediction Error 301--309
                 Antti J. Kanto   A Formula for the Inverse
                                  Autocorrelation Function of an
                                  Autoregressive Process . . . . . . . . . 311--312
                     C. O'Brien   A Test for Non-Linearity of Prediction
                                  in Time Series . . . . . . . . . . . . . 313--327
                 P. M. Robinson   Time Series Residuals with Application
                                  to Probability Density Estimation  . . . 329--344
            Sándor Veres   Asymptotic Distributions of Likelihood
                                  Ratios for Overparametrized ARMA
                                  Processes  . . . . . . . . . . . . . . . 345--357
                   Kent D. Wall   Identification Theory for Varying
                                  Coefficient Regression Models  . . . . . 359--371

Journal of Time Series Analysis
Volume 8, Number 4, July, 1987

              Jirí Andel   On Linear Processes with Given Moments   373--378
                  M. A. Cameron   An Automatic Non-Parametric Spectrum
                                  Estimator  . . . . . . . . . . . . . . . 379--387
              Dominique. Guegan   Different Representations for Bilinear
                                  Models . . . . . . . . . . . . . . . . . 389--408
               Marc. Hallin and   
Jean-François Ingenbleek and   
                  Madan L. Puri   Linear and Quadratic Serial Rank Tests
                                  for Randomness Against Serial Dependence 409--424
               Roselyne. Joyeux   Slowly Changing Processes and
                                  Harmonizability  . . . . . . . . . . . . 425--431
              Mike I. Moore and   
             Andy W. Visser and   
          Tim G. L. Shirtcliffe   Experiences with the Brillinger Spectral
                                  Estimator Applied to Simulated
                                  Irregularly Observed Processes . . . . . 433--442
                John. Pemberton   Exact Least Squares Multi-Step
                                  Prediction from Nonlinear Autoregressive
                                  Models . . . . . . . . . . . . . . . . . 443--448
               David S. Stoffer   Walsh-Fourier Analysis of
                                  Discrete-Valued Time Series  . . . . . . 449--467
       Ladislav. Tomásek   Asymptotic Simultaneous Confidence Bands
                                  for Autoregressive Spectral Density  . . 469--477
               Raja P. Velu and   
            Dean W. Wichern and   
             Gregory C. Reinsel   A Note on Non-Stationarity and Canonical
                                  Analysis of Multiple Time Series Models  479--487


Journal of Time Series Analysis
Volume 9, Number 1, January, 1988

            Francesco Battaglia   On the Estimation of the Inverse
                                  Correlation Function . . . . . . . . . . 1--10
                     M. M. Gabr   On the Third-Order Moment Structure and
                                  Bispectral Analysis of Some Bilinear
                                  Time Series  . . . . . . . . . . . . . . 11--20
               E. J. Hannan and   
                  P. J. Thomson   Time Delay Estimation  . . . . . . . . . 21--33
              R. L. Kashyap and   
                    Kie-Bum Eom   Estimation in Long-Memory Time Series
                                  Model  . . . . . . . . . . . . . . . . . 35--41
           Richard A. Lewis and   
             Gregory C. Reinsel   Prediction Error of Multivariate Time
                                  Series with Mis-Specified Models . . . . 43--57
                Pieter W. Otter   Structural, Dynamic Modelling in
                                  Unobservable Spaces of
                                  Covariance-Stationary Stochastic
                                  Processes  . . . . . . . . . . . . . . . 59--72
                         D. Ray   Asymptotic Mean Square Prediction Error
                                  for a Multivariate Autoregressive Model
                                  with Random Coefficients . . . . . . . . 73--80
              Thomas S. Shively   An Exact Test for a Stochastic
                                  Coefficient in a Time Series Regression
                                  Model  . . . . . . . . . . . . . . . . . 81--88
               Antonie Stam and   
              Steven C. Hillmer   Marginals of Multivariate First-Order
                                  Autoregressive Time Series Models  . . . 89--97
           A. Thavaneswaran and   
                     B. Abraham   Estimation for Non-Linear Time Series
                                  Models Using Estimating Equations  . . . 99--108

Journal of Time Series Analysis
Volume 9, Number 2, March, 1988

              Bovas Abraham and   
                 Nihal Yatawara   A Score Test for Detection of Time
                                  Series Outliers  . . . . . . . . . . . . 109--119
                 Tim Bollerslev   On the Correlation Structure for the
                                  Generalized Autoregressive Conditional
                                  Heteroskedastic Process  . . . . . . . . 121--131
                 H. L. Gray and   
                 Nien Fan Zhang   On a Class of Nonstationary Processes    133--154
                   W. K. Li and   
                   A. I. McLeod   Arma Modelling with Non-Gaussian
                                  Innovations  . . . . . . . . . . . . . . 155--168
            Michael McAleer and   
             C. R. McKenzie and   
                     A. D. Hall   Testing Separate Time Series Models  . . 169--189
          Alexander Samarov and   
                 Murad S. Taqqu   On the Efficiency of the Sample Mean in
                                  Long-Memory Noise  . . . . . . . . . . . 191--200

Journal of Time Series Analysis
Volume 9, Number 3, May, 1988

               A. C. Harvey and   
                 P. M. Robinson   Efficient Estimation of Nonstationary
                                  Time Series Regression . . . . . . . . . 201--214
               M. S. Peiris and   
                B. J. C. Perera   On Prediction with Fractionally
                                  Differenced ARIMA Models . . . . . . . . 215--220
        B. M. Pötscher and   
                E. Reschenhofer   Discriminating Between Two Spectral
                                  Densities in Case of Replicated
                                  Observations . . . . . . . . . . . . . . 221--224
              Mohsen Pourahmadi   Stationarity of the Solution of $ X_t =
                                  A_t X_{t - 1} + \epsilon_t $ and
                                  Analysis of Non-Gaussian Dependent
                                  Random Variables . . . . . . . . . . . . 225--239
                    B. G. Quinn   A Note on AIC Order Determination for
                                  Multivariate Autoregressions . . . . . . 241--245
                   Ruey S. Tsay   Non-Linear Time Series Analysis of
                                  Blowfly Population . . . . . . . . . . . 247--263
                 Pham Dinh Tuan   Estimation of Autoregressive Parameters
                                  and Order Selection for ARMA Models  . . 265--279
               E. Willekens and   
                  J. L. Teugels   Subordination of Stationary Processes    281--299
                  Chen Zhao-Guo   An Alternative Consistent Procedure for
                                  Detecting Hidden Frequencies . . . . . . 301--317

Journal of Time Series Analysis
Volume 9, Number 4, July, 1988

                  Kung-sik Chan   On the Existence of the Stationary and
                                  Ergodic Near( p ) Model  . . . . . . . . 319--328
               C. W. J. Granger   Models That Generate Trends  . . . . . . 329--343
                  Mituaki Huzii   Some Properties of Conditional
                                  Quasi-Likelihood Functions for Time
                                  Series Model Fitting . . . . . . . . . . 345--353
                 Greta M. Ljung   On the Lagrange Multiplier Test for
                                  Autoregressive Moving-Average Models . . 355--359
         V. A. Samaranayake and   
                 David P. Hasza   Properties of Predictors for
                                  Multivariate Autoregressive Models with
                                  Estimated Parameters . . . . . . . . . . 361--383
             S. A. O. Sesay and   
                   T. Subba Rao   Yule--Walker Type Difference Equations
                                  for Higher-Order Moments and Cumulants
                                  for Bilinear Time Series Models  . . . . 385--401
                     B. L. Shea   A Note on the Generation of Independent
                                  Realizations of a Vector Autoregressive
                                  Moving-Average Process . . . . . . . . . 403--410
                     C. J. Tian   A Limiting Property of Sample
                                  Autocovariances of Periodically
                                  Correlated Processes with Application to
                                  Period Determination . . . . . . . . . . 411--417


Journal of Time Series Analysis
Volume 10, Number 1, January, 1989

              Jirí Andel   Non-Negative Autoregressive Processes    1--11
               E. J. Hannan and   
                    B. G. Quinn   The Resolution of Closely Adjacent
                                  Spectral Lines . . . . . . . . . . . . . 13--31
                       Jian Liu   A Simple Condition for the Existence of
                                  Some Stationary Bilinear Time Series . . 33--39
          Guy Mélard and   
    Annie Herteleer-de Schutter   Contributions to Evolutionary Spectral
                                  Theory . . . . . . . . . . . . . . . . . 41--63
          Joseph D. Petruccelli   Autoregressive Processes with Normal
                                  Stationary Distributions . . . . . . . . 65--70
                    B. G. Quinn   Estimating the Number of Terms in a
                                  Sinusoidal Regression  . . . . . . . . . 71--75
                      Adi Raveh   A New Version of Structural Persistence
                                  in Prediction  . . . . . . . . . . . . . 77--93

Journal of Time Series Analysis
Volume 10, Number 2, March, 1989

            M. S. Al-Qassam and   
                     J. A. Lane   Forecasting Exponential Autoregressive
                                  Models of Order 1  . . . . . . . . . . . 95--113
           Yudianto Pawitan and   
                  R. H. Shumway   Spectral Estimation and Deconvolution
                                  for a Linear Time Series Model . . . . . 115--129
                  Andy Pole and   
                      Mike West   Reference Analysis of the Dynamic Linear
                                  Model  . . . . . . . . . . . . . . . . . 131--147
              Mohsen Pourahmadi   Estimation and Interpolation of Missing
                                  Values of a Stationary Time Series . . . 149--169
               T. Subba Rao and   
                     M. M. Gabr   The Estimation of Spectrum, Inverse
                                  Spectrum and Inverse Autocovariances of
                                  a Stationary Time Series . . . . . . . . 183--202
         Fuminori Sakaguchi and   
                  Hideaki Sakai   A Composite Linear Model Generating a
                                  Stationary Stochastic Process with Given
                                  Third-Order Autocorrelation Function . . 171--181

Journal of Time Series Analysis
Volume 10, Number 3, May, 1989

           Javier Alagón   Spectral Discrimination for Two Groups
                                  of Time Series . . . . . . . . . . . . . 203--214
                 R. J. Bhansali   Estimation of the Moving-Average
                                  Representation of a Stationary Process
                                  by Autoregressive Model Fitting  . . . . 215--232
              Henry L. Gray and   
             Nien-Fan Zhang and   
              Wayne A. Woodward   On Generalized Fractional Processes  . . 233--257
               Luiz Koodi Hotta   Identification of Unobserved Components
                                  Models . . . . . . . . . . . . . . . . . 259--270
                  L. Kavalieris   The Estimation of the Order of an
                                  Autoregression Using Recursive Residuals
                                  and Cross-Validation . . . . . . . . . . 271--281
                    Bo Wahlberg   Estimation of Autoregressive
                                  Moving-Average Models Via High-Order
                                  Autoregressive Approximations  . . . . . 283--299

Journal of Time Series Analysis
Volume 10, Number 4, July, 1989

              John T. Batts and   
               Robert F. McNown   The Predictive Performance of Three
                                  Autoregressive Moving-Average Models: A
                                  Monte Carlo Investigation  . . . . . . . 301--314
                   S. W. He and   
                     J. G. Wang   On Embedding a Discrete-Parameter ARMA
                                  Model in a Continuous-Parameter ARMA
                                  Model  . . . . . . . . . . . . . . . . . 315--323
            Sergio Koreisha and   
                  Tarmo Pukkila   Fast Linear Estimation Methods for
                                  Vector Autoregressive Moving-Average
                                  Models . . . . . . . . . . . . . . . . . 325--339
                       Jian Liu   On the Existence of a General Multiple
                                  Bilinear Time Series . . . . . . . . . . 341--355
                   Ruey S. Tsay   Identifying Multivariate Time Series
                                  Models . . . . . . . . . . . . . . . . . 357--372
          G. Tunnicliffe-Wilson   Non-Linear and Non-Stationary Time
                                  Series Analysis  . . . . . . . . . . . . 385--386
                 Gu Xinjian and   
                    Huang Yiyun   A Simulation Method for Non-Normal
                                  Random Processes . . . . . . . . . . . . 373--374
               Yoshihiro Yajima   A Central Limit Theorem of Fourier
                                  Transforms of Strongly Dependent
                                  Stationary Processes . . . . . . . . . . 375--383


Journal of Time Series Analysis
Volume 11, Number 1, January, 1990

          Stig-Inge Beckman and   
                  Jan Holst and   
                 Georg Lindgren   Alarm Characteristics for a Flood
                                  Warning System with Deterministic
                                  Components . . . . . . . . . . . . . . . 1--18
              G. J. Janacek and   
                    A. L. Swift   A Class of Models for Non-Normal Time
                                  Series . . . . . . . . . . . . . . . . . 19--31
              R. Moeanaddin and   
                    Howell Tong   Numerical Evaluation of Distributions in
                                  Non-Linear Autoregression  . . . . . . . 33--48
              Hideaki Sakai and   
             Fuminori Sakaguchi   Simultaneous Confidence Bands for the
                                  Spectral Estimate of Two-Channel
                                  Autoregressive Processes . . . . . . . . 49--56
               David S. Stoffer   Multivariate Walsh-Fourier Analysis  . . 57--73
                  B. Y. Thanoon   Subset Threshold Autoregression with
                                  Applications . . . . . . . . . . . . . . 75--87

Journal of Time Series Analysis
Volume 11, Number 2, March, 1990

     F. Javier Fernández   Estimation and Testing of a Multivariate
                                  Exponential Smoothing Model  . . . . . . 89--105
                    Dawei Huang   Selecting Order for General
                                  Autoregressive Models by Minimum
                                  Description Length . . . . . . . . . . . 107--119
        Clifford M. Hurvich and   
        Kaizô I. Beltrato   Cross-Validatory Choice of a Spectrum
                                  Estimate and Its Connections with AIC    121--137
            Sergio Koreisha and   
                  Tarmo Pukkila   A Generalized Least-Squares Approach for
                                  Estimation of Autoregressive
                                  Moving-Average Models  . . . . . . . . . 139--151
               Domenico Piccolo   A Distance Measure for Classifying ARIMA
                                  Models . . . . . . . . . . . . . . . . . 153--164
            B. M. Pötscher   Estimation of Autoregressive
                                  Moving-Average Order Given an Infinite
                                  Number of Models and Approximation of
                                  Spectral Densities . . . . . . . . . . . 165--179

Journal of Time Series Analysis
Volume 11, Number 3, May, 1990

            Craig F. Ansley and   
                    Robert Kohn   A Note on Square Root Filtering for
                                  Vector Autoregressive Moving-Average
                                  Models . . . . . . . . . . . . . . . . . 181--183
               K. C. Chanda and   
                F. H. Ruymgaart   General Linear Processes: A Property of
                                  the Empirical Process Applied to Density
                                  and Mode Estimation  . . . . . . . . . . 185--199
                 Shuyuan He and   
                 Benjamin Kedem   The Zero-Crossing Rate of Autoregressive
                                  Processes and Its Link to Unit Roots . . 201--213
              Won Kyung Kim and   
                 L. Billard and   
                   I. V. Basawa   Estimation for the First-Order Diagonal
                                  Bilinear Time Series Model . . . . . . . 215--229
         André Klein and   
              Guy Mélard   Fisher's Information Matrix for Seasonal
                                  Autoregressive-Moving Average Models . . 231--237
                Theo Nijman and   
                     Franz Palm   Parameter Identification in ARMA
                                  Processes in the Presence of Regular But
                                  Incomplete Sampling  . . . . . . . . . . 239--248
                Alun Lloyd Pope   Biases of Estimators in Multivariate
                                  Non-Gaussian Autoregressions . . . . . . 249--258
         Nalini Ravishanker and   
          Edward L. Melnick and   
                 Chih-Ling Tsai   Differential Geometry of ARMA Models . . 259--274

Journal of Time Series Analysis
Volume 11, Number 4, July, 1990

            Craig F. Ansley and   
                    Robert Kohn   Filtering and Smoothing in State Space
                                  Models with Partially Diffuse Initial
                                  Conditions . . . . . . . . . . . . . . . 275--293
                    Dawei Huang   Levinson-Type Recursive Algorithms for
                                  Least-Squares Autoregression . . . . . . 295--315
              Johannes Ledolter   Outlier Diagnostics in Time Series
                                  Analysis . . . . . . . . . . . . . . . . 317--324
            M. S. Mackisack and   
                  D. S. Poskitt   Some Properties of Autoregressive
                                  Estimates for Processes with Mixed
                                  Spectra  . . . . . . . . . . . . . . . . 325--337
             N. G. Shephard and   
                   A. C. Harvey   On the Probability of Estimating a
                                  Deterministic Component in the Local
                                  Level Model  . . . . . . . . . . . . . . 339--347
                    A. L. Swift   Orders and Initial Values of
                                  Non-Stationary Multivariate ARMA Models  349--359
            K. L. Vaninskii and   
                   A. M. Yaglom   Stationary Processes with a Finite
                                  Number of Non-Zero Canonical
                                  Correlations Between Future and Past . . 361--375


Journal of Time Series Analysis
Volume 12, Number 1, January, 1991

                   Masanao Aoki   A State Space Time Series Modelling
                                  Method Without Individual Detrending . . 1--26
                Qiansheng Cheng   Parameter Estimation in Exponential
                                  Models . . . . . . . . . . . . . . . . . 27--40
                 James Davidson   The Cointegration Properties of Vector
                                  Autoregression Models  . . . . . . . . . 41--62
                   Peter T. Kim   Consistent Estimation of the
                                  Fourth-Order Cumulant Spectral Density   63--71
                  Hideaki Sakai   On the Spectral Density Matrix of a
                                  Periodic ARMA Process  . . . . . . . . . 73--82
                  Myint Swe and   
             Masanobu Taniguchi   Higher-Order Asymptotic Properties of a
                                  Weighted Estimator for Gaussian ARMA
                                  Processes  . . . . . . . . . . . . . . . 83--93

Journal of Time Series Analysis
Volume 12, Number 2, March, 1991

     William T. M. Dunsmuir and   
               Nancy M. Spencer   Strong Consistency and Asymptotic
                                  Normality of /1 Estimates of the
                                  Autoregressive Moving-Average Model  . . 95--104
              Carlo Grillenzoni   Iterative and Recursive Estimation of
                                  Transfer Functions . . . . . . . . . . . 105--127
                Du Jin-Guan and   
                        Li Yuan   The Integer-Valued Autoregressive $
                                  ({\rm INAR}(p)) $ Model  . . . . . . . . 129--142
                   Piet De Jong   Stable Algorithms for the State Space
                                  Model  . . . . . . . . . . . . . . . . . 143--157
             S. A. O. Sesay and   
                   T. Subba Rao   Difference Equations for Higher-Order
                                  Moments and Cumulants for the Bilinear
                                  Time Series Model ${\rm Bl}(p, 0, p, 1)$ 159--177

Journal of Time Series Analysis
Volume 12, Number 3, May, 1991

                 L. Billard and   
               Fouad Y. Mohamed   Estimation of the Parameters of an ${\rm
                                  Ear}(p)$ Process . . . . . . . . . . . . 179--192
               Byoung Seon Choi   On the Asymptotic Distribution of the
                                  Generalized Partial Autocorrelation
                                  Function in Autoregressive
                                  Moving-Average Processes . . . . . . . . 193--205
           C. W. J. Granger and   
                   Jeff Hallman   Nonlinear Transformations of Integrated
                                  Time Series  . . . . . . . . . . . . . . 207--224
          Raymond L. H. Lam and   
                Donald G. Watts   Profile Summaries for ARIMA Time Series
                                  Model Parameters . . . . . . . . . . . . 225--235
          Piotr W. Mikulski and   
             Michael J. Monsour   Optimality of the Maximum Likelihood
                                  Estimator in First-Order Autoregressive
                                  Processes  . . . . . . . . . . . . . . . 237--253
           H. Joseph Newton and   
            Gerald R. North and   
              Thomas J. Crowley   Forecasting Global Ice Volume  . . . . . 255--265
             Fuminori Sakaguchi   A Relation for `Linearity' of the
                                  Bispectrum . . . . . . . . . . . . . . . 267--272

Journal of Time Series Analysis
Volume 12, Number 4, July, 1991

                A. Azzalini and   
                    A. C. Frigo   An Explicit Nearly Unbiased Estimate of
                                  the $ {\rm AR}(1) $ Parameter for
                                  Repeated Measurements  . . . . . . . . . 273--281
               William Bell and   
                 Steven Hillmer   Initializing the Kalman Filter for
                                  Nonstationary Time Series Models . . . . 283--300
                Kamal C. Chanda   Stationarity and Central Limit Theorem
                                  Associated with Bilinear Time Series
                                  Models . . . . . . . . . . . . . . . . . 301--313
               Shean-Tsong Chiu   A Linear Estimation Procedure for the
                                  Parameters of Autoregressive
                                  Moving-Average Processes . . . . . . . . 315--327
                      D. R. Cox   Long-Range Dependence, Non-Linearity and
                                  Time Irreversibility . . . . . . . . . . 329--335
              Harry L. Hurd and   
                   Neil L. Gerr   Graphical Methods for Determining the
                                  Presence of Periodic Correlation . . . . 337--350
                 Guy Melard and   
          Marianne Paesmans and   
                       Roch Roy   Consistent Estimation of the Asymptotic
                                  Covariance Structure of Multivariate
                                  Serial Correlations  . . . . . . . . . . 351--361
               Gwo-Hsing Yu and   
                  Yow-Chang Lin   A Methodology for Selecting Subset
                                  Autoregressive Time Series Models  . . . 363--373


Journal of Time Series Analysis
Volume 13, Number 1, January, 1992

             Hector Allende and   
               Siegfried Heiler   Recursive Generalized M Estimates for
                                  Autoregressive Moving-Average Models . . 1--18
             Ngai Hang Chan and   
                  Lanh Tat Tran   Nonparametric Tests for Serial
                                  Dependence . . . . . . . . . . . . . . . 19--28
                  Alastair Hall   Joint Hypothesis Tests for a Random Walk
                                  Based on Instrumental Variable
                                  Estimators . . . . . . . . . . . . . . . 29--45
              F. Javier Hidalgo   Adaptive Semiparametric Estimation in
                                  the Presence of Autocorrelation of
                                  Unknown Form . . . . . . . . . . . . . . 47--78
                Vance L. Martin   Threshold Time Series Models As
                                  Multimodal Distribution Jump Processes   79--94

Journal of Time Series Analysis
Volume 13, Number 2, March, 1992

         Peter J. Brockwell and   
                   Jian Liu and   
             Richard L. Tweedie   On the Existence of Stationary Threshold
                                  Autoregressive Moving-Average Processes  95--107
                Roselyne Joyeux   Tests for Seasonal Cointegration Using
                                  Principal Components . . . . . . . . . . 109--118
                      K. S. Lim   On the Stability of a Threshold $ {\rm
                                  AR}(1) $ Without Intercepts  . . . . . . 119--132
         Gregory C. Reinsel and   
            Sabyasachi Basu and   
                   Sook Fwe Yap   Maximum Likelihood Estimators in the
                                  Multivariate Autoregressive
                                  Moving-Average Model from a Generalized
                                  Least Squares Viewpoint  . . . . . . . . 133--145
                 Dinh Pham Tuan   Approximate Distribution of Parameter
                                  Estimators for First-Order
                                  Autoregressive Models  . . . . . . . . . 147--170
                     Guofu Zhou   Algorithms for Estimation of Possibly
                                  Nonstationary Vector Time Series . . . . 171--188

Journal of Time Series Analysis
Volume 13, Number 3, May, 1992

                      Anonymous   Correction . . . . . . . . . . . . . . . 281--282
                  P. Burman and   
                       D. Nolan   Data-Dependent Estimation of Prediction
                                  Functions  . . . . . . . . . . . . . . . 189--207
       Wolfgang Härdle and   
                  Philippe Vieu   Kernel Regression Smoothing of Time
                                  Series . . . . . . . . . . . . . . . . . 209--232
           Melvin J. Hinich and   
           Douglas M. Patterson   A New Diagnostic Test of Model
                                  Inadequacy Which Uses the Martingale
                                  Difference Criterion . . . . . . . . . . 233--252
             A. J. Lawrance and   
                 P. A. W. Lewis   Reversed Residuals in Autoregressive
                                  Time Series Analysis . . . . . . . . . . 253--266
             A. Rabinovitch and   
                  R. Thieberger   `Purifying' Noisy Signals  . . . . . . . 267--280

Journal of Time Series Analysis
Volume 13, Number 4, July, 1992

                    An Hong-zhi   Non-Negative Autoregressive Models . . . 283--295
          Jens-Peter Kreiss and   
             Jürgen Franke   Bootstrapping Stationary Autoregressive
                                  Moving-Average Models  . . . . . . . . . 297--317
                       Jian Liu   Spectral Radius, Kronecker Products and
                                  Stationarity . . . . . . . . . . . . . . 319--325
             J. M. Marriott and   
                 A. F. M. Smith   Reparametrization Aspects of Numerical
                                  Bayesian Methodology for Autoregressive
                                  Moving-Average Models  . . . . . . . . . 327--343
          Mohsen Pourahmadi and   
                   A. G. Miamee   Computation of Canonical Correlation
                                  Between Past and Future of a Time Series 345--351
         Gregory C. Reinsel and   
                    Sung K. Ahn   Vector Autoregressive Models with Unit
                                  Roots and Reduced Rank Structure:
                                  Estimation. Likelihood Ratio Test, and
                                  Forecasting  . . . . . . . . . . . . . . 353--375

Journal of Time Series Analysis
Volume 13, Number 5, September, 1992

               F. J. Breidt and   
                    R. A. Davis   Time-Reversibility, Identifiability and
                                  Independence of Innovations for
                                  Stationary Time Series . . . . . . . . . 377--390
                  K.-S. Lii and   
                     T.-H. Tsou   Detecting Sinusoids in Non-Gaussian
                                  Noise  . . . . . . . . . . . . . . . . . 391--409
                 Pablo Marshall   State Space Models with Diffuse Initial
                                  Conditions . . . . . . . . . . . . . . . 411--414
     Efstathios Paparoditis and   
               Bernd Streitberg   Order Identification Statistics in
                                  Stationary Autoregressive Moving-Average
                                  Models:Vector Autocorrelations and the
                                  Bootstrap  . . . . . . . . . . . . . . . 415--434
            E. Reschenhofer and   
                    I. M. Bomze   Testing for White Noise Against
                                  Multimodal Spectral Alternatives . . . . 435--439
                    A. G. Rigas   Spectral Analysis of Stationary Point
                                  Processes Using the Fast Fourier
                                  Transform Algorithm  . . . . . . . . . . 441--450
                    H.-C. Zhang   Reduction of the Asymptotic Bias of
                                  Autoregressive and Spectral Estimators
                                  by Tapering  . . . . . . . . . . . . . . 451--469

Journal of Time Series Analysis
Volume 13, Number 6, November, 1992

             C. Agiakloglou and   
                     P. Newbold   Empirical Evidence on
                                  Dickey--Fuller-Type Tests  . . . . . . . 471--483
                 O. D. Anderson   Partial Autocorrelation Properties for
                                  Non-Stationary Autoregressive
                                  Moving-Average Models  . . . . . . . . . 485--500
                 A. K. Bera and   
                  M. L. Higgins   A Test for Conditional
                                  Heteroskedasticity in Time Series Models 501--519
             S. A. O. Sesay and   
                   T. Subba Rao   Frequency-Domain Estimation of Bilinear
                                  Time Series Models . . . . . . . . . . . 521--545
                    J. Yuan and   
                   T. Subba Rao   Classification of Textures Using
                                  Second-Order Spectra . . . . . . . . . . 547--562


Journal of Time Series Analysis
Volume 14, Number 1, January, 1993

             P. L. Anderson and   
                  A. V. Vecchia   Asymptotic Results for Periodic
                                  Autoregressive Moving-Average Processes  1--18
           J. R. M. Hosking and   
             Nalini Ravishanker   Approximate Simultaneous Significance
                                  Intervals for Residual Autocorrelations
                                  of Autoregressive Moving-Average Time
                                  Series Models  . . . . . . . . . . . . . 19--26
                   D. Huang and   
                      V. V. Anh   Estimation of the Non-Stationary Factor
                                  in Aruma Models  . . . . . . . . . . . . 27--46
         Sergio G. Koreisha and   
                  Tarmo Pukkila   Determining the Order of a Vector
                                  Autoregression When the Number of
                                  Component Series Is Large  . . . . . . . 47--69
       William P. McCormick and   
                  George Mathew   Estimation for Nonnegative
                                  Autoregressive Processes with an Unknown
                                  Location Parameter . . . . . . . . . . . 71--92
               Sean P. Meyn and   
                        Lei Guo   Geometric Ergodicity of a Doubly
                                  Stochastic Time Series Model . . . . . . 93--108

Journal of Time Series Analysis
Volume 14, Number 2, March, 1993

              Jirí Andel   A Time Series Model with Suddenly
                                  Changing Parameters  . . . . . . . . . . 111--123
                 R. J. Bhansali   Estimation of the Prediction Error
                                  Variance and an $ R^2 $ Measure by
                                  Autoregressive Model Fitting . . . . . . 125--146
               E. J. Hannan and   
                       D. Huang   On-Line Frequency Estimation . . . . . . 147--161
               P. E. Hodges and   
                     D. F. Hale   A Computational Method for Estimating
                                  Densities of Non-Gaussian Nonstationary
                                  Univariate Time Series . . . . . . . . . 163--178
                An Hong-Zhi and   
                   Huang Fuchun   Estimation for Regressive and
                                  Autoregressive Models with Non-Negative
                                  Residual Errors  . . . . . . . . . . . . 179--191
        Donald E. K. Martin and   
                 Benjamin Kedem   Estimation of the Period of Periodically
                                  Correlated Sequences . . . . . . . . . . 193--205
                   A. I. McLeod   A Note on ARMA Model Parameter
                                  Redundancy . . . . . . . . . . . . . . . 207--208
       Timo Teräsvirta and   
               Chien-Fu Lin and   
            Clive W. J. Granger   Power of the Neural Network Linearity
                                  Test . . . . . . . . . . . . . . . . . . 209--220

Journal of Time Series Analysis
Volume 14, Number 3, May, 1993

              Bovas Abraham and   
                   Alice Chuang   Expectation-Maximization Algorithms and
                                  the Estimation of Time Series Models in
                                  the Presence of Outliers . . . . . . . . 221--234
       Christos Agiakloglou and   
               Paul Newbold and   
                     Mark Wohar   Bias in an Estimator of the Fractional
                                  Difference Parameter . . . . . . . . . . 235--246
                     Jushan Bai   On the Partial Sums of Residuals in
                                  Autoregressive and Moving Average Models 247--260
                L. K. Hotta and   
                J. Cardosc Neto   The Effect of Aggregation on Prediction
                                  in Autoregressive Integrated
                                  Moving-Average Models  . . . . . . . . . 261--269
        Clifford M. Hurvich and   
                 Chih-Ling Tsai   A Corrected Akaike Information Criterion
                                  for Vector Autoregressive Model
                                  Selection  . . . . . . . . . . . . . . . 271--279
                 Rob J. Hyndman   Yule--Walker Estimates for
                                  Continuous-Time Autoregressive Models    281--296
                Dankit Nassiuma   Non-Stationary Autoregressive
                                  Moving-Average Processes with Infinite
                                  Variance . . . . . . . . . . . . . . . . 297--304
              Sa\"\id Nsiri and   
                       Roch Roy   On the Invertibility of Multivariate
                                  Linear Processes . . . . . . . . . . . . 305--316
                 James C. Spall   The Distribution of Nonstationary
                                  Autoregressive Processes Under General
                                  Noise Conditions . . . . . . . . . . . . 317--330

Journal of Time Series Analysis
Volume 14, Number 4, July, 1993

                Yin-Wong Cheung   Tests for Fractional Integration: A
                                  Monte Carlo Investigation  . . . . . . . 331--345
                 Peter Hall and   
                Jeffrey D. Hart   On the Probability of Error When Using a
                                  General Akaike-Type Criterion to
                                  Estimate Autoregression Order  . . . . . 347--368
                    Uwe Hassler   Regression of Spectral Estimators with
                                  Fractionally Integrated Time Series  . . 369--380
                   B. Smith and   
                       C. Field   Variance Estimation for Quadratic
                                  Statistics . . . . . . . . . . . . . . . 381--395
         Masanobu Taniguchi and   
                    Masao Kondo   Non-Parametric Approach in Time Series
                                  Analysis . . . . . . . . . . . . . . . . 397--408
  Clélia M. C. Toloi and   
              Pedro A. Morettin   Spectral Analysis for
                                  Amplitude-Modulated Time Series  . . . . 409--432
                   Xiaobao Wang   An AIC Type Estimator for the Number of
                                  Cosinusoids  . . . . . . . . . . . . . . 433--440

Journal of Time Series Analysis
Volume 14, Number 5, September, 1993

                John Geweke and   
                 Nobuhiko Terui   Bayesian Threshold Autoregressive Models
                                  for Nonlinear Time Series  . . . . . . . 441--454
                    Uwe Hassler   The Periodogram Regression . . . . . . . 549--549
        Clifford M. Hurvich and   
               Kaizo I. Beltrao   Asymptotics for the Low-Frequency
                                  Ordinates of the Periodogram of a
                                  Long-Memory Time Series  . . . . . . . . 455--472
                   Paul Kabaila   On Bootstrap Predictive Inference for
                                  Autoregressive Processes . . . . . . . . 473--484
                  L. Kavalieris   Transfer Function Estimation . . . . . . 485--496
                 M. Minozzo and   
                    A. Azzalini   On the Unimodality of the Exact
                                  Likelihood Function for Normal $ {\rm
                                  AR}(2) $ Series  . . . . . . . . . . . . 497--509
                  Bonnie K. Ray   Modeling Long-Memory Processes for
                                  Optimal Long-Range Prediction  . . . . . 511--525
                 Hermann Singer   Continuous-Time Dynamical Systems with
                                  Sampled Data, Errors of Measurement and
                                  Unobserved Components  . . . . . . . . . 527--545
                    J. C. Spall   Correction to ``The Distribution of
                                  Nonstationary Autoregressive Processes
                                  Under General Noise Conditions'' . . . . 550--550
                   Xiaobao Wang   Non-Singularity of Fisher Information
                                  for Autoregressive Moving-Average
                                  Processes  . . . . . . . . . . . . . . . 547--548

Journal of Time Series Analysis
Volume 14, Number 6, November, 1993

             Oliver D. Anderson   Exact General-Lag Serial Correlation
                                  Moments and Approximate Low-Lag Partial
                                  Correlation Moments for Gaussian White
                                  Noise  . . . . . . . . . . . . . . . . . 551--574
                     Ta-Hsin Li   Estimation and Blind Deconvolution of
                                  Autoregressive Systems with
                                  Nonstationary Binary Inputs  . . . . . . 575--588
         Gaëtan Libert and   
                 Liang Wang and   
                        Bao Liu   An Innovation State Space Approach for
                                  Time Series Forecasting  . . . . . . . . 589--601
            Jack H. W. Penm and   
             Jammie H. Penm and   
                  R. D. Terrell   The Recursive Fitting of Subset VARX
                                  Models . . . . . . . . . . . . . . . . . 603--619
                  Hideaki Sakai   The Determination of the Number of Terms
                                  in a Multichannel Sinusoidal Regression  621--628
                  Dong Wan Shin   Maximum Likelihood Estimation for
                                  Autoregressive Processes Disturbed by a
                                  Moving Average . . . . . . . . . . . . . 629--643
                  Taylan A. Ula   Forecasting of Multivariate Periodic
                                  Autoregressive Moving-Average Processes  645--657


Journal of Time Series Analysis
Volume 15, Number 1, January, 1994

            Ming Chun Chang and   
                David A. Dickey   Recognizing Overdifferenced Time Series  1--18
                    Uwe Hassler   (Mis)Specification of Long Memory in
                                  Seasonal Time Series . . . . . . . . . . 19--30
        Clifford M. Hurvich and   
               Kaizo I. Beltrao   Acknowledgement of Priority for
                                  ``Asymptotics for the Low-Frequency
                                  Ordinates of the Periodogram of a
                                  Long-Memory Time Series''  . . . . . . . 64--64
                    A. Kadi and   
               G. Oppenheim and   
                    M. C. Viano   Random Aggregation of Univariate and
                                  Multivariate Linear Processes  . . . . . 31--43
             Benjamin Kedem and   
                 James Troendle   An Iterative Filtering Algorithm for
                                  Non-Fourier Frequency Estimation . . . . 45--63
               Jenny N. Lye and   
                Vance L. Martin   Non-Linear Time Series Modelling and
                                  Distributional Flexibility . . . . . . . 65--84
                 D. Pfeffermann   A General Method for Estimating the
                                  Variances of X-11 Seasonally Adjusted
                                  Estimators . . . . . . . . . . . . . . . 85--116
             Guoqiang Zhang and   
             Masanobu Taniguchi   Discriminant Analysis for Stationary
                                  Vector Time Series . . . . . . . . . . . 117--126

Journal of Time Series Analysis
Volume 15, Number 2, March, 1994

           Peter Bloomfield and   
              Harry L. Hurd and   
                 Robert B. Lund   Periodic Correlation in Stratospheric
                                  Ozone Data . . . . . . . . . . . . . . . 127--150
                      D. R. Cox   Book Review: \booktitleDevelopments in
                                  Time Series Analysis, T. Subba Rao,
                                  Editor . . . . . . . . . . . . . . . . . 251--252
               Pidt de Jong and   
           Singfat Chu-Chun-Lin   Stationary and Non-Stationary State
                                  Space Models . . . . . . . . . . . . . . 151--166
                John L. Eltinge   Comparison of Time and Cross-Sectional
                                  Aggregation Under a Time Series Random
                                  Component Model  . . . . . . . . . . . . 167--181
Sylvia Frühwirth-Schnatter   Data Augmentation and Dynamic Linear
                                  Models . . . . . . . . . . . . . . . . . 183--202
          Piotr S. Kokoszka and   
                 Murad S. Taqqu   Infinite Variance Stable ARMA Processes  203--220
        Robert E. McCulloch and   
                   Ruey S. Tsay   Bayesian Analysis of Autoregressive Time
                                  Series Via the Gibbs Sampler . . . . . . 235--250
                   A. I. McLeod   Diagnostic Checking of Periodic
                                  Autoregression Models with Application   221--233
                M. B. Priestley   Professor Edward James Hannan
                                  (1921--1994) . . . . . . . . . . . . . . 234--234

Journal of Time Series Analysis
Volume 15, Number 3, May, 1994

       Christos Agiakloglou and   
                   Paul Newbold   Lagrange Multiplier Tests for Fractional
                                  Difference . . . . . . . . . . . . . . . 253--262
           Mohamed Bentarzi and   
                    Marc Hallin   On the Invertibility of Periodic
                                  Moving-Average Models  . . . . . . . . . 263--268
                  Jan Beran and   
                   Norma Terrin   Estimation of the Long-Memory Parameter,
                                  Based on a Multivariate Central Limit
                                  Theorem  . . . . . . . . . . . . . . . . 269--278
                  Alastair Hall   Order Identification in Misspecified
                                  Autoregressive Time Series Models  . . . 279--283
        Clifford M. Hurvich and   
               Kaizo I. Beltrao   Automatic Semiparametric Estimation of
                                  the Memory Parameter of a Long-Memory
                                  Time Series  . . . . . . . . . . . . . . 285--302
         Yoshihide Kakizawa and   
             Masanobu Taniguchi   Asymptotic Efficiency of the Sample
                                  Covariances in a Gaussian Stationary
                                  Process  . . . . . . . . . . . . . . . . 303--311
             Dankit K. Nassiuma   Symmetric Stable Sequences with Missing
                                  Observations . . . . . . . . . . . . . . 313--323
         Efstathios Paparoditis   On Vector Autocorrelations and
                                  Generalized Second-Order Functions for
                                  Time Series  . . . . . . . . . . . . . . 325--334
             Valderio A. Reisen   Estimation of the Fractional Difference
                                  Parameter in the $ {\rm ARIMA}(p, d, q)
                                  $ Model Using the Smoothed Periodogram   335--350

Journal of Time Series Analysis
Volume 15, Number 4, July, 1994

                  Jorg Breitung   Some Simple Tests of the Moving-Average
                                  Unit Root Hypothesis . . . . . . . . . . 351--370
              Clive Granger and   
                   Jin-Lung Lin   Using the Mutual Information Coefficient
                                  to Identify Lags in Nonlinear Models . . 371--384
                   Simon Ku and   
                  Eugene Seneta   The Number of Peaks in a Stationary
                                  Sample and Orthant Probabilities . . . . 385--403
            Young K. Truong and   
               Charles J. Stone   Semiparametric Time Series Regression    405--428
               Rainer von Sachs   Peak-Insensitive Non-Parametric Spectrum
                                  Estimation . . . . . . . . . . . . . . . 429--452

Journal of Time Series Analysis
Volume 15, Number 5, September, 1994

                     Jushan Bai   Least Squares Estimation of a Shift in
                                  Linear Processes . . . . . . . . . . . . 453--472
                 Gemai Chen and   
              Bovas Abraham and   
                 Shelton Peiris   Lag Window Estimation of the Degree of
                                  Differencing in Fractionally Integrated
                                  Time Series Models . . . . . . . . . . . 473--487
              Henry L. Gray and   
             Nien-Fan Zhang and   
              Wayne A. Woodward   On Generalized Fractional Processes ---
                                  a Correction . . . . . . . . . . . . . . 561--562
                 Ulla Holst and   
             Georg Lindgren and   
                  Jan Holst and   
            Mikael Thuvesholmen   Recursive Estimation in Switching
                                  Autoregressions with a Markov Regime . . 489--506
                   Paul Kabaila   The Detection of a Single Additive
                                  Outlier of Unknown Position  . . . . . . 507--522
        Robert E. McCulloch and   
                   Ruey S. Tsay   Statistical Analysis of Economic Time
                                  Series Via Markov Switching Models . . . 523--539
            Dimitris N. Politis   On the Maximum Entropy Property of
                                  Nonlinear Autoregressions  . . . . . . . 541--543
              Hu-Ming Zhang and   
                      Ping Wang   A New Way to Estimate Orders in Time
                                  Series . . . . . . . . . . . . . . . . . 545--559

Journal of Time Series Analysis
Volume 15, Number 6, November, 1994

                      Anonymous   The Australian Academy of Science
                                  Establishes a Hannan Medal for
                                  Distinguished Research in the
                                  Mathematical Sciences  . . . . . . . . . 649--649
           Alvaro Escribano and   
             Daniel Peña   Cointegration and Common Factors . . . . 577--586
         Andrey Feuerverger and   
                 Peter Hall and   
              Andrew T. A. Wood   Estimation of Fractal Index and Fractal
                                  Dimension of a Gaussian Process by
                                  Counting the Number of Level Crossings   587--606
                    Marc Hallin   On the Pitman Non-Admissibility of
                                  Correlogram-Based Methods  . . . . . . . 607--611
              L. Kavalieris and   
                   E. J. Hannan   Determining the Number of Terms in a
                                  Trigonometric Regression . . . . . . . . 613--625
                   W. K. Li and   
                      T. K. Mak   On the Squared Residual Autocorrelations
                                  in Non-Linear Time Series with
                                  Conditional Heteroskedasticity . . . . . 627--636
                 P. M. Robinson   Edward J. Hannan, 1921--1994 . . . . . . 563--576
               Santiago Velilla   A Goodness-Of-Fit Test for
                                  Autoregressive Moving-Average Models
                                  Based on the Standardized Sample
                                  Spectral Distribution of the Residuals   637--647


Journal of Time Series Analysis
Volume 16, Number 1, January, 1995

                Kamal C. Chanda   Large Sample Analysis of Autoregressive
                                  Moving-Average Models with Errors in
                                  Variables  . . . . . . . . . . . . . . . 1--15
        Clifford M. Hurvich and   
                  Bonnie K. Ray   Estimation of the Memory Parameter for
                                  Nonstationary Or Noninvertible
                                  Fractionally Integrated Processes  . . . 17--41
               Keh-Shin Lii and   
                  Tai-Houn Tsou   Bispectral Analysis of Randomly Sampled
                                  Data . . . . . . . . . . . . . . . . . . 43--66
        Dimitris N. Politis and   
               Joseph P. Romano   Bias-Corrected Nonparametric Spectral
                                  Estimation . . . . . . . . . . . . . . . 67--103
            Yoshihiro Usami and   
                  Mituaki Huzii   Estimation of Coefficients of Time
                                  Series Regression with a Nonstationary
                                  Error Process  . . . . . . . . . . . . . 105--118
                   J. H. Wright   Stochastic Orders of Magnitude
                                  Associated with Two-Stage Estimators of
                                  Fractional ARIMA Systems . . . . . . . . 119--125

Journal of Time Series Analysis
Volume 16, Number 2, March, 1995

                G. J. Adams and   
                  G. C. Goodwin   Parameter Estimation for Periodic ARMA
                                  Models . . . . . . . . . . . . . . . . . 127--145
          Consuelo Arellano and   
              Sastry G. Pantula   Testing for Trend Stationarity Versus
                                  Difference Stationarity  . . . . . . . . 147--164
                  Jan Beran and   
                    Theo Gasser   Testing Equality of Variances for Paired
                                  Time Series  . . . . . . . . . . . . . . 165--176
              F. Jay Breidt and   
           Richard A. Davis and   
         William T. M. Dunsmuir   Improved Bootstrap Prediction Intervals
                                  for Autoregressions  . . . . . . . . . . 177--200
          G. R. Dargahi-Noubary   Stochastic Modeling and Identification
                                  of Seismic Records Based on Established
                                  Deterministic Formulations . . . . . . . 201--220
          Daniela Leibowitz and   
              Elia M. Leibowitz   An Algorithm for a Period Search in a
                                  Sparsely Covered Time Series at a Fixed
                                  Phase  . . . . . . . . . . . . . . . . . 221--236
                   A. M. Walker   On Results of Porat Concerning
                                  Asymptotic Efficiency of Sample
                                  Covariances of Gaussian ARMA Processes   237--248

Journal of Time Series Analysis
Volume 16, Number 3, May, 1995

                      Anonymous   Book Review  . . . . . . . . . . . . . . 355--358
             David Hamilton and   
                       Ka Ho Wu   Confidence Regions for Parameters in the
                                  $ {\rm AR}(1) $ Model  . . . . . . . . . 249--265
         Sergio G. Koreisha and   
                  Tarmo Pukkila   The Identification of Seasonal
                                  Autoregressive Models  . . . . . . . . . 267--290
               Keh-Shin Lii and   
                    Elias Masry   On the Selection of Random Sampling
                                  Schemes for the Spectral Estimation of
                                  Continuous Time Processes  . . . . . . . 291--311
                Francesc Marmol   Spurious Regressions Between I( d )
                                  Processes  . . . . . . . . . . . . . . . 313--321
                M. C. Viano and   
                 Cl. Deniau and   
                   G. Oppenheim   Long-Range Dependence and Mixing for
                                  Discrete Time Fractional Processes . . . 323--338
               Sook Fwe Yap and   
             Gregory C. Reinsel   Results on Estimation and Testing for a
                                  Unit Root in the Nonstationary
                                  Autoregressive Moving-Average Model  . . 339--353

Journal of Time Series Analysis
Volume 16, Number 4, July, 1995

         Charles Kooperberg and   
           Charles J. Stone and   
                Young K. Truong   Logspline Estimation of a Possibly Mixed
                                  Spectral Distribution  . . . . . . . . . 359--388
         Charles Kooperberg and   
           Charles J. Stone and   
                Young K. Truong   Rate of Convergence for Logspline
                                  Spectral Density Estimation  . . . . . . 389--401
             John P. Miller and   
                   Paul Newbold   A Generalized Variance Ratio Test of $
                                  {\rm ARIMA}(p, 1, q) $ Model
                                  Specification  . . . . . . . . . . . . . 403--413
              Heon Jin Park and   
                Wayne A. Fuller   Alternative Estimators and Unit Root
                                  Tests for the Autoregressive Process . . 415--429
              Dong Wan Shin and   
                 Sahadeb Sarkar   Estimation of the Multivariate
                                  Autoregressive Moving Average Having
                                  Parameter Restrictions and an
                                  Application to Rotational Sampling . . . 431--444

Journal of Time Series Analysis
Volume 16, Number 5, September, 1995

           Roger W. Barnard and   
                Kamal C. Chanda   An Application of the Schur--Cohn
                                  Algorithm to Time Series Analysis  . . . 445--449
             Peter J. Brockwell   A Note on the Embedding of Discrete-Time
                                  ARMA Processes . . . . . . . . . . . . . 451--460
           Cathy W. S. Chen and   
                    Jack C. Lee   Bayesian Inference of Threshold
                                  Autoregressive Models  . . . . . . . . . 483--492
                      Rong Chen   Threshold Variable Selection in
                                  Open-Loop Threshold Autoregressive
                                  Models . . . . . . . . . . . . . . . . . 461--481
            Yin-Wong Cheung and   
                     Kon S. Lai   Estimating Finite Sample Critical Values
                                  for Unit Root Tests Using Pure Random
                                  Walk Processes: A Note . . . . . . . . . 493--498
               Gianluca Cubadda   A Note on Testing for Seasonal
                                  Cointegration Using Principal Components
                                  in the Frequency Domain  . . . . . . . . 499--508
                       T. Grahn   A Conditional Least Squares Approach to
                                  Bilinear Time Series Estimation  . . . . 509--529

Journal of Time Series Analysis
Volume 16, Number 6, November, 1995

           Roberto Baragona and   
            Francesco Battaglia   Linear Interpolators and the Inverse
                                  Correlation Function of Non-Stationary
                                  Time Series  . . . . . . . . . . . . . . 531--538
              Valentina Corradi   Nonlinear Transformations of Integrated
                                  Time Series: A Reconsideration . . . . . 539--549
                 John N. Haddad   The Recursive Property of the Inverse of
                                  the Covariance Matrix of a
                                  Moving-Average Process of General Order  551--554
                  Alastair Hall   Residual Autocovariances and Unit Root
                                  Tests Based on Instrumental Variable
                                  Estimators from Time Series Regression
                                  Models . . . . . . . . . . . . . . . . . 555--569
                 Peter Hall and   
             Rodney C. L. Wolff   On the Strength of Dependence of a Time
                                  Series Generated by a Chaotic Map  . . . 571--583
               Daniel Janas and   
               Rainer von Sachs   Consistency for Non-Linear Functions of
                                  the Periodogram of Tapered Data  . . . . 585--606
                   A. I. McLeod   Diagnostic Checking of Periodic
                                  Autoregression Models with Application   647--648
                James W. Miller   Exact Maximum Likelihood Estimation in
                                  Autoregressive Processes . . . . . . . . 607--615
              D. S. Poskitt and   
                    M. O. Salau   On the Relationship Between Generalized
                                  Least Squares and Gaussian Estimation of
                                  Vector ARMA Models . . . . . . . . . . . 617--645


Journal of Time Series Analysis
Volume 17, Number 1, January, 1996

             Ngai Hang Chan and   
                   Ruey S. Tsay   Asymptotic Inference for Non-Invertible
                                  Moving-Average Time Series . . . . . . . 1--17
                       F. Comte   Simulation and Estimation of Long Memory
                                  Continuous Time Models . . . . . . . . . 19--36
              Jesus Gonzalo and   
                    Tae-Hwy Lee   Relative Power of t Type Tests for
                                  Stationary and Unit Root Processes . . . 37--47
               Tae Yoon Kim and   
                  Dennis D. Cox   Bandwidth Selection in Kernel Smoothing
                                  of Time Series . . . . . . . . . . . . . 49--63
                     Lei Li and   
                   Zhongjie Xie   Model Selection and Order Determination
                                  for Time Series by Information Between
                                  the Past and the Future  . . . . . . . . 65--84
                M. B. Priestley   Wavelets and Time-Dependent Spectral
                                  Analysis . . . . . . . . . . . . . . . . 85--103
              Dong Wan Shin and   
                  Jong Hyup Lee   Distribution of Residual
                                  Autocorrelations in Nonstationary
                                  Autoregressive Processes . . . . . . . . 105--109

Journal of Time Series Analysis
Volume 17, Number 2, March, 1996

                Ching-Fan Chung   A Generalized Fractionally Integrated
                                  Autoregressive Moving-Average Process    111--140
                C. C. Heyde and   
                         W. Dai   On the Robustness to Small Trends of
                                  Estimation Based on the Smoothed
                                  Periodogram  . . . . . . . . . . . . . . 141--150
               Paul Newbold and   
               Dimitrios Vougas   Beveridge--Nelson-Type Trends for $ {\rm
                                  I}(2) $ and Some Seasonal Models . . . . 151--169
                    A. G. Rigas   Spectral Analysis of a Stationary
                                  Bivariate Point Process with
                                  Applications to Neurophysiological
                                  Problems . . . . . . . . . . . . . . . . 171--187
                     O. Stramer   On the Approximation of Moments for
                                  Continuous Time Threshold ARMA Processes 189--202
              Chi-ming Wong and   
                    Robert Kohn   A Bayesian Approach to Estimating and
                                  Forecasting Additive Nonparametric
                                  Autoregressive Models  . . . . . . . . . 203--220

Journal of Time Series Analysis
Volume 17, Number 3, May, 1996

           H. Peter Boswijk and   
            Philip Hans Franses   Unit Roots in Periodic Autoregressions   221--245
            Peter Bühlmann   Locally Adaptive Lag-Window Spectral
                                  Estimation . . . . . . . . . . . . . . . 247--270
              Miguel A. Delgado   Testing Serial Independence Using the
                                  Sample Distribution Function . . . . . . 271--285
                Seisho Sato and   
                 Naoto Kunitomo   Some Properties of the Maximum
                                  Likelihood Estimator in the Simultaneous
                                  Switching Autoregressive Model . . . . . 287--307
              Dong Wan Shin and   
                 Sahadeb Sarkar   Estimation of the Multi-Variate
                                  Autoregressive Moving Average Having
                                  Parameter Restrictions and an
                                  Application to Rotational Sampling . . . 321--321
              Dong Wan Shin and   
                 Sahadeb Sarkar   Testing for a Unit Root in an $ {\rm
                                  AR}(1) $ Time Series Using Irregularly
                                  Observed Data  . . . . . . . . . . . . . 309--321

Journal of Time Series Analysis
Volume 17, Number 4, July, 1996

         Oliver D. Anderson and   
                  Zhao-Guo Chen   Higher Order Moments of Sample
                                  Autocovariances and Sample
                                  Autocorrelations from an Independent
                                  Time Series  . . . . . . . . . . . . . . 323--331
            Georgi N. Boshnakov   Recursive Computation of the Parameters
                                  of Periodic Autoregressive
                                  Moving-Average Processes . . . . . . . . 333--349
                    Dawei Huang   On Low and High Frequency Estimation . . 351--365
             Yoshihide Kakizawa   Third-Order Asymptotic Properties of
                                  Estimators in Gaussian ARMA Processes
                                  with Unknown Mean  . . . . . . . . . . . 367--377
                  Serena Ng and   
                  Pierre Perron   The Exact Error in Estimating the
                                  Spectral Density at the Origin . . . . . 379--408
            Ralph D. Snyder and   
              Grant R. Saligari   Initialization of the Kalman Filter with
                                  Partially Diffuse Initial Conditions . . 409--424

Journal of Time Series Analysis
Volume 17, Number 5, September, 1996

                   D. Dehay and   
                      V. Monsan   Random Sampling Estimation for Almost
                                  Periodically Correlated Processes  . . . 425--445
F. Javier Fernández-Macho   Spectral Maximum Likelihood Estimation
                                  of a Signal-To-Noise Ratio Lying in the
                                  Vicinity of Zero . . . . . . . . . . . . 447--459
                    M. Raimondo   Testing Change-Points in the Explosive
                                  Gaussian Autoregressive Processes  . . . 461--480
           Pentti Saikkonen and   
                Ritva Luukkonen   Testing the Order of Differencing in
                                  Time Series Regression . . . . . . . . . 481--496
                      W. Schmid   An Outlier Test for Time Series Based on
                                  a Two-Sided Predictor  . . . . . . . . . 497--510
                A. Svensson and   
                   J. Holst and   
               R. Lindquist and   
                    G. Lindgren   Optimal Prediction of Catastrophes in
                                  Autoregressive Moving-Average Processes  511--531

Journal of Time Series Analysis
Volume 17, Number 6, November, 1996

             T. W. Anderson and   
                    Linfeng You   Adequacy of Asymptotic Theory for
                                  Goodness-Of-Fit Criteria for Spectral
                                  Distributions  . . . . . . . . . . . . . 533--552
                 B. Lindoff and   
                       J. Holst   Bias and Covariance of the Recursive
                                  Least Squares Estimator with Exponential
                                  Forgetting in Vector Autoregressions . . 553--570
                    Elias Masry   Multivariate Local Polynomial Regression
                                  for Time Series:Uniform Strong
                                  Consistency and Rates  . . . . . . . . . 571--599
             Michael H. Neumann   Spectral Density Estimation Via
                                  Nonlinear Wavelet Methods for Stationary
                                  Non-Gaussian Time Series . . . . . . . . 601--633


Journal of Time Series Analysis
Volume 18, Number 1, January, 1997

                R. Baragona and   
                    F. Carlucci   An Optimality Criterion for Aggregating
                                  a Set of Time Series in a Composite
                                  Index  . . . . . . . . . . . . . . . . . 1--9
               Glen Barnett and   
                Robert Kohn and   
                 Simon Sheather   Robust Bayesian Estimation of
                                  Autoregressive--Moving-Average Models    11--28
              Rafael Flores and   
                Alfonso Novales   A General Test for Univariate
                                  Seasonality  . . . . . . . . . . . . . . 29--48
            Liudas Giraitis and   
          Peter M. Robinson and   
              Alexander Samarov   Rate Optimal Semiparametric Estimation
                                  of the Memory Parameter of the Gaussian
                                  Time Series with Long-Range Dependence   49--60
               Daniel M. Keenan   A Central Limit Theorem for m ( n )
                                  Autocovariances  . . . . . . . . . . . . 61--78
                  T. C. Sun and   
                  Milton Chaika   On Simulation of a Gaussian Stationary
                                  Process  . . . . . . . . . . . . . . . . 79--93

Journal of Time Series Analysis
Volume 18, Number 2, March, 1997

                 Javier Hidalgo   Non-Parametric Estimation with Strongly
                                  Dependent Multivariate Time Series . . . 95--122
                Robert M. Kunst   Testing for Cyclical Non-Stationarity in
                                  Autoregressive Processes . . . . . . . . 123--135
              Ignacio N. Lobato   Consistency of the Averaged
                                  Cross-Periodogram in Long Memory Series  137--155
           Heather Mitchell and   
                Peter Brockwell   Estimation of the Coefficients of a
                                  Multivariate Linear Filter Using the
                                  Innovations Algorithm  . . . . . . . . . 157--179
                      Woon Wong   Frequency Domain Tests of Multivariate
                                  Gaussianity and Linearity  . . . . . . . 181--194
              Xichuan Zhang and   
               R. Deane Terrell   Projection Modulus: a New Direction for
                                  Selecting Subset Autoregressive Models   195--212

Journal of Time Series Analysis
Volume 18, Number 3, May, 1997

                 R. J. Bhansali   Robustness of the autoregressive
                                  spectral estimate for linear processes
                                  with infinite variance . . . . . . . . . 213--229
                    Hong-Ye Gao   Choice of thresholds for wavelet
                                  shrinkage estimate of the spectrum . . . 231--251
                  Yongmiao Hong   One-sided testing for conditional
                                  heteroskedasticity in time series models 253--277
           Vadim Teverovsky and   
                    Murad Taqqu   Testing for long-range dependence in the
                                  presence of shifting means or a slowly
                                  declining trend, using a variance-type
                                  estimator  . . . . . . . . . . . . . . . 279--304
              K. F. Turkman and   
           M. A. Amaral Turkman   Extremes of bilinear time series models  305--319
                      Anonymous   Corrigendum  . . . . . . . . . . . . . . 320--320

Journal of Time Series Analysis
Volume 18, Number 4, July, 1997

                 T. W. Anderson   Goodness-of-fit tests for autoregressive
                                  processes  . . . . . . . . . . . . . . . 321--339
           Nunzio Cappuccio and   
                   Diego Lubian   Spurious regressions between $ {\rm
                                  I}(1) $ processes with long memory
                                  errors . . . . . . . . . . . . . . . . . 341--354
               Ximing Cheng and   
                  Yougui Wu and   
                 Jinguan Du and   
                    Huowang Liu   The zero-crossing rate of $p$ th-order
                                  autoregressive processes . . . . . . . . 355--374
                  Somnath Datta   A note on L 1 density estimation for
                                  linear processes . . . . . . . . . . . . 375--383
                      R. S. Deo   Asymptotic theory for certain regression
                                  models with long memory errors . . . . . 385--393
            B. P. M. McCabe and   
            S. J. Leybourne and   
                        Y. Shin   A Parametric approach to testing the
                                  null of cointegration  . . . . . . . . . 395--413
              Hideaki Sakai and   
                  Shyuichi Ohno   On backward periodic autoregressive
                                  processes  . . . . . . . . . . . . . . . 415--427
              Mike K. P. So and   
                   W. K. Li and   
                         K. Lam   Multivariate modelling of the
                                  autoregressive random variance process   429--446

Journal of Time Series Analysis
Volume 18, Number 5, September, 1997

               Shiqing Ling and   
                       W. K. Li   Diagnostic checking of nonlinear
                                  multivariate time series with
                                  multivariate arch errors . . . . . . . . 447--464
                Artur Lopes and   
               Selvia Lopes and   
                Rafael R. Souza   On the spectral density of a class of
                                  chaotic time series  . . . . . . . . . . 465--474
              Dong Wan Shin and   
                  Yoon Dong Lee   A study on misspecified nonstationary
                                  autoregressive time series with a unit
                                  root . . . . . . . . . . . . . . . . . . 475--484
                 Isao Shoji and   
                    Tohru Ozaki   Comparative study of estimation methods
                                  for continuous time stochastic processes 485--506
               Jeremy Smith and   
                Nick Taylor and   
                   Sanjay Yadav   Comparing the bias and misspecification
                                  in ARFIMA models . . . . . . . . . . . . 507--527
                      Anonymous   Book reviews . . . . . . . . . . . . . . 529--534

Journal of Time Series Analysis
Volume 18, Number 6, November, 1997

             Alain Berlinet and   
               Christian Francq   On Bartlett's Formula for Non-linear
                                  Processes  . . . . . . . . . . . . . . . 535--552
           Christian Francq and   
              Michel Roussignol   On White Noises Driven by Hidden Markov
                                  Chains . . . . . . . . . . . . . . . . . 553--578
              Daniel Muller and   
              William W. S. Wei   Iterative Least Squares Estimation and
                                  Identification of the Transfer Function
                                  Model  . . . . . . . . . . . . . . . . . 579--592
          Peter Müller and   
                  Mike West and   
              Steven MacEachern   Bayesian Models for Non-linear
                                  Autoregressions  . . . . . . . . . . . . 593--614
          Jean-Michel Poggi and   
                  Bruno Portier   A Test of Linearity for Functional
                                  Autoregressive Models  . . . . . . . . . 615--639
              Ritei Shibata and   
               Mutsumi Takagiwa   Consistency of Frequency Estimates Based
                                  on the Wavelet Transform . . . . . . . . 641--662
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis: Index to Volume 18 1997  . . . 663--664


Journal of Time Series Analysis
Volume 19, Number 1, January, 1998

                 Jan De Gooijer   On threshold moving-average models . . . 1--18
        Clifford M. Hurvich and   
                  Rohit Deo and   
                  Julia Brodsky   The mean squared error of Geweke and
                                  Porter-Hudak's estimator of the memory
                                  parameter of a long-memory time series   19--46
                     Ta-Hsin Li   Time-correlation analysis of
                                  nonstationary time series  . . . . . . . 47--67
                 Ta-Hsin Li and   
                 Benjamin Kedem   Tracking abrupt frequency changes  . . . 69--82
          Stephen Leybourne and   
               Paul Newbold and   
               Dimitrios Vougas   Unit roots and smooth transitions  . . . 83--97
             Jeffrey S. Pai and   
             Nalini Ravishanker   Bayesian analysis of autoregressive
                                  fractionally integrated moving-average
                                  processes  . . . . . . . . . . . . . . . 99--112
                 C. S. Wong and   
                       W. K. Li   A note on the corrected Akaike
                                  information criterion for threshold
                                  autoregressive models  . . . . . . . . . 113--124
                  K. F. Turkman   Book Review  . . . . . . . . . . . . . . 125--126

Journal of Time Series Analysis
Volume 19, Number 2, March, 1998

              Prabir Burman and   
                 Robert Shumway   Semiparametric Modeling of Seasonal Time
                                  Series . . . . . . . . . . . . . . . . . 127--145
        Philip Hans Franses and   
                Michael McAleer   Testing for unit roots and non-linear
                                  transformations  . . . . . . . . . . . . 147--164
            R. J. Kulperger and   
                 R. A. Lockhart   Tests of Independence in Time Series . . 165--185
              Raul P. Mentz and   
          Pedro A. Morettin and   
            Clélia Toloi   On Residual Variance Estimation in
                                  Autoregressive Models  . . . . . . . . . 187--208
               Anna Clara Monti   A proposal for estimation of the
                                  parameters of multivariate
                                  moving-average models  . . . . . . . . . 209--219
          John-Michel Poggi and   
             Marie-Claude Viano   An Estimate of the Fractal Index Using
                                  Multiscale Aggregates  . . . . . . . . . 221--233
               Zuqiang Qiou and   
             Nalini Ravishanker   Bayesian inference for time series with
                                  stable innovations . . . . . . . . . . . 235--249
                   Iswar Basawa   Book Review  . . . . . . . . . . . . . . 251--252

Journal of Time Series Analysis
Volume 19, Number 3, May, 1998

               Patrice Abry and   
              Darryl Veitch and   
               Patrick Flandrin   Long-range dependence: revisiting
                                  aggregation with wavelets  . . . . . . . 253--266
           Anindya Banerjee and   
                Juan Dolado and   
                 Ricardo Mestre   Error-correction mechanism tests for
                                  cointegration in a single-equation
                                  framework  . . . . . . . . . . . . . . . 267--283
                Bruce Cooil and   
                     Luke Froeb   A difference estimator for testing
                                  equality of variances for paired time
                                  series . . . . . . . . . . . . . . . . . 285--290
       Vikram Krishnamurthy and   
                   Tobias Ryden   Consistent estimation of linear and
                                  non-linear autoregressive models with
                                  Markov regime  . . . . . . . . . . . . . 291--307
               Monnie McGee and   
                Katherine Ensor   Tests for harmonic components in the
                                  spectra of categorical time series . . . 309--323
                 Kosuke Oya and   
                      Hiro Toda   Dickey--Fuller, Lagrange Multiplier and
                                  Combined Tests for a Unit Root in
                                  Autoregressive Time Series . . . . . . . 325--347
            A. M. Robert Taylor   Testing for Unit Roots in Monthly Time
                                  Series . . . . . . . . . . . . . . . . . 349--368
             Jonathan H. Wright   Testing for a structural break at
                                  unknown date with long-memory
                                  disturbances . . . . . . . . . . . . . . 369--376
                 Patric Laycock   Book Review  . . . . . . . . . . . . . . 377--378

Journal of Time Series Analysis
Volume 19, Number 4, July, 1998

               Rohit S. Deo and   
            Clifford M. Hurvich   Linear Trend with Fractionally
                                  Integrated Errors  . . . . . . . . . . . 379--397
              Jaehee H. Kim and   
                Jeffrey D. Hart   Tests for change in a mean function when
                                  the data are dependent . . . . . . . . . 399--424
                   Rolf Larsson   Bartlett corrections for unit root test
                                  statistics . . . . . . . . . . . . . . . 425--438
                   Alain Latour   Existence and stochastic structure of a
                                  non-negative integer-valued
                                  autoregressive process . . . . . . . . . 439--455
                 Xavier De Luna   An Improvement of Akaike's FPE Criterion
                                  to Reduce its Variability  . . . . . . . 457--471
                   A. I. McLeod   Hyperbolic Decay Time Series . . . . . . 473--483
          Wayne A. Woodward and   
                Q. C. Cheng and   
                     H. L. Gray   A $k$-Factor GARMA Long-memory Model . . 485--504

Journal of Time Series Analysis
Volume 19, Number 5, September, 1998

              Andrew Harvey and   
               Mariane Streibel   Tests for Deterministic Versus
                                  Indeterministic Cycles . . . . . . . . . 505--529
                    Lutz Kilian   Accounting for lag order uncertainty in
                                  autoregressions: the endogenous lag
                                  order bootstrap algorithm  . . . . . . . 531--548
                Kathryn Prewitt   Goodness-of-fit Test in Parametric Time
                                  Series Models  . . . . . . . . . . . . . 549--574
                   Anton Schick   An adaptive estimator of the
                                  autocorrelation coefficient in
                                  regression models with autoregressive
                                  errors . . . . . . . . . . . . . . . . . 575--589
              Dong Wan Shin and   
                   Wayne Fuller   Unit root tests based on unconditional
                                  maximum likelihood estimation for the
                                  autoregressive moving average  . . . . . 591--599
              Dong Wan Shin and   
                 Sahadeb Sarkar   Testing for a unit root in
                                  autoregressive moving-average models
                                  with missing data  . . . . . . . . . . . 601--608
              Wing-kuen Tam and   
                Gregory Reinsel   Seasonal moving-average unit root tests
                                  in the presence of a linear trend  . . . 609--625
                      Anonymous   Book Review  . . . . . . . . . . . . . . 627--628

Journal of Time Series Analysis
Volume 19, Number 6, November, 1998

            Rainer Dahlhaus and   
                Liudas Giraitis   On the optimal segment length for
                                  parameter estimates for locally
                                  stationary time series . . . . . . . . . 629--655
                 Yuqing Dai and   
                     L. Billard   A Space-Time Bilinear Model and its
                                  Identification . . . . . . . . . . . . . 657--679
            Jiin-Huarng Guo and   
                     L. Billard   Some inference results for causal
                                  autoregressive processes on a plane  . . 681--691
            Chung-Ming Kuan and   
                Chih-Chiang Hsu   Change-Point Estimation of Fractionally
                                  Integrated Processes . . . . . . . . . . 693--708
                   Thimothy Oke   Some Results on Specification Search and
                                  Pre-testing in an $ {\rm ARMA}(1, 1) $
                                  Process  . . . . . . . . . . . . . . . . 709--722
                  Dong Wan Shin   The limiting distribution of the
                                  residual processes in nonstationary
                                  autoregressive processes . . . . . . . . 723--736
                 Gy. Terdik and   
                        J. Math   A new test of linearity of time series
                                  based on the bispectrum  . . . . . . . . 737--753
                      Anonymous   Index to Volume 19, 1998 . . . . . . . . 755--756


Journal of Time Series Analysis
Volume 20, Number 1, January, 1999

          Kees Jan van Garderen   Exact Geometry of Autoregressive Models  1--21
                 Changli He and   
           Timo Teräsvirta   Properties of the Autocorrelation
                                  Function of Squared Observations for
                                  Second-order GARCH Processes Under Two
                                  Sets of Parameter Constraints  . . . . . 23--30
                Fumiyasu Komaki   An estimating method for parametric
                                  spectral densities of Gaussian time
                                  series . . . . . . . . . . . . . . . . . 31--50
          Stephen Leybourne and   
                   Paul Newbold   On the size properties of
                                  Phillips--Perron tests . . . . . . . . . 51--61
            Michael K. Pitt and   
                  Neil Shephard   Analytic convergence rates and
                                  parameterization issues for the Gibbs
                                  sampler applied to state space models    63--85
                 Carlos Velasco   Gaussian semiparametric estimation of
                                  non-stationary time series . . . . . . . 87--127

Journal of Time Series Analysis
Volume 20, Number 2, March, 1999

            Karim M. Abadir and   
            A. M. Robert Taylor   On the Definitions of (Co-)integration   129--137
             Marcus J. Chambers   A note on modelling seasonal processes
                                  in continuous time . . . . . . . . . . . 139--143
          G. R. Dargahi-Noubary   A Linear Discriminant for Gaussian Time
                                  Series . . . . . . . . . . . . . . . . . 145--153
              Luiz K. Hotta and   
          Klaus L. Vasconcellos   Aggregation and Disaggregation of
                                  Structural Time Series Models  . . . . . 155--171
              Kanchan Mukherjee   Asymptotics of quantiles and rank scores
                                  in nonlinear time series . . . . . . . . 173--192
     Efstathios Paparoditis and   
            Dimitris N. Politis   The Local Bootstrap for Periodogram
                                  Statistics . . . . . . . . . . . . . . . 193--222
       S. Rao Jammalamadaka and   
                 Chengou Wu and   
                   Weiqung Wang   The Influence of Numerical and
                                  Observational Errors on the Likelihood
                                  of an ARMA Series  . . . . . . . . . . . 223--235
           Timothy J. Vogelsang   Two simple procedures for testing for a
                                  unit root when there are additive
                                  outliers . . . . . . . . . . . . . . . . 237--252

Journal of Time Series Analysis
Volume 20, Number 3, May, 1999

          Valentina Corradi and   
                  Halbert White   Specification tests for the variance of
                                  a diffusion  . . . . . . . . . . . . . . 253--270
               Eva Ferreira and   
      Juan Manuel Rodriguez-Poo   Variable Bandwidth Kernel Estimators of
                                  the Spectral Density . . . . . . . . . . 271--287
      Konstantinos Fokianos and   
                 Benjamin Kedem   A stochastic approximation algorithm for
                                  the adaptive control of time series
                                  following generalized linear models  . . 289--308
            Richard Gerlach and   
               Chris Carter and   
                    Robert Kohn   Diagnostics for Time Series Analysis . . 309--330
        Clifford M. Hurvich and   
                   Rohit S. Deo   Plug-in selection of the number of
                                  frequencies in regression estimates of
                                  the memory parameter of a long-memory
                                  time series  . . . . . . . . . . . . . . 331--341
             Yoshihide Kakizawa   Valid Edgeworth expansions of some
                                  estimators and bootstrap confidence
                                  intervals in first-order autoregression  343--359
                      Anonymous   Book Review  . . . . . . . . . . . . . . 361--363

Journal of Time Series Analysis
Volume 20, Number 4, July, 1999

              Michael Allen and   
                  Somnath Datta   A Note on Bootstrapping $M$-Estimators
                                  in ARMA Models . . . . . . . . . . . . . 365--379
           Marta Garcia Ben and   
          Elena J. Martinez and   
                Victor J. Yohai   Robust Estimation in Vector
                                  Autoregressive Moving-Average Models . . 381--399
             Gabriel Huerta and   
                      Mike West   Bayesian inference on periodicities and
                                  component spectral structure in time
                                  series . . . . . . . . . . . . . . . . . 401--416
                 Huang Jian and   
                   Yudi Pawitan   Consistent estimation for non-Gaussian
                                  non-causal autoregessive processes . . . 417--423
                  T. C. Lin and   
              M. Pourahmadi and   
                      A. Schick   Regression Models with Time Series
                                  Errors . . . . . . . . . . . . . . . . . 425--433
            Donald E. K. Martin   Detection of periodic autocorrelation in
                                  time series data via zero-crossings  . . 435--452
           Richard J. Smith and   
            A. M. Robert Taylor   Likelihood Ratio Tests for Seasonal Unit
                                  Roots  . . . . . . . . . . . . . . . . . 453--476
              Ryszard Zielinski   A Median-Unbiased Estimator of the $
                                  {\rm AR}(1) $ Coefficient  . . . . . . . 477--481

Journal of Time Series Analysis
Volume 20, Number 5, September, 1999

                 Z. G. Chen and   
                 O. D. Anderson   Polyvariograms and their Asymptotes  . . 387--512
            A. E. Brockwell and   
                P. J. Brockwell   A Class of Non-Embeddable ARMA Processes 483--486
                  S. D. Gilbert   A Testing for the Onset of Trend, Using
                                  Wavelets . . . . . . . . . . . . . . . . 513--526
               Victor Gomez and   
                  Jorg Breitung   The Beveridge--Nelson decomposition: a
                                  different perspective with new results   527--535
               Gloria Icaza and   
                  Richard Jones   A State-Space EM Algorithm for
                                  Longitudinal Data  . . . . . . . . . . . 537--550
             Yoshihide Kakizawa   Note on the asymptotic efficiency of
                                  sample covariances in Gaussian vector
                                  stationary processes . . . . . . . . . . 551--558
               Takeshi Kato and   
                    Elias Masry   On the spectral density of the wavelet
                                  transform of fractional Brownian motion  559--563
                   Diego Lubian   Long-Memory errors in time series
                                  regressions with a unit root . . . . . . 565--577
                Lijian Yang and   
       Wolfgang Härdle and   
                   Jens Nielsen   Nonparametric autoregression with
                                  multiplicative volatility and additive
                                  mean . . . . . . . . . . . . . . . . . . 579--604

Journal of Time Series Analysis
Volume 20, Number 6, November, 1999

                      Anonymous   Corrigendum: testing for the onset of
                                  trend, using wavelets  . . . . . . . . . i--i
                 B. Abraham and   
                 N. Balakrishna   Inverse Gaussian Autoregressive Models   605--618
                   Hui Chen and   
                   J. P. Romano   Bootstrap-assisted goodness-of-fit tests
                                  in the frequency domain  . . . . . . . . 619--654
                   Paul Kabaila   The Relevance Property For Prediction
                                  Intervals  . . . . . . . . . . . . . . . 655--662
               Paul Kabaila and   
                     Zhisong He   On Assessing Prediction Error in
                                  Autoregressive Models  . . . . . . . . . 663--670
              Robert Sollis and   
          Stephen Leybourne and   
                   Paul Newbold   Unit Roots and Asymmetric Smooth
                                  Transitions  . . . . . . . . . . . . . . 671--677
                  Y. K. Tse and   
                  A. K. C. Tsui   A Note on Diagnosing Multivariate
                                  Conditional Heteroscedasticity Models    679--691
                Xingcun Xia and   
                       H. Z. An   Projection Pursuit Autoregression in
                                  Time Series  . . . . . . . . . . . . . . 693--714
                      Anonymous   Book Review  . . . . . . . . . . . . . . 715--716
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis: index to volume 20 1999  . . . 717--718


Journal of Time Series Analysis
Volume 21, Number 1, January, 2000

               Josu Arteche and   
              Peter M. Robinson   Semiparametric inference in seasonal and
                                  cyclical long memory processes . . . . . 1--25
                   Uwe Hasseler   Simple Regressions with Linear Time
                                  Trends . . . . . . . . . . . . . . . . . 27--32
              Marc Lavielle and   
                  Eric Moulines   Least-squares estimation of an unknown
                                  number of shifts in a time series  . . . 33--59
           Remigijus Leipus and   
             Marie-Claude Viano   Modelling long-memory time series with
                                  finite or infinite variance: a general
                                  approach . . . . . . . . . . . . . . . . 61--74
                Robert Lund and   
                   I. V. Basawa   Recursive Prediction and Likelihood
                                  Evaluation for Periodic ARMA Models  . . 75--93
                   A. M. Walker   Some results concerning the asymptotic
                                  distribution of sample Fourier
                                  transforms and periodograms for a
                                  discrete-time stationary process with a
                                  continuous spectrum  . . . . . . . . . . 95--109
                      Anonymous   Book Review  . . . . . . . . . . . . . . 111--112

Journal of Time Series Analysis
Volume 21, Number 2, March, 2000

              Zhao-Guo Chen and   
                   Ka Ho Wu and   
                Rainer Dahlhaus   Hidden Frequency Estimation with Data
                                  Tapers . . . . . . . . . . . . . . . . . 113--142
               Alessandro Fasso   Residual Autocorrelation Distribution in
                                  the Validation Data Set  . . . . . . . . 143--153
        Clifford M. Hurvich and   
                  Willa W. Chen   An efficient taper for potentially
                                  overdifferenced long-memory time series  155--180
                Tohru Kohda and   
               Akio Tsuneda and   
            Anthony J. Lawrance   Correlational Properties of Chebyshev
                                  Chaotic Sequences  . . . . . . . . . . . 181--191
              Eric Moulines and   
               Philippe Soulier   Data driven order selection for
                                  projection estimator of the spectral
                                  density of time series with long range
                                  dependence . . . . . . . . . . . . . . . 193--218
         Benoit Quenneville and   
               Avinash C. Singh   Bayesian prediction mean squared error
                                  for state space models with estimated
                                  parameters . . . . . . . . . . . . . . . 219--236

Journal of Time Series Analysis
Volume 21, Number 3, May, 2000

               John Belcher and   
   Granville Tunnicliffe Wilson   Time Scale Estimation by Tracking
                                  Parameter Variation  . . . . . . . . . . 237--248
               Mithat Gonen and   
              Madan L. Puri and   
         Frits H. Ruymgaart and   
      Martien C. A. Van Zuijlen   The limiting density of unit root test
                                  statistics: a unifying technique . . . . 249--260
            Hikaru Hasegawa and   
           Anoop Chaturvedi and   
                   Tran Van Hoa   Bayesian Unit Root Test in Nonnormal $
                                  {\rm AR}(1) $ Model  . . . . . . . . . . 261--280
              S. J. Koopman and   
                      J. Durbin   Fast filtering and smoothing for
                                  multivariate state space models  . . . . 281--296
        Mark M. Meerschaert and   
           Hans-Peter Scheffler   Moving averages of random vectors with
                                  regularly varying tails  . . . . . . . . 297--328
                 Carlos Velasco   Local Cross-validation for Spectrum
                                  Bandwidth Choice . . . . . . . . . . . . 329--361

Journal of Time Series Analysis
Volume 21, Number 4, July, 2000

                   T. Ozaki and   
              J. C. Jimenez and   
                V. Haggan-Ozaki   The role of the likelihood function in
                                  the estimation of chaos models . . . . . 363--387
              J. H. W. Penm and   
           T. J. Brailsford and   
                  R. D. Terrell   A Robust Algorithm in Sequentially
                                  Selecting Subset Time Series Systems
                                  Using Neural Networks  . . . . . . . . . 389--412
          Mohsen Pourahmadi and   
                    E. S. Soofi   Prediction variance and information
                                  worth of observations in time series . . 413--434
           Pentti Saikkonen and   
          Helmut Lütkepohl   Trend adjustment prior to testing for
                                  the cointegrating rank of a vector
                                  autoregressive process . . . . . . . . . 435--456
             Rolf Tschernig and   
                    Lijian Yang   Nonparametric Lag Selection for Time
                                  Series . . . . . . . . . . . . . . . . . 457--487

Journal of Time Series Analysis
Volume 21, Number 5, September, 2000

             T. W. Anderson and   
                 M. A. Stephens   Sign invariance in goodness-of-fit tests
                                  for time series  . . . . . . . . . . . . 489--496
               Jean-Marc Bardet   Testing for the presence of
                                  self-similarity of Gaussian time series
                                  having stationary increments . . . . . . 497--515
                  Jan Beran and   
                Sucharita Ghosh   Estimation of the dominating frequency
                                  for stationary and nonstationary
                                  fractional autoregressive models . . . . 517--533
             Fabienne Comte and   
                Offer Lieberman   Second-Order Noncausality in
                                  Multivariate GARCH Processes . . . . . . 535--557
                   Carlo Gaetan   Subset ARMA Model Identification Using
                                  Genetic Algorithms . . . . . . . . . . . 559--570
                 M. L. Tiku and   
            Wing-Keung Wong and   
           David C. Vaughan and   
                    Guorui Bian   Time series models in non-normal
                                  situations: symmetric innovations  . . . 571--596
           Rainer Von Sachs and   
             Michael H. Neumann   A Wavelet-Based Test for Stationarity    597--613

Journal of Time Series Analysis
Volume 21, Number 6, November, 2000

                Ingolf Dittmann   Residual-Based tests for fractional
                                  cointegration: a Monte Carlo study . . . 615--647
            Robert V. Foutz and   
                     Hoonja Lee   Adaptive Fourier series and the analysis
                                  of periodicities in time series data . . 649--662
                 Yanyuan Ma and   
                 Marc G. Genton   Highly Robust Estimation of the
                                  Autocovariance Function  . . . . . . . . 663--684
                   D. Marinucci   Spectral Regression For Cointegrated
                                  Time Series With Long-Memory Innovations 685--705
                    B. G. Quinn   On Kay's Frequency Estimator . . . . . . 707--712
                        J. Yuan   Testing Linearity For Stationary Time
                                  Series Using the Sample Interquartile
                                  Range  . . . . . . . . . . . . . . . . . 713--722
                        J. Yuan   Testing Gaussianity and linearity for
                                  random fields in the frequency domain    723--737
                      Anonymous   Index to Volume 21, 2000 . . . . . . . . 739--740


Journal of Time Series Analysis
Volume 22, Number 1, January, 2001

                   D. Alpay and   
               A. Chevreuil and   
                   Ph. Loubaton   An Extension Problem For Discrete-Time
                                  Periodically Correlated Stochastic
                                  Processes  . . . . . . . . . . . . . . . 1--11
                 Yves Rozenholc   Nonparametric tests of change-points
                                  with tapered data  . . . . . . . . . . . 13--43
             Ismael Sanchez and   
                    Daniel Pena   Properties of Predictors in
                                  Overdifferenced Nearly Nonstationary
                                  Autoregression . . . . . . . . . . . . . 45--66
                Mattias Villani   Fractional Bayesian Lag Length Inference
                                  in Multivariate Autoregressive Processes 67--86
                    Zhijie Xiao   Testing the null hypothesis of
                                  stationarity against an autoregressive
                                  unit root alternative  . . . . . . . . . 87--105
                 Jing Zhang and   
                Robert A. Stine   Autocovariance structure of Markov
                                  regime switching models and model
                                  selection  . . . . . . . . . . . . . . . 107--124
                      Anonymous   Book Review  . . . . . . . . . . . . . . 125--126

Journal of Time Series Analysis
Volume 22, Number 2, March, 2001

              Fabio Busetti and   
                  Andrew Harvey   Testing for the presence of a random
                                  walk in series with structural breaks    127--150
                  Rong Chen and   
                     Lon-Mu Liu   Functional coefficient autoregressive
                                  models: estimation and tests of
                                  hypotheses . . . . . . . . . . . . . . . 151--173
                 Kokyo Choy and   
             Masanobu Taniguchi   Stochastic Regression Model with
                                  Dependent Disturbances . . . . . . . . . 175--196
           Christian Francq and   
          Michel Roussignol and   
            Jean-Michel Zakoian   Conditional heteroskedasticity driven by
                                  hidden Markov chains . . . . . . . . . . 197--220
        Clifford M. Hurvich and   
                  Julia Brodsky   Broadband semiparametric estimation of
                                  the memory parameter of a long-memory
                                  time series using fractional exponential
                                  models . . . . . . . . . . . . . . . . . 221--249
                      Anonymous   Book Review  . . . . . . . . . . . . . . 251--252

Journal of Time Series Analysis
Volume 22, Number 3, May, 2001

         Michael J. Daniels and   
                   Noel Cressie   A hierarchical approach to covariance
                                  function estimation for time series  . . 253--266
              Jan G. De Gooijer   Cross-validation Criteria for SETAR
                                  Model Selection  . . . . . . . . . . . . 267--281
                    Uwe Hassler   The Effect of Linear Time Trends on the
                                  KPSS Test for Cointegration  . . . . . . 283--292
                     Marc Henry   Robust Automatic Bandwidth for Long
                                  Memory . . . . . . . . . . . . . . . . . 293--316
          Piotr S. Kokoszka and   
                 Murad S. Taqqu   Can One Use the Durbin--Levinson
                                  Algorithm to Generate Infinite Variance
                                  Fractional ARIMA Time Series?  . . . . . 317--337
                  M. Pawlak and   
                      W. Schmid   On the Distributional Properties of
                                  GARCH Processes  . . . . . . . . . . . . 339--352
             Philipp Sibbertsen   $S$-Estimation in the Linear Regression
                                  Model with Long-memory Error Terms Under
                                  Trend  . . . . . . . . . . . . . . . . . 353--363
            Frantisek Stulajter   Predictions in time Series Using
                                  Multivariate Regression Models . . . . . 365--373
                      Anonymous   Book Reviews . . . . . . . . . . . . . . 375--377

Journal of Time Series Analysis
Volume 22, Number 4, July, 2001

                Andre Berchtold   Estimation in the Mixture Transition
                                  Distribution Model . . . . . . . . . . . 379--397
                  Pascal Bondon   Recursive relations for multistep
                                  prediction of a stationary time series   399--410
                L. A. Gil-Alana   Testing Stochastic Cycles in
                                  Macroeconomic Time Series  . . . . . . . 411--430
                     Marc Henry   Averaged periodogram spectral estimation
                                  with long-memory conditional
                                  heteroscedasticity . . . . . . . . . . . 431--459
                  Hongyi Li and   
                    Zhijie Xiao   Bootstrapping Time Series Regressions
                                  with Integrated Processes  . . . . . . . 461--480
        Mark M. Meerschaert and   
           Hans-Peter Scheffler   Sample cross-correlations for moving
                                  averages with regularly varying tails    481--492
                   Martin Skold   A bias correction for cross-validation
                                  bandwidth selection when a kernel
                                  estimate is based on dependent data  . . 493--503

Journal of Time Series Analysis
Volume 22, Number 5, September, 2001

                Eugene M. Cleur   Maximum likelihood estimates of a class
                                  of one-dimensional stochastic
                                  differential equation models from
                                  discrete data  . . . . . . . . . . . . . 505--515
                   Jiti Gao and   
                     Vo Anh and   
                Chris Heyde and   
                    Quang Tieng   Parameter estimation of stochastic
                                  processes with long-range dependence and
                                  intermittency  . . . . . . . . . . . . . 517--535
                    Yuzo Hosoya   Elimination of third-series effect and
                                  defining partial measures of causality   537--554
             Menelaos Karanasos   Prediction in ARMA Models with GARCH in
                                  Mean Effects . . . . . . . . . . . . . . 555--576
           Zacharias Psaradakis   Bootstrap tests for an autoregressive
                                  unit root in the presence of weakly
                                  dependent errors . . . . . . . . . . . . 577--594
              Dong Wan Shin and   
                   Beong Soo So   Recursive Mean Adjustment for Unit Root
                                  Tests  . . . . . . . . . . . . . . . . . 595--612
                  Hao Zhang and   
                   V. Mandrekar   Estimation of Hidden Frequencies for
                                  $2$D Stationary Processes  . . . . . . . 613--629

Journal of Time Series Analysis
Volume 22, Number 6, November, 2001

         Richard T. Baillie and   
                   Huimin Chung   Estimation of GARCH Models from the
                                  Autocorrelations of the Squares of a
                                  Process  . . . . . . . . . . . . . . . . 631--650
               I. V. Basawa and   
                    Robert Lund   Large Sample Properties of Parameter
                                  Estimates for Periodic ARMA Models . . . 651--663
       Christian Gourieroux and   
                   Joann Jasiak   State-space Models with Finite
                                  Dimensional Dependence . . . . . . . . . 665--678
            Clifford M. Hurvich   Model selection for broadband
                                  semiparametric estimation of long memory
                                  in time series . . . . . . . . . . . . . 679--709
                      C. K. Ing   A note on mean-squared prediction errors
                                  of the least squares predictors in
                                  random walk models . . . . . . . . . . . 711--724
               Paul Kabaila and   
                     Zhisong He   On Prediction Intervals for
                                  Conditionally Heteroscedastic Processes  725--731
              George Kapetanios   Model Selection in Threshold Models  . . 733--754
                      Anonymous   Index to Volume: 22 2001 . . . . . . . . 755--756


Journal of Time Series Analysis
Volume 23, Number 1, January, 2002

              Henrik Hansen and   
                  Anders Rahbek   Approximate Conditional Unit Root
                                  Inference  . . . . . . . . . . . . . . . 1--28
             Rafael A. Irizarry   Weighted estimation of harmonic
                                  components in a musical sound signal . . 29--48
                   Chunsheng Ma   Exact Maximum Likelihood Estimation of
                                  an ARMA(1, 1) Model with Incomplete Data 49--56
           Katsumi Shimotsu and   
           Peter C. B. Phillips   Pooled Log Periodogram Regression  . . . 57--93
                Paulo Teles and   
              William W. S. Wei   The use of aggregate time series in
                                  testing for Gaussianity  . . . . . . . . 95--116
                  Y. K. Tse and   
                    X. B. Zhang   The Variance Ratio Test with Stable
                                  Paretian Errors  . . . . . . . . . . . . 117--126

Journal of Time Series Analysis
Volume 23, Number 2, March, 2002

Christian Gouriéroux and   
                   Joann Jasiak   Nonlinear Autocorrelograms: an
                                  Application to Inter-Trade Durations . . 127--154
              Niels Haldrup and   
                Peter Lildholdt   On the robustness of unit root tests in
                                  the presence of double unit roots  . . . 155--171
       Stephen J. Leybourne and   
               Paul Newbold and   
           Dimitrios Vougas and   
                   Tae-Hwan Kim   A direct test for cointegration between
                                  a pair of time series  . . . . . . . . . 173--191
          Christophe Planas and   
                 Raoul Depoutot   Controlling Revisions in
                                  ARIMA-Model-Based Seasonal Adjustment    193--213
                Zhijie Xiao and   
                  Oliver Linton   A Nonparametric Prewhitened Covariance
                                  Estimator  . . . . . . . . . . . . . . . 215--250

Journal of Time Series Analysis
Volume 23, Number 3, May, 2002

                   Josu Arteche   Semiparametric robust tests on seasonal
                                  or cyclical long memory time series  . . 251--285
             Laurence Broze and   
           Christian Francq and   
       Jean-Michel Zakoïan   Efficient use of higher-lag
                                  autocorrelations for estimating
                                  autoregressive processes . . . . . . . . 287--312
                 Peter Hall and   
                 Liang Peng and   
                      Qiwei Yao   Prediction and nonparametric estimation
                                  for time series with heavy tails . . . . 313--331
                        D. Levy   Cointegration in frequency domain  . . . 333--339
                 Nora Muler and   
                Victor J. Yohai   Robust estimates for arch processes  . . 341--375

Journal of Time Series Analysis
Volume 23, Number 4, July, 2002

       Jesús Gonzalo and   
            Jean-Yves Pitarakis   Lag length estimation in large
                                  dimensional systems  . . . . . . . . . . 401--423
            Sylvia Kaufmann and   
Sylvia Frühwirth-Schnatter   Bayesian analysis of switching ARCH
                                  models . . . . . . . . . . . . . . . . . 425--458
          Peter A. W. Lewis and   
                  Bonnie K. Ray   Nonlinear modelling of periodic
                                  threshold autoregressions using TSMARS   459--471
   JosÉ Alberto Mauricio   An algorithm for the exact likelihood of
                                  a stationary vector
                                  autoregressive-moving average model  . . 473--486
             Vladas Pipiras and   
                 Murad S. Taqqu   Deconvolution of fractional Brownian
                                  motion . . . . . . . . . . . . . . . . . 487--501

Journal of Time Series Analysis
Volume 23, Number 5, September, 2002

           Stefano Bertelli and   
           Massimiliano Caporin   A note on calculating autocovariances of
                                  long-memory processes  . . . . . . . . . 503--508
           Alvaro Escribano and   
                  Santiago Mira   Nonlinear error correction models  . . . 509--522
                 Gilles Fay and   
              Eric Moulines and   
               Philippe Soulier   Nonlinear functionals of the periodogram 523--553
                  J. Franke and   
               J.-P. Kreiss and   
                  E. Mammen and   
                  M. H. Neumann   Properties of the nonparametric
                                  autoregressive bootstrap . . . . . . . . 555--585
        Jesús Miguel and   
                    Pilar Olave   Adjusting forecast intervals in ARCH-M
                                  models . . . . . . . . . . . . . . . . . 587--598
               Raquel Prado and   
                 Gabriel Huerta   Time-varying autoregressions with model
                                  order uncertainty  . . . . . . . . . . . 599--618
                M. Zarepour and   
                    D. Banjevic   A note on maximum autoregressive
                                  processes of order one . . . . . . . . . 619--626
                     P. Whittle   The estimation and tracking of frequency 627--628

Journal of Time Series Analysis
Volume 23, Number 6, November, 2002

           T. J. Brailsford and   
            Jack H. W. Penm and   
                  R. D. Terrell   Selecting the forgetting factor in
                                  subset autoregressive modelling  . . . . 629--649
         JÖRg Breitung and   
              Norman R. Swanson   Temporal aggregation and spurious
                                  instantaneous causality in multiple time
                                  series models  . . . . . . . . . . . . . 651--665
               Markku Lanne and   
      Helmut Lütkepohl and   
               Pentti Saikkonen   Comparison of unit root tests for time
                                  series with level shifts . . . . . . . . 667--685
              Bonnie K. Ray and   
                   Ruey S. Tsay   Bayesian methods for change-point
                                  detection in long-range dependent
                                  processes  . . . . . . . . . . . . . . . 687--705
              B. Truong-van and   
                   P. Varachaud   Asymptotic laws of successive least
                                  squares estimates for seasonal ARIMA
                                  models and application . . . . . . . . . 707--731
               Kent D. Wall and   
               David S. Stoffer   A state space approach to bootstrapping
                                  conditional forecasts in ARMA models . . 733--751
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis: index to volume 23 2002  . . . 753--754


Journal of Time Series Analysis
Volume 24, Number 1, January, 2003

                  D. Blanke and   
                        B. Pumo   Optimal sampling for density estimation
                                  in continuous time . . . . . . . . . . . 1--23
                 Yuqing Dai and   
                     L. Billard   Maximum likelihood estimation in space
                                  time bilinear models . . . . . . . . . . 25--44
                 A. S. Hurn and   
              K. A. Lindsay and   
                   V. L. Martin   On the efficacy of simulated maximum
                                  likelihood for estimating the parameters
                                  of stochastic differential equations . . 45--63
             Robert C. Jung and   
                 A. R. Tremayne   Testing for serial dependence in time
                                  series models of counts  . . . . . . . . 65--84
              S. J. Koopman and   
                      J. Durbin   Filtering and smoothing of state vector
                                  for diffuse state-space models . . . . . 85--98
            Anders Rygh Swensen   Bootstrapping unit root tests for
                                  integrated processes . . . . . . . . . . 99--126

Journal of Time Series Analysis
Volume 24, Number 2, March, 2003

                  Arup Bose and   
              Kanchan Mukherjee   Estimating the ARCH parameters by
                                  solving linear equations . . . . . . . . 127--136
              Fabio Busetti and   
                  Andrew Harvey   Further comments on stationarity tests
                                  in series with structural breaks at
                                  unknown points . . . . . . . . . . . . . 137--140
               Piet De Jong and   
           Singfat Chu-Chun-Lin   Smoothing with an unknown initial
                                  condition  . . . . . . . . . . . . . . . 141--148
                   Wensheng Guo   Dynamic state-space models . . . . . . . 149--158
            David I. Harvey and   
               Terence C. Mills   A note on Busetti--Harvey tests for
                                  stationarity in series with structural
                                  breaks . . . . . . . . . . . . . . . . . 159--164
              L. Kavalieris and   
               E. J. Hannan and   
                       M. Salau   Generalized least squares estimation of
                                  ARMA models  . . . . . . . . . . . . . . 165--172
                       U. Keich   Stationary tangent: the discrete and
                                  non-smooth case  . . . . . . . . . . . . 173--192
              Pierre Perron and   
       Gabriel Rodríguez   Searching for additive outliers in
                                  nonstationary time series  . . . . . . . 193--220
               Tommaso Proietti   Leave-$k$-out diagnostics in state-space
                                  models . . . . . . . . . . . . . . . . . 221--236
       Zacharias Psaradakis and   
                Nicola Spagnolo   On the determination of the number of
                                  regimes in Markov-switching
                                  autoregressive models  . . . . . . . . . 237--252

Journal of Time Series Analysis
Volume 24, Number 3, May, 2003

            Andrew P. Blake and   
              George Kapetanios   Pure Significance Tests of the Unit Root
                                  Hypothesis Against Nonlinear
                                  Alternatives . . . . . . . . . . . . . . 253--267
                Malay Ghosh and   
                    Jungeun Heo   Default Bayesian priors for regression
                                  models with first-order autoregressive
                                  residuals  . . . . . . . . . . . . . . . 269--282
                   Joann Jasiak   First-Order Autoregressive Processes
                                  with Heterogeneous Persistence . . . . . 283--309
                Dingding Li and   
               Thanasis Stengos   Testing Serial Correlation in
                                  Semiparametric Time Series Models  . . . 311--335
                 B. Nielsen and   
                    N. Shephard   Likelihood analysis of a first-order
                                  autoregressive model with exponential
                                  innovations  . . . . . . . . . . . . . . 337--344
                 Carlos Velasco   Gaussian semi-parametric estimation of
                                  fractional cointegration . . . . . . . . 345--378

Journal of Time Series Analysis
Volume 24, Number 4, July, 2003

              Yoosoon Chang and   
                   Joon Y. Park   A Sieve Bootstrap for the Test of a Unit
                                  Root . . . . . . . . . . . . . . . . . . 379--400
             Ching-Kang Ing and   
                     Shu-Hui Yu   On Estimating Conditional Mean-Squared
                                  Prediction Error in Autoregressive
                                  Models . . . . . . . . . . . . . . . . . 401--422
               Markku Lanne and   
               Pentti Saikkonen   Reducing size distortions of parametric
                                  stationarity tests . . . . . . . . . . . 423--439
          Stephen Leybourne and   
            A. M. Robert Taylor   Seasonal unit root tests based on
                                  forward and reverse estimation . . . . . 441--460
        Marcelo C. Medeiros and   
                   Alvaro Veiga   Diagnostic Checking in a Flexible
                                  Nonlinear Time Series Model  . . . . . . 461--482
             Kenji Sakiyama and   
             Masanobu Taniguchi   Testing Composite Hypotheses for Locally
                                  Stationary Processes . . . . . . . . . . 483--504

Journal of Time Series Analysis
Volume 24, Number 5, September, 2003

             Peter F. Craigmile   Simulating a class of stationary
                                  Gaussian processes using the
                                  Davies-Harte algorithm, with application
                                  to long memory processes . . . . . . . . 505--511
          E. J. G. Odolphin and   
                  S. E. Johnson   Decomposition of Time Series Dynamic
                                  Linear Models  . . . . . . . . . . . . . 513--527
               Tae-Hwan Kim and   
      Stephan Pfaffenzeller and   
                Tony Rayner and   
                   Paul Newbold   Testing for linear trend with
                                  application to relative primary
                                  commodity prices . . . . . . . . . . . . 539--551
             Dinh Tuan Pham and   
                   Roch Roy and   
             Lyne Cédras   Tests for non-correlation of two
                                  cointegrated ARMA time series  . . . . . 553--577
               M. G. Scotto and   
              K. F. Turkman and   
                 C. W. Anderson   Extremes of Some Sub-Sampled Time Series 579--590
            A. M. Robert Taylor   Locally Optimal Tests Against Unit Roots
                                  in Seasonal Time Series Processes  . . . 591--612
                   A. M. Walker   A note on estimation by least squares
                                  for harmonic component models  . . . . . 613--629

Journal of Time Series Analysis
Volume 24, Number 6, November, 2003

                 M. Antunes and   
       M. A. Amaral Turkman and   
                  K. F. Turkman   A Bayesian Approach to Event Prediction  631--646
     Stergios B. Fotopoulos and   
                    Sung K. Ahn   Rank Based Dickey--Fuller Test
                                  Statistics . . . . . . . . . . . . . . . 647--662
          Sòren Johansen   The asymptotic variance of the estimated
                                  roots in a cointegrated vector
                                  autoregressive model . . . . . . . . . . 663--678
               Takeshi Kato and   
                    Elias Masry   A time-domain semi-parametric estimate
                                  for strongly dependent continuous-time
                                  stationary processes . . . . . . . . . . 679--703
                 Dejian Lai and   
                  Guanrong Chen   Distribution of the estimated Lyapunov
                                  exponents from noisy chaotic time series 705--720
                Yuichi Nagahara   Non-Gaussian filter and smoother based
                                  on the Pearson distribution system . . . 721--738
                  B. Tarami and   
                  M. Pourahmadi   Multi-variate t autoregressions:
                                  innovations, prediction variances and
                                  exact likelihood equations . . . . . . . 739--754
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis Index to Volume 24 2003 . . . . 755--756


Journal of Time Series Analysis
Volume 25, Number 1, January, 2004

          Stelios Arvanitis and   
                  Antonis Demos   Time Dependence and Moments of a Family
                                  of Time-Varying Parameter GARCH in Mean
                                  Models . . . . . . . . . . . . . . . . . 1--25
                Ingolf Dittmann   Error Correction Models for Fractionally
                                  Cointegrated Time Series . . . . . . . . 27--32
                Uwe Hassler and   
          Paulo M. M. Rodrigues   Seasonal Unit Root Tests Under
                                  Structural Breaks  . . . . . . . . . . . 33--53
             Javier Hidalgo and   
               Philippe Soulier   Estimation of the location and exponent
                                  of the spectral singularity of a long
                                  memory process . . . . . . . . . . . . . 55--81
          Bernardo M. Lagos and   
              Pedro A. Morettin   Improvement of the Likelihood Ratio Test
                                  Statistic in ARMA Models . . . . . . . . 83--101
                 Wilfried Loges   The Stationary Marginal Distribution of
                                  a Threshold $ {\rm AR}(1) $ Process  . . 103--125
                  Y. K. Tse and   
                   K. W. Ng and   
                    Xibin Zhang   A small-sample overlapping
                                  variance-ratio test  . . . . . . . . . . 127--135
                   Paolo Vidoni   Improved prediction intervals for
                                  stochastic process models  . . . . . . . 137--154
           B. L. S. Prakasa Rao   Book Reviews . . . . . . . . . . . . . . 155--157
                M. B. Priestley   Book Reviews . . . . . . . . . . . . . . 157--157
                   T. Subba Rao   Book Reviews . . . . . . . . . . . . . . 157--158

Journal of Time Series Analysis
Volume 25, Number 2, March, 2004

               Holger Dette and   
             Ingrid Spreckelsen   Some comments on specification tests in
                                  nonparametric absolutely regular
                                  processes  . . . . . . . . . . . . . . . 159--172
      Konstantinos Fokianos and   
                 Benjamin Kedem   Partial Likelihood Inference For Time
                                  Series Following Generalized Linear
                                  Models . . . . . . . . . . . . . . . . . 173--197
               Tae Yoon Kim and   
                Sun Young Hwang   Kernel matching scheme for block
                                  bootstrap of time series data  . . . . . 199--216
             Piotr Kokoszka and   
                   Michael Wolf   Subsampling the mean of heavy-tailed
                                  dependent observations . . . . . . . . . 217--234
             Alex S. Morton and   
   Granville Tunnicliffe-Wilson   A class of modified high-order
                                  autoregressive models with improved
                                  resolution of low-frequency cycles . . . 235--250
        Dimitris N. Politis and   
           Joseph P. Romano and   
                   Michael Wolf   Inference for autocorrelations in the
                                  possible presence of a unit root . . . . 251--263
         Menelaos Karanasos and   
       Zacharias Psaradakis and   
                    Martin Sola   On the Autocorrelation Properties of
                                  Long-Memory GARCH Processes  . . . . . . 265--282
              Dong Wan Shin and   
                     Oesook Lee   $M$-Estimation for regressions with
                                  integrated regressors and ARMA errors    283--299
                    Xibin Zhang   Assessment of Local Influence in GARCH
                                  Processes  . . . . . . . . . . . . . . . 301--313
               Terence C. Mills   Book review  . . . . . . . . . . . . . . 315--316

Journal of Time Series Analysis
Volume 25, Number 3, May, 2004

     Maria Eduarda Da Silva and   
     Vera Lúcia Oliveira   Difference Equations for the
                                  Higher-Order Moments and Cumulants of
                                  the $ {\rm INAR}(1) $ Model  . . . . . . 317--333
          Georges Oppenheim and   
             Marie-Claude Viano   Aggregation of random parameters
                                  Ornstein--Uhlenbeck or AR processes:
                                  some convergence results . . . . . . . . 335--350
               Paul Kabaila and   
                     Zhisong He   The adjustment of prediction intervals
                                  to account for errors in parameter
                                  estimation . . . . . . . . . . . . . . . 351--358
                   Qin Shao and   
                    Robert Lund   Computation and Characterization of
                                  Autocorrelations and Partial
                                  Autocorrelations in Periodic ARMA Models 359--372
         Gilles R. Ducharme and   
      Pierre Lafaye de Micheaux   Goodness-of-fit tests of normality for
                                  the innovations in ARMA models . . . . . 373--395
                  S. Peiris and   
               A. Thavaneswaran   A note on the filtering for some time
                                  series models  . . . . . . . . . . . . . 397--407
                  Robert Sollis   Asymmetric adjustment and smooth
                                  transitions: a combination of some unit
                                  root tests . . . . . . . . . . . . . . . 409--417
                 P. W. Fong and   
                       W. K. Li   Some results on cointegration with
                                  random coefficients in the error
                                  correction form: estimation and testing  419--441

Journal of Time Series Analysis
Volume 25, Number 4, July, 2004

                 John N. Haddad   On the closed form of the covariance
                                  matrix and its inverse of the causal
                                  ARMA process . . . . . . . . . . . . . . 443--448
            Lorenzo Pascual and   
                  Juan Romo and   
                    Esther Ruiz   Bootstrap predictive inference for ARIMA
                                  processes  . . . . . . . . . . . . . . . 449--465
             Edward P. Campbell   Bayesian selection of threshold
                                  autoregressive models  . . . . . . . . . 467--482
                 Dehui Wang and   
                 Lixin Song and   
                  Ningzhong Shi   Estimation and testing for the
                                  parameters of $ {\rm ARCH}(q) $ under
                                  ordered restriction  . . . . . . . . . . 483--499
           Yasumasa Matsuda and   
               Yoshihiro Yajima   On testing for separable correlations of
                                  multivariate time series . . . . . . . . 501--528
             Wilfredo Palma and   
              Mauricio Zevallos   Analysis of the correlation structure of
                                  square time series . . . . . . . . . . . 529--550
               Taiyeong Lee and   
                David A. Dickey   Limiting distributions of unconditional
                                  maximum likelihood unit root test
                                  statistics in seasonal time-series
                                  models . . . . . . . . . . . . . . . . . 551--561
                 Fabienne Comte   Kernel deconvolution of stochastic
                                  volatility models  . . . . . . . . . . . 563--582
               Tae-Hwan Kim and   
       Stephen J. Leybourne and   
                   Paul Newbold   Asymptotic mean-squared forecast error
                                  when an autoregression with linear trend
                                  is fitted to data generated by an $ {\rm
                                  I}(0) $ or $ {\rm I}(1) $ process  . . . 583--602
            William R. Bell and   
            Donald E. K. Martin   Computation of asymmetric signal
                                  extraction filters and mean squared
                                  error for ARIMA component models . . . . 603--623

Journal of Time Series Analysis
Volume 25, Number 5, September, 2004

         André Klein and   
              Guy Mélard   An algorithm for computing the
                                  asymptotic Fisher information matrix for
                                  seasonal SISO models . . . . . . . . . . 627--648
              C. W. Granger and   
                E. Maasoumi and   
                      J. Racine   A Dependence Metric for Possibly
                                  Nonlinear Processes  . . . . . . . . . . 649--669
             N. K. Unnikrishnan   Bayesian subset model selection for time
                                  series . . . . . . . . . . . . . . . . . 671--690
              Luis A. Gil-Alana   A joint test of fractional integration
                                  and structural breaks at a known period
                                  of time  . . . . . . . . . . . . . . . . 691--700
             R. K. Freeland and   
                B. P. M. McCabe   Analysis of low count time series data
                                  by Poisson autoregression  . . . . . . . 701--722
                      S. Perera   Maximum quasi-likelihood estimation for
                                  the $ {\rm NEAR}(2) $ model  . . . . . . 723--732
            Offer Lieberman and   
           Peter C. B. Phillips   Error bounds and asymptotic expansions
                                  for Toeplitz product functionals of
                                  unbounded spectra  . . . . . . . . . . . 733--753
               Tae-Hwan Kim and   
          Stephen Leybourne and   
                   Paul Newbold   Behaviour of Dickey--Fuller Unit-Root
                                  Tests Under Trend Misspecification . . . 755--764
           Christian Francq and   
                 Antony Gautier   Large sample properties of parameter
                                  least squares estimates for time-varying
                                  ARMA models  . . . . . . . . . . . . . . 765--783

Journal of Time Series Analysis
Volume 25, Number 6, November, 2004

                 J. Vermaak and   
                 C. Andrieu and   
                  A. Doucet and   
                  S. J. Godsill   Reversible jump Markov chain Monte Carlo
                                  strategies for Bayesian model selection
                                  in autoregressive processes  . . . . . . 785--809
                  Yu-Pin Hu and   
                 Rouh-Jane Chou   On the Peña--Box model  . . . . . . . . . 811--830
             Vidar Hjellvik and   
                  Rong Chen and   
           Dag Tjòstheim   Nonparametric estimation and testing in
                                  panels of intercorrelated time series    831--872
            \`Oscar Jord\`a and   
        Massimiliano Marcellino   Time-scale transformations of discrete
                                  time processes . . . . . . . . . . . . . 873--894
                 Mark J. Jensen   Semiparametric Bayesian Inference of
                                  Long-Memory Stochastic Volatility Models 895--922
                  Peide Shi and   
                 Chih-Ling Tsai   A Joint Regression Variable and
                                  Autoregressive Order Selection Criterion 923--941
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis: index to volume 25 2004  . . . 943--945


Journal of Time Series Analysis
Volume 26, Number 1, January, 2005

                Kamal C. Chanda   Large sample properties of spectral
                                  estimators for a class of stationary
                                  nonlinear processes  . . . . . . . . . . 1--16
        Maria Eduarda Silva and   
     Vera Lúcia Oliveira   Difference Equations for the Higher
                                  Order Moments and Cumulants of the $
                                  {\rm INAR}(p) $ Model  . . . . . . . . . 17--36
       Gonzalo Camba-Mendez and   
              George Kapetanios   Estimating the Rank of the Spectral
                                  Density Matrix . . . . . . . . . . . . . 37--48
                Pierre Duchesne   Robust and powerful serial correlation
                                  tests with new robust estimates in ARX
                                  models . . . . . . . . . . . . . . . . . 49--81
                Marc Hallin and   
               Abdessamad Saidi   Testing Non-Correlation and
                                  Non-Causality between Multivariate ARMA
                                  Time Series  . . . . . . . . . . . . . . 83--105
        Francesco Battaglia and   
                      Lia Orfei   Outlier Detection and Estimation in
                                  Nonlinear Time Series  . . . . . . . . . 107--121
              George Kapetanios   Unit-root testing against the
                                  alternative hypothesis of up to m
                                  structural breaks  . . . . . . . . . . . 123--133
         Masahito Kobayashi and   
                    Xiuhong Shi   Testing for EGARCH Against Stochastic
                                  Volatility Models  . . . . . . . . . . . 135--150
                    Barry Quinn   Book Reviews 1 . . . . . . . . . . . . . 151--152
                      Anonymous   Book Reviews 2 . . . . . . . . . . . . . 152--153
                      Anonymous   Erratum  . . . . . . . . . . . . . . . . 155--156

Journal of Time Series Analysis
Volume 26, Number 2, March, 2005

                  D. S. Poskitt   A Note on the Specification and
                                  Estimation of ARMAX Systems  . . . . . . 157--183
                Francesco Bravo   Blockwise empirical entropy tests for
                                  time series regressions  . . . . . . . . 185--210
              Stilian Stoev and   
                 Murad S. Taqqu   Asymptotic self-similarity and wavelet
                                  estimation for long-range dependent
                                  fractional autoregressive integrated
                                  moving average time series with stable
                                  innovations  . . . . . . . . . . . . . . 211--249
              Francesco Audrino   Local Likelihood for non-parametric $
                                  {\rm ARCH}(1) $ models . . . . . . . . . 251--278
Morten Òrregaard Nielsen   Semiparametric estimation in time-series
                                  regression with long-range dependence    279--304
            B. P. M. McCabe and   
               G. M. Martin and   
                 A. R. Tremayne   Assessing Persistence In Discrete
                                  Nonstationary Time-Series Models . . . . 305--317
            Philip Hans Franses   The Econometric Analysis of Seasonal
                                  Time Series  . . . . . . . . . . . . . . 319--321

Journal of Time Series Analysis
Volume 26, Number 3, May, 2005

              Hwai-Chung Ho and   
                   Nan-Jung Hsu   Polynomial Trend Regression With
                                  Long-memory Errors . . . . . . . . . . . 323--354
          Stephen Leybourne and   
               Tae-Hwan Kim and   
                   Paul Newbold   Examination of some more powerful
                                  modifications of the Dickey--Fuller test 355--369
               R. J. Biscay and   
              Marc Lavielle and   
          Carenne Ludeña   Estimation of Nonparametric
                                  Autoregressive Time Series Models Under
                                  Dynamical Constraints  . . . . . . . . . 371--397
            E. E. Ioannidis and   
                  G. A. Chronis   Extreme spectra of var models and orders
                                  of near-cointegration  . . . . . . . . . 399--421
         Sophie Lambert-Lacroix   Extension of Autocovariance Coefficients
                                  Sequence for Periodically Correlated
                                  Processes  . . . . . . . . . . . . . . . 423--435
             Gael M. Martin and   
        Catherine S. Forbes and   
                Vance L. Martin   Implicit Bayesian Inference Using Option
                                  Prices . . . . . . . . . . . . . . . . . 437--462
                    Yuzo Hosoya   Fractional Invariance Principle  . . . . 463--486
                 Paul Fearnhead   Book Review  . . . . . . . . . . . . . . 487--488

Journal of Time Series Analysis
Volume 26, Number 4, July, 2005

           Paul L. Anderson and   
            Mark M. Meerschaert   Parameter Estimation for Periodically
                                  Stationary Time Series . . . . . . . . . 489--518
                  Pascal Bondon   Influence of missing values on the
                                  prediction of a stationary time series   519--525
                       Yue Fang   The effect of the estimation on
                                  goodness-of-fit tests in time series
                                  models . . . . . . . . . . . . . . . . . 527--541
         Efstathios Paparoditis   Testing the Fit of a Vector
                                  Autoregressive Moving Average Model  . . 543--568
                 Heung Wong and   
                   Shiqing Ling   Mixed Portmanteau Tests for Time-Series
                                  Models . . . . . . . . . . . . . . . . . 569--579
                 J. Arteche and   
                     C. Velasco   Trimming and Tapering Semi-Parametric
                                  Estimates in Asymmetric Long Memory Time
                                  Series . . . . . . . . . . . . . . . . . 581--611
              Henghsiu Tsai and   
                     K. S. Chan   Temporal Aggregation of Stationary And
                                  Nonstationary Discrete-Time Processes    613--624
                     P. Whittle   Book review: \booktitleThe Estimation
                                  and Tracking of Frequency  . . . . . . . 625--626
                     G. Janacek   Book review: \booktitleSeasonal
                                  adjustment with the X-11 method  . . . . 626--627
                     G. Janacek   Book review: \booktitleMeasuring
                                  Business Cycles in Economic Time Series  627--628
                   T. Subba Rao   Book Review: \booktitleAdvanced Linear
                                  Modelling  . . . . . . . . . . . . . . . 628--629

Journal of Time Series Analysis
Volume 26, Number 5, September, 2005

                  Dietmar Bauer   Comparing the CCA Subspace Method to
                                  Pseudo Maximum Likelihood Methods in the
                                  case of No Exogenous Inputs  . . . . . . 631--668
              Eckhard Liebscher   Towards a unified approach for proving
                                  geometric ergodicity and mixing
                                  properties of nonlinear autoregressive
                                  processes  . . . . . . . . . . . . . . . 669--689
              Henghsiu Tsai and   
                     K. S. Chan   Quasi-Maximum likelihood estimation for
                                  a class of continuous-time long-memory
                                  processes  . . . . . . . . . . . . . . . 691--713
             Arie Preminger and   
                David Wettstein   Using the penalized likelihood method
                                  for model selection with nuisance
                                  parameters present only under the
                                  alternative: an application to switching
                                  regression models  . . . . . . . . . . . 715--741
                   Hai-Bin Wang   Parameter estimation and subset
                                  selection for separable lower triangular
                                  bilinear models  . . . . . . . . . . . . 743--757
            A. M. Robert Taylor   On the use of sub-sample unit root tests
                                  to detect changes in persistence . . . . 759--778
              Robert H. Shumway   Book Reviews . . . . . . . . . . . . . . 779--780
                C. T. J. Dodson   Book Reviews . . . . . . . . . . . . . . 780--782
               Terence C. Mills   Book Reviews . . . . . . . . . . . . . . 782--783
            Richard E. Chandler   Book Reviews . . . . . . . . . . . . . . 783--784
              Mohsen Pourahmadi   Book Reviews . . . . . . . . . . . . . . 784--785
                  Gyorgy Terdik   Book Reviews . . . . . . . . . . . . . . 786--786
                      Anonymous   Erratum: Book Review . . . . . . . . . . 787--787

Journal of Time Series Analysis
Volume 26, Number 6, November, 2005

      Ramsés H. Mena and   
              Stephen G. Walker   Stationary Autoregressive Models via a
                                  Bayesian Nonparametric Approach  . . . . 789--805
                S. Y. Hwang and   
                   I. V. Basawa   Explosive Random-Coefficient $ {\rm
                                  AR}(1) $ Processes and Related
                                  Asymptotics for Least-Squares Estimation 807--824
                    J. Zhou and   
                   I. V. Basawa   Maximum likelihood estimation for a
                                  first-order bifurcating autoregressive
                                  process with exponential errors  . . . . 825--842
           Peter X.-K. Song and   
                    Dingan Feng   On Parameter Estimation for Exponential
                                  Dispersion ARMA Models . . . . . . . . . 843--862
             Wilfredo Palma and   
                 Ngai Hang Chan   Efficient Estimation of Seasonal
                                  Long-Range-Dependent Processes . . . . . 863--892
          Danny Pfeffermann and   
                 Richard Tiller   Bootstrap Approximation to Prediction
                                  MSE for State-Space Models with
                                  Estimated Parameters . . . . . . . . . . 893--916
                 Ansgar Steland   Random walks with drift --- a sequential
                                  approach . . . . . . . . . . . . . . . . 917--942
                      Anonymous   Online Early Announcement  . . . . . . . 943--943
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis: index to volume 26 2005  . . . 945--946


Journal of Time Series Analysis
Volume 27, Number 1, January, 2006

              Thomas M. Trimbur   Properties of higher order stochastic
                                  cycles . . . . . . . . . . . . . . . . . 1--17
            S. Ajay Chandra and   
             Masanobu Taniguchi   Minimum $ \alpha $-divergence estimation
                                  for ARCH models  . . . . . . . . . . . . 19--39
             K. D. S. Young and   
                   L. I. Pettit   The effect of observations on Bayesian
                                  choice of an autoregressive model  . . . 41--50
            Liudas Giraitis and   
           Peter C. B. Phillips   Uniform Limit Theory for Stationary
                                  Autoregression . . . . . . . . . . . . . 51--60
              Alexander Aue and   
       Lajos Horváth and   
               Josef Steinebach   Estimation in Random Coefficient
                                  Autoregressive Models  . . . . . . . . . 61--76
              J. C. Jimenez and   
                       T. Ozaki   An Approximate Innovation Method for the
                                  Estimation of Diffusion Processes from
                                  Discrete Data  . . . . . . . . . . . . . 77--97
          Hedibert F. Lopes and   
                 Esther Salazar   Bayesian Model Uncertainty In Smooth
                                  Transition Autoregressions . . . . . . . 99--117
                  Richard Luger   Median-unbiased estimation and exact
                                  inference methods for first-order
                                  autoregressive models with conditional
                                  heteroscedasticity of unknown form . . . 119--128
              Heungsun Park and   
                    Key-Il Shin   A Shrinked Forecast in Stationary
                                  Processes Favouring Percentage Error . . 129--139
             Jukka Corander and   
                Mattias Villani   A Bayesian Approach to Modelling
                                  Graphical Vector Autoregressions . . . . 141--156

Journal of Time Series Analysis
Volume 27, Number 2, March, 2006

                   Y. Zhang and   
                   A. I. McLeod   Computer algebra derivation of the bias
                                  of linear estimators of autoregressive
                                  models . . . . . . . . . . . . . . . . . 157--165
            E. J. Godolphin and   
                     S. R. Bane   On the evaluation of the information
                                  matrix for multiplicative seasonal
                                  time-series models . . . . . . . . . . . 167--190
                   Gabriel Pons   Testing Monthly Seasonal Unit Roots With
                                  Monthly and Quarterly Information  . . . 191--209
             Violetta Dalla and   
            Liudas Giraitis and   
                 Javier Hidalgo   Consistent estimation of the memory
                                  parameter for nonlinear time series  . . 211--251
             Yoshihide Kakizawa   Bernstein polynomial estimation of a
                                  spectral density . . . . . . . . . . . . 253--287
       Peter C. B. Phillips and   
                       Ke-Li Xu   Inference in Autoregression under
                                  Heteroskedasticity . . . . . . . . . . . 289--308
                      Lei M. Li   Some notes on mutual information between
                                  past and future  . . . . . . . . . . . . 309--322

Journal of Time Series Analysis
Volume 27, Number 3, May, 2006

           Nunzio Cappuccio and   
                   Diego Lubian   Local Asymptotic Distributions of
                                  Stationarity Tests . . . . . . . . . . . 323--345
        Clive W. J. Granger and   
                    Yongil Jeon   Dynamics of Model Overfitting Measured
                                  in terms of Autoregressive Roots . . . . 347--365
              Zhengyuan Zhu and   
                 Murad S. Taqqu   Impact of the sampling rate on the
                                  estimation of the parameters of
                                  fractional Brownian motion . . . . . . . 367--380
                Ralf Becker and   
              Walter Enders and   
                     Junsoo Lee   A stationarity test in the presence of
                                  an unknown number of smooth breaks . . . 381--409
               Haitao Zheng and   
           Ishwar V. Basawa and   
                  Somnath Datta   Inference for $p$ th-order random
                                  coefficient integer-valued
                                  autoregressive processes . . . . . . . . 411--440
              Masayuki Hirukawa   A Modified Nonparametric Prewhitened
                                  Covariance Estimator . . . . . . . . . . 441--476

Journal of Time Series Analysis
Volume 27, Number 4, July, 2006

             Serge Darolles and   
       Christian Gourieroux and   
                   Joann Jasiak   Structural Laplace Transform and
                                  Compound Autoregressive Models . . . . . 477--503
         Chafik Bouhaddioui and   
                       Roch Roy   A Generalized Portmanteau Test For
                                  Independence Of Two Infinite-Order
                                  Vector Autoregressive Series . . . . . . 505--544
            Felipe Aparicio and   
           Alvaro Escribano and   
                  Ana E. Sipols   Range Unit-Root (RUR) Tests: Robust
                                  against Nonlinearities, Error
                                  Distributions, Structural Breaks and
                                  Outliers . . . . . . . . . . . . . . . . 545--576
             Zhiqiang Zhang and   
               Wai Keung Li and   
                 Kam Chuen Yuen   On a Mixture GARCH Time-Series Model . . 577--597
               A. I. McLeod and   
                       Y. Zhang   Partial autocorrelation parameterization
                                  for subset autoregression  . . . . . . . 599--612
         Giuseppe Cavaliere and   
            A. M. Robert Taylor   Testing the null of co-integration in
                                  the presence of variance breaks  . . . . 613--636

Journal of Time Series Analysis
Volume 27, Number 5, September, 2006

Céline Lévy-Leduc   Efficient frequency estimation from a
                                  particular almost periodic function with
                                  application to laser vibrometry  . . . . 637--669
         Antonio E. Noriega and   
   Daniel Ventosa-Santaul\`aria   Spurious Regression Under Broken-Trend
                                  Stationarity . . . . . . . . . . . . . . 671--684
             Peter Burridge and   
            A. M. Robert Taylor   Additive Outlier Detection Via
                                  Extreme-Value Theory . . . . . . . . . . 685--701
              Taku Yamamoto and   
                  Eiji Kurozumi   Tests for Long-Run Granger Non-Causality
                                  in Cointegrated Systems  . . . . . . . . 703--723
                   Rong Zhu and   
                      Harry Joe   Modelling count data time series with
                                  Markov processes based on binomial
                                  thinning . . . . . . . . . . . . . . . . 725--738
            David I. Harvey and   
           Stephen J. Leybourne   Power of a Unit-Root Test and the
                                  Initial Condition  . . . . . . . . . . . 739--752
       Zacharias Psaradakis and   
                Nicola Spagnolo   Joint determination of the state
                                  dimension and autoregressive order for
                                  models with Markov regime switching  . . 753--766
Ana Mónica C. Antunes and   
                 Tata Subba Rao   On hypotheses testing for the selection
                                  of spatio-temporal models  . . . . . . . 767--791

Journal of Time Series Analysis
Volume 27, Number 6, November, 2006

                      Anonymous   Corrigendum  . . . . . . . . . . . . . . i--ii
              Jelloul Allal and   
            Sa\"\id El Melhaoui   Optimal detection of exponential
                                  component in autoregressive models . . . 793--810
         Chu-Ping C. Vijverberg   Time deformation, continuous Euler
                                  processes and forecasting  . . . . . . . 811--829
              A. R. Soltani and   
                M. Mohammadpour   Moving Average Representations for
                                  Multivariate Stationary Processes  . . . 831--841
             Ahmed El Ghini and   
               Christian Francq   Asymptotic Relative Efficiency of
                                  Goodness-Of-Fit Tests Based on Inverse
                                  and Ordinary Autocorrelations  . . . . . 843--855
                  Qiwei Yao and   
             Peter J. Brockwell   Gaussian Maximum Likelihood Estimation
                                  For ARMA Models. I. Time Series  . . . . 857--875
          Elisabeth Gassiat and   
Céline Lévy-Leduc   Efficient semiparametric estimation of
                                  the periods in a superposition of
                                  periodic functions with unknown shape    877--910
                   Wen-Den Chen   An approximate likelihood function for
                                  panel data with a mixed $ {\rm ARMA}(p,
                                  q) $ remainder disturbance model . . . . 911--921
        René Ferland and   
               Alain Latour and   
                  Driss Oraichi   Integer-Valued GARCH Process . . . . . . 923--942
               Terence C. Mills   Introductory econometrics: using Monte
                                  Carlo simulation with Microsoft
                                  Excel\reg  . . . . . . . . . . . . . . . 943--944
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis: index to volume 27 2006  . . . 945--946


Journal of Time Series Analysis
Volume 28, Number 1, January, 2007

           Jean-Marc Bardet and   
                Pierre Bertrand   Identification of the multiscale
                                  fractional Brownian motion with
                                  biomechanical applications . . . . . . . 1--52
        Massimiliano Marcellino   Pooling-Based Data Interpolation and
                                  Backdating . . . . . . . . . . . . . . . 53--71
                         Hao Yu   High Moment Partial Sum Processes of
                                  Residuals in ARMA Models and their
                                  Applications . . . . . . . . . . . . . . 72--91
                 Peter Neal and   
                   T. Subba Rao   MCMC for Integer-Valued ARMA processes   92--110
                Elena Pesavento   Residuals-based tests for the null of
                                  no-cointegration: an Analytical
                                  comparison . . . . . . . . . . . . . . . 111--137
                      Jan Beran   On $M$-Estimation Under Long-Range
                                  Dependence in Volatility . . . . . . . . 138--153

Journal of Time Series Analysis
Volume 28, Number 2, March, 2007

                E. Moulines and   
                  F. Roueff and   
                    M. S. Taqqu   On the spectral density of the wavelet
                                  coefficients of long-memory time series
                                  with application to the log-regression
                                  estimation of the memory parameter . . . 155--187
          Joakim Westerlund and   
              David L. Edgerton   New improved tests for cointegration
                                  with structural breaks . . . . . . . . . 188--224
              A. R. Soltani and   
                 M. Azimmohseni   Simulation of real-valued discrete-time
                                  periodically correlated Gaussian
                                  processes with prescribed spectral
                                  density matrices . . . . . . . . . . . . 225--240
              Daren B. H. Cline   Evaluating the Lyapounov Exponent and
                                  Existence of Moments for Threshold
                                  AR--ARCH Models  . . . . . . . . . . . . 241--260
              Pascal Bondon and   
                 Wilfredo Palma   A Class of Antipersistent Processes  . . 261--273
                 Ana Bianco and   
                Graciela Boente   Robust estimators under semi-parametric
                                  partly linear autoregression: Asymptotic
                                  behaviour and bandwidth selection  . . . 274--306

Journal of Time Series Analysis
Volume 28, Number 3, May, 2007

                 Javier Hidalgo   A nonparametric test for weak dependence
                                  against strong cycles and its bootstrap
                                  analogue . . . . . . . . . . . . . . . . 307--349
              Henghsiu Tsai and   
                     K. S. Chan   A Note on Non-Negative ARMA Processes    350--360
     Víctor Gómez   Wiener-Kolmogorov filtering and
                                  smoothing for multivariate series with
                                  state-space structure  . . . . . . . . . 361--385
                A. E. Brockwell   Likelihood-based analysis of a class of
                                  generalized long-memory time series
                                  models . . . . . . . . . . . . . . . . . 386--407
          Stephen Leybourne and   
              Robert Taylor and   
                   Tae-Hwan Kim   CUSUM of Squares-Based Tests for a
                                  Change in Persistence  . . . . . . . . . 408--433
                  A. Canepa and   
                  L. G. Godfrey   Improvement of the quasi-likelihood
                                  ratio test in ARMA models: some results
                                  for bootstrap methods  . . . . . . . . . 434--453
           Christian Francq and   
                Hamdi Ra\"\issi   Multivariate portmanteau test for
                                  autoregressive models with uncorrelated
                                  but nonindependent errors  . . . . . . . 454--470

Journal of Time Series Analysis
Volume 28, Number 4, July, 2007

         M. Angeles Carnero and   
         Daniel Peña and   
                    Esther Ruiz   Effects of outliers on the
                                  identification and estimation of GARCH
                                  models . . . . . . . . . . . . . . . . . 471--497
                  Mituaki Huzii   Embedding a Gaussian discrete-time
                                  autoregressive moving average process in
                                  a Gaussian continuous-time
                                  autoregressive moving average process    498--520
                Paolo Zaffaroni   Contemporaneous aggregation of GARCH
                                  processes  . . . . . . . . . . . . . . . 521--544
              Eiji Kurozumi and   
                    Yoichi Arai   Efficient estimation and inference in
                                  cointegrating regressions with
                                  structural change  . . . . . . . . . . . 545--575
          Daniel J. Nordman and   
         Philipp Sibbertsen and   
            Soumendra N. Lahiri   Empirical likelihood confidence
                                  intervals for the mean of a long-range
                                  dependent process  . . . . . . . . . . . 576--599
                 Carlos Velasco   The periodogram of fractional processes  600--627

Journal of Time Series Analysis
Volume 28, Number 5, September, 2007

                  Jeremy Penzer   State space models for time series with
                                  patches of unusual observations  . . . . 629--645
              Chstoph Bandt and   
                    Faten Shiha   Order Patterns in Time Series  . . . . . 646--665
    Konstantinos Metaxoglou and   
                    Aaron Smith   Maximum Likelihood Estimation of VARMA
                                  Models Using a State-Space EM Algorithm  666--685
                       Amit Sen   Joint hypothesis tests for a unit root
                                  when there is a break in the innovation
                                  variance . . . . . . . . . . . . . . . . 686--700
           Leonardo Rocha Souza   Temporal Aggregation and Bandwidth
                                  selection in estimating long memory  . . 701--722
                  Patrick Marsh   Constructing Optimal tests on a Lagged
                                  dependent variable . . . . . . . . . . . 723--743
                 O. Stramer and   
                  G. O. Roberts   On Bayesian analysis of nonlinear
                                  continuous-time autoregression models    744--762
             Mihaela Serban and   
          Anthony Brockwell and   
              John Lehoczky and   
              Sanjay Srivastava   Modelling the Dynamic Dependence
                                  Structure in Multivariate Financial Time
                                  Series . . . . . . . . . . . . . . . . . 763--782
            E. J. Godolphin and   
                J. D. Godolphin   A note on the information matrix for
                                  multiplicative seasonal autoregressive
                                  moving-average models  . . . . . . . . . 783--791

Journal of Time Series Analysis
Volume 28, Number 6, November, 2007

                    K. Drouiche   A Test for Spectrum Flatness . . . . . . 793--806
            Andrew P. Blake and   
              George Kapetanios   Testing for Neglected Nonlinearity in
                                  Cointegrating Relationships  . . . . . . 807--826
                   Wen-Jen Tsay   Using difference-based methods for
                                  inference in regression with
                                  fractionally integrated processes  . . . 827--843
               Valerie Girardin   Relative entropy and spectral
                                  constraints: some invariance properties
                                  of the ARMA class  . . . . . . . . . . . 844--866
            Ginger M. Davis and   
             Katherine B. Ensor   Multivariate time-series analysis with
                                  categorical and continuous variables in
                                  an lstr model  . . . . . . . . . . . . . 867--885
         Daniel Peña and   
          Ismael Sánchez   Measuring the advantages of multivariate
                                  vs. univariate forecasts . . . . . . . . 886--909
        Tomas del Barrio Castro   Using the HEGY Procedure When Not All
                                  Roots Are Present  . . . . . . . . . . . 910--922
             Marco Avarucci and   
             Domenico Marinucci   Polynomial Cointegration Between
                                  Stationary Processes With Long Memory    923--942
                      Anonymous   \booktitleJournal of Time Series
                                  Analysis index to Volume 28 2007 . . . . 943--944


Journal of Time Series Analysis
Volume 29, Number 1, January, 2008

         Agnieszka Wyloma\'nska   Spectral measures of PARMA sequences . . 1--13
          Péter Elek and   
László Márkus   A light-tailed conditionally
                                  heteroscedastic model with applications
                                  to river flows . . . . . . . . . . . . . 14--36
             Monica Chiogna and   
               Carlo Gaetan and   
                Guido Masarotto   Automatic identification of seasonal
                                  transfer function models by means of
                                  iterative stepwise and genetic
                                  algorithms . . . . . . . . . . . . . . . 37--50
                   Beth Andrews   Rank-based estimation for autoregressive
                                  moving average time series models  . . . 51--73
             P. Gagliardini and   
                  C. Gourieroux   Duration time-series models with
                                  proportional hazard  . . . . . . . . . . 74--124
             Jussi Klemelä   Density estimation with locally
                                  identically distributed data and with
                                  locally stationary data  . . . . . . . . 125--141
           Nigar Hashimzade and   
           Timothy J. Vogelsang   Fixed-$b$ asymptotic approximation of
                                  the sampling behaviour of nonparametric
                                  spectral density estimators  . . . . . . 142--162
              Luis A. Gil-Alana   Fractional integration and structural
                                  breaks at unknown periods of time  . . . 163--185
                  Yuzhi Cai and   
                 Julian Stander   Quantile self-exciting threshold
                                  autoregressive time series models  . . . 186--202
       Donald W. K. Andrews and   
            Patrik Guggenberger   Asymptotics for stationary very nearly
                                  unit root processes  . . . . . . . . . . 203--212

Journal of Time Series Analysis
Volume 29, Number 2, March, 2008

               Paul Kabaila and   
               Khreshna Syuhada   Improved Prediction Limits For $ {\rm
                                  AR}(p) $ and $ {\rm ARCH}(p) $ Processes 213--223
                  D. S. Poskitt   Properties of the sieve bootstrap for
                                  fractionally integrated and
                                  non-invertible processes . . . . . . . . 224--250
                        Q. Shao   Robust Estimation For Periodic
                                  Autoregressive Time Series . . . . . . . 251--263
            Marios Sergides and   
         Efstathios Paparoditis   Bootstrapping the Local Periodogram of
                                  Locally Stationary Processes . . . . . . 264--299
         Giuseppe Cavaliere and   
            A. M. Robert Taylor   Time-Transformed unit root tests for
                                  models with non-stationary volatility    300--330
           Carsten Trenkler and   
           Pentti Saikkonen and   
          Helmut Lütkepohl   Testing for the Cointegrating Rank of a
                                  VAR Process with Level Shift and Trend
                                  Break  . . . . . . . . . . . . . . . . . 331--358
                 Naoya Katayama   An Improvement of the Portmanteau
                                  Statistic  . . . . . . . . . . . . . . . 359--370
              Franz C. Palm and   
            Stephan Smeekes and   
             Jean-Pierre Urbain   Bootstrap unit-root tests: comparison
                                  and extensions . . . . . . . . . . . . . 371--401
          Taslim S. Mallick and   
         Brajendra C. Sutradhar   GQL Versus Conditional GQL Inferences
                                  for Non-Stationary Time Series of Counts
                                  with Overdispersion  . . . . . . . . . . 402--420

Journal of Time Series Analysis
Volume 29, Number 3, May, 2008

             Niklas Ahlgren and   
                   Jukka Nyblom   Tests against stationary and explosive
                                  alternatives in vector autoregressive
                                  models . . . . . . . . . . . . . . . . . 421--443
            Fuyuhiko Tanaka and   
                Fumiyasu Komaki   A superharmonic prior for the
                                  autoregressive process of the
                                  second-order . . . . . . . . . . . . . . 444--452
                 Mika Meitz and   
               Pentti Saikkonen   Stability of nonlinear AR-GARCH models   453--475
              Eiji Kurozumi and   
                    Yoichi Arai   Test for the null hypothesis of
                                  cointegration with reduced size
                                  distortion . . . . . . . . . . . . . . . 476--500
           Seiichi Nakamori and   
      Aurora Hermoso-Carazo and   
    Josefa Linares-Pérez   Design of quadratic estimators using
                                  covariance information in linear
                                  discrete-time stochastic systems . . . . 501--512
                  M. Rekkas and   
                     Y. Sun and   
                        A. Wong   Improved inference for first-order
                                  autocorrelation using likelihood
                                  analysis . . . . . . . . . . . . . . . . 513--532
      George Athanasopoulos and   
                  Farshid Vahid   A complete VARMA modelling methodology
                                  based on scalar components . . . . . . . 533--554
         Sergio G. Koreisha and   
                       Yue Fang   Using least squares to generate
                                  forecasts in regressions with serial
                                  correlation  . . . . . . . . . . . . . . 555--580
                Paolo Zaffaroni   Large-scale volatility models:
                                  theoretical properties of professionals'
                                  practice . . . . . . . . . . . . . . . . 581--599
                  J.-W. Lin and   
                   A. I. McLeod   Portmanteau tests for ARMA models with
                                  infinite variance  . . . . . . . . . . . 600--617

Journal of Time Series Analysis
Volume 29, Number 4, July, 2008

                 Fukang Zhu and   
                     Dehui Wang   Estimation of Parameters in the $ {\rm
                                  NLAR}(p) $ Model . . . . . . . . . . . . 619--628
                Daniel R. Smith   Evaluating Specification Tests for
                                  Markov-Switching Time-Series Models  . . 629--652
               Mohamed Boutahar   Identification of persistent cycles in
                                  non-Gaussian long-memory time series . . 653--672
             Suhasini Subba Rao   Statistical analysis of a
                                  spatio-temporal model with
                                  location-dependent parameters and a test
                                  for spatial stationarity . . . . . . . . 673--694
             Peter Burridge and   
               Daniela Hristova   Consistent estimation and order
                                  selection for nonstationary
                                  autoregressive processes with stable
                                  innovations  . . . . . . . . . . . . . . 695--718
           Emma M. Iglesias and   
           Garry D. A. Phillips   Finite Sample Theory of QMLE in ARCH
                                  Models with Dynamics in the Mean
                                  Equation . . . . . . . . . . . . . . . . 719--737
             Joanne S. Ercolani   Book Review  . . . . . . . . . . . . . . 738--740

Journal of Time Series Analysis
Volume 29, Number 5, September, 2008

          Ignacio Arbués   An Extended Portmanteau Test for VARMA
                                  Models With Mixing Nonlinear Constraints 741--761
      Naâmane La\"\ib and   
            Mohamed Lemdani and   
             Elias Ould-Sa\"\id   On residual empirical processes of
                                  GARCH-SM models: application to
                                  conditional symmetry tests . . . . . . . 762--782
             Feike C. Drost and   
        Ramon Van Den Akker and   
               Bas J. M. Werker   Local asymptotic normality and efficient
                                  estimation for $ {\rm INAR}(p) $ models  783--801
Granville Tunnicliffe Wilson and   
                    Marco Reale   The sampling properties of conditional
                                  independence graphs for $ {\rm I}(1) $
                                  structural VAR models  . . . . . . . . . 802--810
               Jeongeun Kim and   
               David S. Stoffer   Fitting Stochastic Volatility Models in
                                  the Presence of Irregular Sampling via
                                  Particle Methods and the EM Algorithm    811--833
           Richard A. Davis and   
           Thomas C. M. Lee and   
       Gabriel A. Rodriguez-Yam   Break detection for a class of nonlinear
                                  time series models . . . . . . . . . . . 834--867
           Piotr Fryzlewicz and   
               Guy P. Nason and   
               Rainer Von Sachs   A wavelet-Fisz approach to spectrum
                                  estimation . . . . . . . . . . . . . . . 868--880
           Zacharias Psaradakis   Assessing Time-Reversibility Under
                                  Minimal Assumptions  . . . . . . . . . . 881--905
           Jean-Marc Bardet and   
               Paul Doukhan and   
 José Rafael León   Uniform limit theorems for the
                                  integrated periodogram of weakly
                                  dependent time series and their
                                  applications to Whittle's estimate . . . 906--945

Journal of Time Series Analysis
Volume 29, Number 6, November, 2008

       Marie Husková and   
                  Claudia Kirch   Bootstrapping confidence intervals for
                                  the change-point of time series  . . . . 947--972
                  Ruijun Bu and   
             Brendan McCabe and   
                  Kaddour Hadri   Maximum likelihood estimation of
                                  higher-order integer-valued
                                  autoregressive processes . . . . . . . . 973--994
             \Lukasz Lenart and   
             Jacek Le\'skow and   
              Rafa\l Synowiecki   Subsampling in testing autocovariance
                                  for periodically correlated time series  995--1018
                 Theodore Simos   The exact discrete model of a system of
                                  linear stochastic differential equations
                                  driven by fractional noise . . . . . . . 1019--1031
                   Hai-Bin Wang   Nonlinear ARMA models with functional MA
                                  coefficients . . . . . . . . . . . . . . 1032--1056
                    Hamid Louni   Outlier detection in ARMA models . . . . 1057--1065
        Nikolaos Kourogenis and   
                 Nikitas Pittis   Testing for a unit root under errors
                                  with just barely infinite variance . . . 1066--1087
                Uwe Hassler and   
            Francesc Marmol and   
                 Carlos Velasco   Fractional cointegration in the presence
                                  of linear trends . . . . . . . . . . . . 1088--1103
       C. Lévy-Leduc and   
                E. Moulines and   
                      F. Roueff   Frequency estimation based on the
                                  cumulated Lomb-Scargle periodogram . . . 1104--1131


Journal of Time Series Analysis
Volume 30, Number 1, January, 2009

  Víctor Enciso-Mora and   
                 Peter Neal and   
                   T. Subba Rao   Efficient order selection algorithms for
                                  integer-valued ARMA processes  . . . . . 1--18
        Abdelhakim Aknouche and   
               Abdelouahab Bibi   Quasi-maximum likelihood estimation of
                                  periodic GARCH and periodic ARMA-GARCH
                                  processes  . . . . . . . . . . . . . . . 19--46
           Tommaso Proietti and   
                    Marco Riani   Transformations and seasonal adjustment  47--69
                 Eugen Ursu and   
                Pierre Duchesne   On modelling and diagnostic checking of
                                  vector periodic autoregressive time
                                  series models  . . . . . . . . . . . . . 70--96
 Víctor Gómez and   
Félix Aparicio-Pérez   A new state-space methodology to
                                  disaggregate multivariate time series    97--124
              Dennis Kristensen   On stationarity and ergodicity of the
                                  bilinear model with applications to
                                  GARCH models . . . . . . . . . . . . . . 125--144
               Kenichiro Tamaki   Second-order properties of locally
                                  stationary processes . . . . . . . . . . 145--166

Journal of Time Series Analysis
Volume 30, Number 2, March, 2009

        Alejandro Rodriguez and   
                    Esther Ruiz   Bootstrap prediction intervals in
                                  state-space models . . . . . . . . . . . 167--178
                      Xiao Wang   Semiparametric inference on a class of
                                  Wiener processes . . . . . . . . . . . . 179--207
          George Kapetanios and   
        Massimiliano Marcellino   A parametric estimation method for
                                  dynamic factor models of large
                                  dimensions . . . . . . . . . . . . . . . 208--238
                 Jiwon Kang and   
                   Sangyeol Lee   Parameter change test for random
                                  coefficient integer-valued
                                  autoregressive processes with
                                  application to polio data analysis . . . 239--258
                      Anonymous   Corrigendum  . . . . . . . . . . . . . . 259--259
                  Ruijun Bu and   
             Brendan McCabe and   
                  Kaddour Hadri   Corrigendum  . . . . . . . . . . . . . . 260--261

Journal of Time Series Analysis
Volume 30, Number 3, May, 2009

         Philipp Sibbertsen and   
                 Robinson Kruse   Testing for a break in persistence under
                                  long-range dependencies  . . . . . . . . 263--285
               Zhengyan Lin and   
                   Degui Li and   
                       Jiti Gao   Local Linear $M$-estimation in
                                  non-parametric spatial regression  . . . 286--314
                  Arup Bose and   
              Kanchan Mukherjee   Bootstrapping a weighted linear
                                  estimator of the ARCH parameters . . . . 315--331
                Robert Lund and   
               Hany Bassily and   
                Brani Vidakovic   Testing equality of stationary
                                  autocovariances  . . . . . . . . . . . . 332--348
        Georgi N. Boshnakov and   
               Bisher M. Iqelan   Generation Of Time Series Models With
                                  Given Spectral Properties  . . . . . . . 349--368

Journal of Time Series Analysis
Volume 30, Number 4, July, 2009

       Zacharias Psaradakis and   
                Martin Sola and   
             Fabio Spagnolo and   
                Nicola Spagnolo   Selecting nonlinear time series models
                                  using information criteria . . . . . . . 369--394
       István Berkes and   
       Lajos Horváth and   
                   Shiqing Ling   Estimation in nonstationary random
                                  coefficient autoregressive models  . . . 395--416
                 M. Kachour and   
                      J. F. Yao   First-order rounded integer-valued
                                  autoregressive (RINAR(1)) process  . . . 417--448
           Christian Francq and   
         Jean-Michel Zako\"\ian   Bartlett's formula for a general class
                                  of nonlinear processes . . . . . . . . . 449--465
                      Anonymous   Call for papers  . . . . . . . . . . . . 466--466

Journal of Time Series Analysis
Volume 30, Number 5, September, 2009

        Georgi N. Boshnakov and   
         Sophie Lambert-Lacroix   Maximum entropy for periodically
                                  correlated processes from nonconsecutive
                                  autocovariance coefficients  . . . . . . 467--486
                 Naoya Katayama   On multiple portmanteau tests  . . . . . 487--504
  Joseph Tadjuidje Kamgaing and   
             Hernando Ombao and   
               Richard A. Davis   Autoregressive processes with
                                  data-driven regime switching . . . . . . 505--533
                  F. Roueff and   
                    M. S. Taqqu   Asymptotic normality of wavelet
                                  estimators of the memory parameter for
                                  linear processes . . . . . . . . . . . . 534--558
                   Zhu Wang and   
          Wayne A. Woodward and   
                  Henry L. Gray   The application of the Kalman filter to
                                  nonstationary time series through time
                                  deformation  . . . . . . . . . . . . . . 559--574
                  Willa W. Chen   Book Review: \booktitleAnalysis of
                                  Integrated and Cointegrated Time Series
                                  with R, 2nd edition  . . . . . . . . . . 575--575

Journal of Time Series Analysis
Volume 30, Number 6, November, 2009

                   Paolo Vidoni   A simple procedure for computing
                                  improved prediction intervals for
                                  autoregressive models  . . . . . . . . . 577--590
               Josu Arteche and   
                     Jesus Orbe   Bootstrap-based bandwidth choice for
                                  log-periodogram regression . . . . . . . 591--617
              Willa W. Chen and   
                   Rohit S. Deo   The restricted likelihood ratio test at
                                  the boundary in autoregressive series    618--630
            Rebecca J. Sela and   
            Clifford M. Hurvich   Computationally efficient methods for
                                  two multivariate fractionally integrated
                                  models . . . . . . . . . . . . . . . . . 631--651
             Jan Mielniczuk and   
                  Zhou Zhou and   
                    Wei Biao Wu   On nonparametric prediction of linear
                                  processes  . . . . . . . . . . . . . . . 652--673
               Yoichi Nishiyama   Goodness-of-fit test for a nonlinear
                                  time series  . . . . . . . . . . . . . . 674--681
               John Haywood and   
   Granville Tunnicliffe Wilson   A test for improved multi-step
                                  forecasting  . . . . . . . . . . . . . . 682--707
            Georgi N. Boshnakov   Book Review: \booktitleTime series
                                  analysis with applications in R series:
                                  Springer texts in statistics, 2nd
                                  edition  . . . . . . . . . . . . . . . . 708--709


Journal of Time Series Analysis
Volume 31, Number 1, January, 2010

                   Luigi Spezia   Bayesian analysis of multivariate
                                  Gaussian hidden Markov models with an
                                  unknown number of regimes  . . . . . . . 1--11
            Jonas Andersson and   
                Dimitris Karlis   Treating missing values in $ {\rm
                                  INAR}(1) $ models: an application to
                                  syndromic surveillance data  . . . . . . 12--19
  Valdério A. Reisen and   
              Eric Moulines and   
           Philippe Soulier and   
               Glaura C. Franco   On the properties of the periodogram of
                                  a stationary long-memory process over
                                  different epochs with applications . . . 20--36
                Fabrizio Iacone   Local Whittle estimation of the memory
                                  parameter in presence of deterministic
                                  components . . . . . . . . . . . . . . . 37--49
            Piotr Borkowski and   
                 Jan Mielniczuk   Postmodel selection estimators of
                                  variance function for nonlinear
                                  autoregression . . . . . . . . . . . . . 50--63
             Suhasini Subba Rao   Book Review: \booktitleHandbook of
                                  Financial Time Series  . . . . . . . . . 64--64

Journal of Time Series Analysis
Volume 31, Number 2, March, 2010

                   Yun Gong and   
                Zhouping Li and   
                     Liang Peng   Empirical likelihood intervals for
                                  conditional Value-at-Risk in ARCH/GARCH
                                  models . . . . . . . . . . . . . . . . . 65--75
Mariano Matilla-García and   
José Miguel Rodríguez and   
       Manuel Ruiz Marín   A symbolic test for testing independence
                                  between time series  . . . . . . . . . . 76--85
                Lihong Wang and   
                     Haiyan Cai   Wavelet change-point estimation for long
                                  memory non-parametric random design
                                  models . . . . . . . . . . . . . . . . . 86--97
                Rongning Wu and   
               Richard A. Davis   Least absolute deviation estimation for
                                  general autoregressive moving average
                                  time-series models . . . . . . . . . . . 98--112
        Abdelhakim Aknouche and   
                   Nadia Rabehi   On an independent and identically
                                  distributed mixture bilinear time-series
                                  model  . . . . . . . . . . . . . . . . . 113--131
       Francesco Bartolucci and   
              Alessio Farcomeni   A note on the mixture transition
                                  distribution and hidden Markov models    132--138
                   T. Subba Rao   Time Series Analysis . . . . . . . . . . 139--139

Journal of Time Series Analysis
Volume 31, Number 3, May, 2010

        Jean-Pierre Stockis and   
         Jürgen Franke and   
      Joseph Tadjuidje Kamgaing   On geometric ergodicity of CHARME models 141--152
         Evangelos E. Ioannidis   Unit-root testing: on the asymptotic
                                  equivalence of Dickey--Fuller with the
                                  log--log slope of a fitted
                                  autoregressive spectrum  . . . . . . . . 153--166
                 Rajesh Selukar   Estimability of the linear effects in
                                  state space models with an unknown
                                  initial condition  . . . . . . . . . . . 167--168
           Alessandra Luati and   
               Tommaso Proietti   Hyper-spherical and elliptical
                                  stochastic cycles  . . . . . . . . . . . 169--181
             Gustavo Didier and   
                 Vladas Pipiras   Adaptive wavelet decompositions of
                                  stationary time series . . . . . . . . . 182--209
      Konstantinos Fokianos and   
                   Roland Fried   Interventions in INGARCH processes . . . 210--225
                   T. Subba Rao   Nonlinear time series: Semiparametric
                                  and Nonparametric methods  . . . . . . . 226--226
                      Anonymous   Corrigendum  . . . . . . . . . . . . . . 227--227

Journal of Time Series Analysis
Volume 31, Number 4, July, 2010

                Yuzo Hosoya and   
                  Taro Takimoto   A numerical method for factorizing the
                                  rational spectral density matrix . . . . 229--240
                    Jing Li and   
                     Junsoo Lee   ADL tests for threshold cointegration    241--254
                J. Isaac Miller   Cointegrating regressions with messy
                                  regressors and an application to
                                  mixed-frequency series . . . . . . . . . 255--277
              Jonathan Dark and   
                Xibin Zhang and   
                         Nan Qu   Influence diagnostics for multivariate
                                  GARCH processes  . . . . . . . . . . . . 278--291
            David I. Harvey and   
       Stephen J. Leybourne and   
            A. M. Robert Taylor   The impact of the initial condition on
                                  robust tests for a linear trend  . . . . 292--302
                     G. Janacek   Time series analysis forecasting and
                                  control  . . . . . . . . . . . . . . . . 303--303

Journal of Time Series Analysis
Volume 31, Number 5, September, 2010

          Mohitosh Kejriwal and   
                  Pierre Perron   A sequential procedure to determine the
                                  number of breaks in trend with an
                                  integrated or stationary noise component 305--328
                  Qiang Xia and   
                 Jiazhu Pan and   
             Zhiqiang Zhang and   
                    Jinshan Liu   A Bayesian nonlinearity test for
                                  threshold moving average models  . . . . 329--336
               Tae Yoon Kim and   
                   Zhi-Ming Luo   Central limit theorems for nonparametric
                                  estimators with real-time random
                                  variables  . . . . . . . . . . . . . . . 337--347
              Nazim Regnard and   
         Jean-Michel Zako\"\ian   Structure and estimation of a class of
                                  nonstationary yet nonexplosive GARCH
                                  models . . . . . . . . . . . . . . . . . 348--364
                 Jaehee Kim and   
                 Sooyoung Cheon   A Bayesian regime-switching time-series
                                  model  . . . . . . . . . . . . . . . . . 365--378
            David I. Harvey and   
       Stephen J. Leybourne and   
                      Lisa Xiao   Testing for nonlinear deterministic
                                  components when the order of integration
                                  is unknown . . . . . . . . . . . . . . . 379--391
             Manuel Landajo and   
María José Presno   Stationarity testing under nonlinear
                                  models. Some asymptotic results  . . . . 392--405
            Georgi N. Boshnakov   Book Review: \booktitleIntroductory Time
                                  Series with R  . . . . . . . . . . . . . 406--406

Journal of Time Series Analysis
Volume 31, Number 6, November, 2010

            Marc K. Francke and   
           Siem Jan Koopman and   
                 Aart F. De Vos   Likelihood functions for state space
                                  models with diffuse initial conditions   407--414
              Eiji Kurozumi and   
                  Shinya Tanaka   Reducing the size distortion of the KPSS
                                  test . . . . . . . . . . . . . . . . . . 415--426
           Werner Ploberger and   
            Erhard Reschenhofer   Testing for cycles in multiple time
                                  series . . . . . . . . . . . . . . . . . 427--434
              Fabio Busetti and   
                  Andrew Harvey   Tests of strict stationarity based on
                                  quantile indicators  . . . . . . . . . . 435--450
              Geoffrey Coke and   
                       Min Tsao   Random effects mixture models for
                                  clustering electrical load series  . . . 451--464
                    Qi Tang and   
                      Danni Yan   Autoregressive trending risk function
                                  and exhaustion in random asset price
                                  movement . . . . . . . . . . . . . . . . 465--470
         Timothy L. McMurry and   
            Dimitris N. Politis   Banded and tapered estimates for
                                  autocovariance matrices and the linear
                                  process bootstrap  . . . . . . . . . . . 471--482
        Federica Giummol\`e and   
                   Paolo Vidoni   Improved prediction limits for a general
                                  class of Gaussian models . . . . . . . . 483--493
          Konstantinos Fokianos   Antedependence Models for Longitudinal
                                  Data . . . . . . . . . . . . . . . . . . 494--494


Journal of Time Series Analysis
Volume 32, Number 1, January, 2011

              Yongmiao Hong and   
                   Yoon-Jin Lee   Detecting misspecifications in
                                  autoregressive conditional duration
                                  models and non-negative time-series
                                  processes  . . . . . . . . . . . . . . . 1--32
            Patrik Wahlberg and   
              Peter J. Schreier   Locally stationary harmonizable complex
                                  improper stochastic processes  . . . . . 33--46
                   Steve Mauget   Time series analysis based on running
                                  Mann-Whitney Z Statistics  . . . . . . . 47--53
                     Fukang Zhu   A negative binomial integer-valued GARCH
                                  model  . . . . . . . . . . . . . . . . . 54--67
             Yogesh Dwivedi and   
             Suhasini Subba Rao   A test for second-order stationarity of
                                  a time series based on the discrete
                                  Fourier transform  . . . . . . . . . . . 68--91
             György Terdik   Optimal statistical inference in
                                  financial engineering  . . . . . . . . . 92--92

Journal of Time Series Analysis
Volume 32, Number 2, March, 2011

          K. Triantafyllopoulos   Real-time covariance estimation for the
                                  local level model  . . . . . . . . . . . 93--107
              Luis C. Nunes and   
          Paulo M. M. Rodrigues   On LM-type tests for seasonal unit roots
                                  in the presence of a break in trend  . . 108--134
Céline Lévy-Leduc and   
   Hél\`ene Boistard and   
              Eric Moulines and   
             Murad S. Taqqu and   
             Valderio A. Reisen   Robust estimation of the scale and of
                                  the autocovariance function of Gaussian
                                  short- and long-range dependent
                                  processes  . . . . . . . . . . . . . . . 135--156
     Yonas Gebeyehu Tesfaye and   
           Paul L. Anderson and   
            Mark M. Meerschaert   Asymptotic results for Fourier-PARMA
                                  time series  . . . . . . . . . . . . . . 157--174
            Masaki Narukawa and   
               Yasumasa Matsuda   Broadband semi-parametric estimation of
                                  long-memory time series by fractional
                                  exponential models . . . . . . . . . . . 175--193
                   T. Subba Rao   Classification, parameter estimation and
                                  state estimation --- an engineering
                                  approach using MATLAB  . . . . . . . . . 194--194

Journal of Time Series Analysis
Volume 32, Number 3, May, 2011

             Haixiang Zhang and   
                 Dehui Wang and   
                     Fukang Zhu   Empirical likelihood inference for
                                  random coefficient $ {\rm INAR}(p) $
                                  process  . . . . . . . . . . . . . . . . 195--203
         Nikos S. Thomaidis and   
              George D. Dounias   On detecting the optimal structure of a
                                  neural network under strong statistical
                                  features in errors . . . . . . . . . . . 204--222
                 M. Kachour and   
                     L. Truquet   A $p$-Order signed integer-valued
                                  autoregressive $ ({\rm SINAR}(p))$ model 223--236
        Francesco Battaglia and   
         Mattheos K. Protopapas   Time-varying multi-regime models fitting
                                  by genetic algorithms  . . . . . . . . . 237--252
     Antonio F. Galvao, Jr. and   
       Gabriel Montes-Rojas and   
                      Jose Olmo   Threshold quantile autoregressive models 253--267
             Robert C. Jung and   
                 A. R. Tremayne   Convolution-closed models for count time
                                  series with applications . . . . . . . . 268--280
            Helmut Herwartz and   
          Helmut Lütkepohl   Generalized least squares estimation for
                                  cointegration parameters under
                                  conditional heteroskedasticity . . . . . 281--291
                Eunju Hwang and   
                  Dong Wan Shin   Stationary bootstrapping for
                                  non-parametric estimator of nonlinear
                                  autoregressive model . . . . . . . . . . 292--303
                Keiko Yamaguchi   Estimating a change point in the long
                                  memory parameter . . . . . . . . . . . . 304--314
                 Giacomo Sbrana   Structural time series models and
                                  aggregation: some analytical results . . 315--316
               Frank S. Nielsen   Local Whittle estimation of
                                  multi-variate fractionally integrated
                                  processes  . . . . . . . . . . . . . . . 317--335
   Maria Antonia Amaral Turkman   Book Review: \booktitleIntroduction to
                                  Time Series Modeling . . . . . . . . . . 336--336

Journal of Time Series Analysis
Volume 32, Number 4, July, 2011

               Noel Cressie and   
                 Scott H. Holan   Editorial: Special issue on time series
                                  in the environmental sciences  . . . . . 337--338
       Christopher K. Wikle and   
                 Scott H. Holan   Polynomial nonlinear spatio-temporal
                                  integro-difference equation models . . . 339--350
   Pepa Ramírez-Cobo and   
             Kichun Sky Lee and   
            Annalisa Molini and   
         Amilcare Porporato and   
              Gabriel Katul and   
                Brani Vidakovic   A wavelet-based spectral method for
                                  extracting self-similarity measures in
                                  time-varying two-dimensional rainfall
                                  maps . . . . . . . . . . . . . . . . . . 351--363
              Wenying Huang and   
                    Ke Wang and   
              F. Jay Breidt and   
               Richard A. Davis   A class of stochastic volatility models
                                  for environmental applications . . . . . 364--377
         Peter F. Craigmile and   
                  Peter Guttorp   Space-time modelling of trends in
                                  temperature series . . . . . . . . . . . 378--395
              Jean Vaillant and   
            Gavino Puggioni and   
            Lance A. Waller and   
                  Jean Daugrois   A spatio-temporal analysis of the spread
                                  of sugarcane yellow leaf virus . . . . . 396--406
                Zhiyun Gong and   
             Peter Kiessler and   
                    Robert Lund   A prediction-residual approach for
                                  identifying rare events in periodic time
                                  series . . . . . . . . . . . . . . . . . 407--419
              Kevin Nichols and   
   Frederic Paik Schoenberg and   
              Jon E. Keeley and   
                Andrew Bray and   
                     David Diez   The application of prototype point
                                  processes for the summary and
                                  description of California wildfires  . . 420--429
          Matthias Katzfuss and   
                   Noel Cressie   Spatio-temporal smoothing and EM
                                  estimation for massive remote-sensing
                                  data sets  . . . . . . . . . . . . . . . 430--446

Journal of Time Series Analysis
Volume 32, Number 5, September, 2011

               Holger Dette and   
          Tatjana Kinsvater and   
                 Mathias Vetter   Testing non-parametric hypotheses for
                                  stationary processes by estimating
                                  minimal distances  . . . . . . . . . . . 447--461
 Alfredo García-Hiernaux   Forecasting linear dynamical systems
                                  using subspace methods . . . . . . . . . 462--468
               Byungsoo Kim and   
                   Sangyeol Lee   Robust estimation for the covariance
                                  matrix of multi-variate time series  . . 469--481
  George A. Christodoulakis and   
            Stephen E. Satchell   Stability conditions for heteroscedastic
                                  factor models with conditionally
                                  autoregressive betas . . . . . . . . . . 482--497
            Michael Robbins and   
            Colin Gallagher and   
                Robert Lund and   
                  Alexander Aue   Mean shift testing in correlated data    498--511
             Joanne S. Ercolani   On the asymptotic properties of a
                                  feasible estimator of the continuous
                                  time long memory parameter . . . . . . . 512--517
                 Weiming Li and   
                      Z. D. Bai   Analysis of accumulated rounding errors
                                  in autoregressive processes  . . . . . . 518--530
               Weitian Chen and   
       Brian D. O. Anderson and   
           Manfred Deistler and   
               Alexander Filler   Solutions of Yule--Walker equations for
                                  singular AR processes  . . . . . . . . . 531--538
                 Cheng Wang and   
                 Baisuo Jin and   
                     Baiqi Miao   On limiting spectral distribution of
                                  large sample covariance matrices by $
                                  {\rm VARMA}(p, q) $  . . . . . . . . . . 539--546
       István Berkes and   
       Lajos Horváth and   
               Shiqing Ling and   
               Johannes Schauer   Testing for structural change of AR
                                  model to threshold AR model  . . . . . . 547--565
                      Yuzhi Cai   Multi-variate time-series simulation . . 566--579
                Lukasz Debowski   On processes with hyperbolically
                                  decaying autocorrelations  . . . . . . . 580--584
          Konstantinos Fokianos   Modeling Ordered Choices, A Primer . . . 585--585

Journal of Time Series Analysis
Volume 32, Number 6, November, 2011

                    Q. Shao and   
                     L. J. Yang   Autoregressive coefficient estimation in
                                  nonparametric analysis . . . . . . . . . 587--597
                  Xiaofeng Shao   A simple test of changes in mean in the
                                  possible presence of long-range
                                  dependence . . . . . . . . . . . . . . . 598--606
                  Swarup De and   
         Álvaro E. Faria   Dynamic spatial Bayesian models for
                                  radioactivity deposition . . . . . . . . 607--617
         Evangelos E. Ioannidis   Akaike's information criterion
                                  correction for the least-squares
                                  autoregressive spectral estimator  . . . 618--630
                 Zhiping Lu and   
               Dominique Guegan   Testing unit roots and long range
                                  dependence of foreign exchange . . . . . 631--638
                  Chao Wang and   
                   Wai Keung Li   On the autopersistence functions and the
                                  autopersistence graphs of binary
                                  autoregressive time series . . . . . . . 639--646
             Rehim Kiliç   Testing for co-integration and nonlinear
                                  adjustment in a smooth transition error
                                  correction model . . . . . . . . . . . . 647--660
             Esther Salazar and   
           Marco A. R. Ferreira   Temporal Aggregation of Lognormal AR
                                  processes  . . . . . . . . . . . . . . . 661--671
               Takamitsu Kurita   Local power of likelihood-based tests
                                  for cointegrating rank: Comparative
                                  analysis of full and partial systems . . 672--679
                Francesco Bravo   Improved generalized method of moments
                                  estimators for weakly dependent
                                  observations . . . . . . . . . . . . . . 680--698
           Christian Francq and   
                   Roch Roy and   
               Abdessamad Saidi   Asymptotic Properties of Weighted Least
                                  Squares Estimation in Weak PARMA Models  699--723


Journal of Time Series Analysis
Volume 33, Number 1, January, 2012

                         Ba Chu   Limit theorems for the discount sums of
                                  moving averages  . . . . . . . . . . . . 1--12
   Konstantinos Paraschakis and   
                Rainer Dahlhaus   Frequency and phase estimation in time
                                  series with quasi periodic components    13--31
               Marta Moreno and   
                      Juan Romo   Unit root bootstrap tests under infinite
                                  variance . . . . . . . . . . . . . . . . 32--47
          K. Triantafyllopoulos   Multi-variate stochastic volatility
                                  modelling using Wishart autoregressive
                                  processes  . . . . . . . . . . . . . . . 48--60
          Tsuyoshi Kunihama and   
             Yasuhiro Omori and   
                 Zhengjun Zhang   Efficient estimation and particle filter
                                  for max-stable processes . . . . . . . . 61--80
               Lingyu Zheng and   
              William W. S. Wei   Weighted scatter estimation method of
                                  the GO-GARCH models  . . . . . . . . . . 81--95
             Agnieszka Jach and   
             Tucker McElroy and   
            Dimitris N. Politis   Subsampling inference for the mean of
                                  heavy-tailed long-memory time series . . 96--111
        Georgi N. Boshnakov and   
               Bisher M. Iqelan   Maximum entropy models for general lag
                                  patterns . . . . . . . . . . . . . . . . 112--120
      Y. Boubacar Ma\"\inassara   Selection of weak VARMA models by
                                  modified Akaike's information criteria   121--130
            Changryong Baek and   
                 Vladas Pipiras   Statistical tests for a single change in
                                  mean against long-range dependence . . . 131--151
         Peter J. Brockwell and   
        Vincenzo Ferrazzano and   
       Claudia Klüppelberg   High-frequency sampling of a
                                  continuous-time ARMA process . . . . . . 152--160
             Rong-Mao Zhang and   
                  Zheng-Yan Lin   Limit theory for a general class of
                                  GARCH models with just barely infinite
                                  variance . . . . . . . . . . . . . . . . 161--174
              Piotr S. Kokoszka   Non-Parametric Econometrics  . . . . . . 175--175
                 Tata Subba Rao   Statistical methods for trend detection
                                  and analysis in the environmental
                                  sciences . . . . . . . . . . . . . . . . 176--176

Journal of Time Series Analysis
Volume 33, Number 2, March, 2012

                Carsten Jentsch   A new frequency domain approach of
                                  testing for covariance stationarity and
                                  for periodic stationarity in
                                  multivariate linear processes  . . . . . 177--192
                 Thomas Mazzoni   Fast continuous-discrete DAF-filters . . 193--210
                 Esam Mahdi and   
                  A. Ian McLeod   Improved multivariate portmanteau test   211--222
                     Ke Zhu and   
                   Shiqing Ling   Likelihood ratio tests for the
                                  structural change of an $ {\rm AR}(p) $
                                  model to a Threshold $ {\rm AR}(p) $
                                  model  . . . . . . . . . . . . . . . . . 223--232
               Luca Bagnato and   
              Antonio Punzo and   
                Orietta Nicolis   The autodependogram: a graphical device
                                  to investigate serial dependences  . . . 233--254
               Qiuzi H. Wen and   
             Augustine Wong and   
                Xiaolan L. Wang   Overlapped grouping periodogram test for
                                  detecting multiple hidden periodicities
                                  in mixed spectra . . . . . . . . . . . . 255--268
                   Chun Yip Yau   Empirical likelihood in long-memory time
                                  series models  . . . . . . . . . . . . . 269--275
                 Shu-Hui Yu and   
             Chien-Chih Lin and   
                 Hung-Wen Cheng   A note on mean squared prediction error
                                  under the unit root model with
                                  deterministic trend  . . . . . . . . . . 276--286
         Masanobu Taniguchi and   
               Junichi Hirukawa   Generalized information criterion  . . . 287--297
                     Ta-Hsin Li   On robust spectral analysis by least
                                  absolute deviations  . . . . . . . . . . 298--303
             Ross S. Bowden and   
              Brenton R. Clarke   A single series representation of
                                  multiple independent ARMA processes  . . 304--311
               Jaechoul Lee and   
                    Robert Lund   A refined efficiency rate for ordinary
                                  least squares and generalized least
                                  squares estimators for a linear trend
                                  with autoregressive errors . . . . . . . 312--324
              Willa W. Chen and   
                   Rohit S. Deo   The restricted likelihood ratio test for
                                  autoregressive processes . . . . . . . . 325--339
            Rebecca J. Sela and   
            Clifford M. Hurvich   The averaged periodogram estimator for a
                                  power law in coherency . . . . . . . . . 340--363

Journal of Time Series Analysis
Volume 33, Number 3, May, 2012

              Claudia Kirch and   
      Joseph Tadjuidje Kamgaing   Testing for parameter stability in
                                  nonlinear autoregressive models  . . . . 365--385
     Efstathios Paparoditis and   
            Dimitris N. Politis   Nonlinear spectral density estimation:
                                  thresholding the correlogram . . . . . . 386--397
                 Eugen Ursu and   
          Kamil Feridun Turkman   Periodic autoregressive model
                                  identification using genetic algorithms  398--405
                  Jan Beran and   
              Bikramjit Das and   
                  Dieter Schell   On robust tail index estimation for
                                  linear long-memory processes . . . . . . 406--423
Tomás del Barrio Castro and   
               Denise R. Osborn   Non-parametric testing for seasonally
                                  and periodically integrated processes    424--437
                      Zhou Zhou   Measuring nonlinear dependence in
                                  time-series, a distance correlation
                                  approach . . . . . . . . . . . . . . . . 438--457
          J. C. Loredo-Osti and   
         Brajendra C. Sutradhar   Estimation of regression and dynamic
                                  dependence parameters for non-stationary
                                  multinomial time series  . . . . . . . . 458--467
               Rafa\l Kulik and   
            Cornelia Wichelhaus   Conditional variance estimation in
                                  regression models with long memory . . . 468--483
                Offer Lieberman   A similarity-based approach to
                                  time-varying coefficient non-stationary
                                  autoregression . . . . . . . . . . . . . 484--502
          William Charky Kengne   Testing for parameter constancy in
                                  general causal time-series models  . . . 503--518
                  Javier Hualde   Weak convergence to a modified
                                  fractional Brownian motion . . . . . . . 519--529
               Alastair R. Hall   Book Review: \booktitleThe Oxford
                                  Handbook of Economic Forecasts . . . . . 530--531

Journal of Time Series Analysis
Volume 33, Number 4, July, 2012

                     Ryota Yabe   Limiting distribution of the score
                                  statistic under moderate deviation from
                                  a unit root in MA(1) . . . . . . . . . . 533--541
             Rong-Mao Zhang and   
                 Ngai Hang Chan   Maximum likelihood estimation for nearly
                                  non-stationary stable autoregressive
                                  processes  . . . . . . . . . . . . . . . 542--553
                 Okyoung Na and   
                 Jiyeon Lee and   
                   Sangyeol Lee   Change point detection in copula
                                  ARMA--GARCH Models . . . . . . . . . . . 554--569
        Bernd Vollenbröker   Strictly stationary solutions of ARMA
                                  equations with fractional noise  . . . . 570--582
               Rodney A. Martin   Extreme value analysis of optimal
                                  level-crossing prediction for linear
                                  Gaussian processes . . . . . . . . . . . 583--607
                Marcio Valk and   
        Aluísio Pinheiro   Time-series clustering via quasi
                                  $U$-statistics . . . . . . . . . . . . . 608--619
            Macro Di Marzio and   
             Agnese Panzera and   
              Charles C. Taylor   Non-parametric smoothing and prediction
                                  for nonlinear circular time series . . . 620--630
       Lajos Horváth and   
           Marie Husková   Change-point detection in panel data . . 631--648
               Chun Yip Yau and   
               Richard A. Davis   Likelihood inference for discriminating
                                  between long-memory and change-point
                                  models . . . . . . . . . . . . . . . . . 649--664
            Prosper Dovonon and   
           Alastair R. Hall and   
                   Kalidas Jana   Inference about long run canonical
                                  correlations . . . . . . . . . . . . . . 665--683
                  Yuzhi Cai and   
             Julian Stander and   
                 Neville Davies   A new Bayesian approach to quantile
                                  autoregressive time series model
                                  estimation and forecasting . . . . . . . 684--698
                   T. Subba Rao   Statistics for Spatio-Temporal Data  . . 699--700

Journal of Time Series Analysis
Volume 33, Number 5, September, 2012

           David S. Stoffer and   
                 Hernando Ombao   Editorial: Special issue on time series
                                  analysis in the biological sciences  . . 701--703
              F. Jay Breidt and   
         Andreea Erciulescu and   
             Mark van der Woerd   Autocovariance structures for radial
                                  averages in small-angle X-ray scattering
                                  experiments  . . . . . . . . . . . . . . 704--717
            David R. Brillinger   The Nicholson blowfly experiments: some
                                  history and EDA  . . . . . . . . . . . . 718--723
             Gustavo Didier and   
          Scott A. McKinley and   
              David B. Hill and   
                    John Fricks   Statistical challenges in microrheology  724--743
      Konstantinos Fokianos and   
           Vasilis J. Promponas   Biological applications of time series
                                  frequency domain clustering  . . . . . . 744--756
         Jürgen Franke and   
              Claudia Kirch and   
      Joseph Tadjuidje Kamgaing   Changepoints in times series of counts   757--770
       Cristina Gorrostieta and   
             Hernando Ombao and   
               Raquel Prado and   
                Shaun Patel and   
                  Emad Eskandar   Exploring dependence between brain
                                  signals in a monkey during learning  . . 771--778
           Daniel M. Keenan and   
                   Xin Wang and   
           Steven M. Pincus and   
           Johannes D. Veldhuis   Modelling the nonlinear time dynamics of
                                  multidimensional hormonal systems  . . . 779--796
           Robert T. Krafty and   
            Shuangyan Xiong and   
           David S. Stoffer and   
           Daniel J. Buysse and   
                   Martica Hall   Enveloping spectral surfaces: covariate
                                  dependent spectral analysis of
                                  categorical time series  . . . . . . . . 797--806
      Christopher F. H. Nam and   
           John A. D. Aston and   
               Adam M. Johansen   Quantifying the uncertainty in change
                                  points . . . . . . . . . . . . . . . . . 807--823
                Victor Solo and   
                    Ahmed Pasha   A test for independence between a point
                                  process and an analogue signal . . . . . 824--840
                Jiabin Wang and   
                  Hua Liang and   
                      Rong Chen   A state space model approach for HIV
                                  infection dynamics . . . . . . . . . . . 841--849
                    Lai Wei and   
         Peter F. Craigmile and   
                  Wayne M. King   Spectral-based non-central F mixed
                                  effect models, with application to
                                  otoacoustic emissions  . . . . . . . . . 850--862

Journal of Time Series Analysis
Volume 33, Number 6, November, 2012

                 Naoya Katayama   Chi-squared portmanteau tests for
                                  structural VARMA models with
                                  uncorrelated errors  . . . . . . . . . . 863--872
                        Dong Li   A note on moving-average models with
                                  feedback . . . . . . . . . . . . . . . . 873--879
              Pascal Bondon and   
              Natalia Bahamonde   Least squares estimation of ARCH models
                                  with missing observations  . . . . . . . 880--891
                    Ji-Chun Liu   A Family of Markov-Switching GARCH
                                  Processes  . . . . . . . . . . . . . . . 892--902
       Miroslav M. Risti\'c and   
         Aleksandar S. Nasti\'c   A mixed $ {\rm INAR}(p) $ model  . . . . 903--915
             Ngai Hang Chan and   
                  Rongmao Zhang   Non-stationary autoregressive processes
                                  with infinite variance . . . . . . . . . 916--934
             Tucker McElroy and   
                 Agnieszka Jach   Subsampling inference for the
                                  autocovariances and autocorrelations of
                                  long-memory heavy-tailed linear time
                                  series . . . . . . . . . . . . . . . . . 935--953
    Mansour Aghababaei Jazi and   
                Geoff Jones and   
                  Chin-Diew Lai   First-order integer valued AR processes
                                  with zero inflated Poisson innovations   954--963
                  K. F. Turkman   Book Review  . . . . . . . . . . . . . . 964--964


Journal of Time Series Analysis
Volume 34, Number 1, January, 2013

              Alexander Aue and   
           Lajos Horváth   Structural breaks in time series . . . . 1--16
                     Lu Han and   
                 Brendan McCabe   Testing for parameter constancy in
                                  non-Gaussian time series . . . . . . . . 17--29
               Yuanhua Feng and   
                      Jan Beran   Optimal convergence rates in
                                  non-parametric regression with
                                  fractional time series errors  . . . . . 30--39
           Matei Demetrescu and   
                 Robinson Kruse   The power of unit root tests against
                                  nonlinear local alternatives . . . . . . 40--61
          Paulo M. M. Rodrigues   Recursive adjustment, unit root tests
                                  and structural breaks  . . . . . . . . . 62--82
            Christian Bayer and   
                Christoph Hanck   Combining non-cointegration tests  . . . 83--95
                A. Bartlett and   
                W. P. McCormick   Estimation for non-negative time series
                                  with heavy-tail innovations  . . . . . . 96--115
             Piotr Kokoszka and   
               Matthew Reimherr   Determining the order of the functional
                                  autoregressive model . . . . . . . . . . 116--129
             Sugata Sen Roy and   
            Sankha Bhattacharya   Rate of convergence in the central limit
                                  theorem for parameter estimation in a
                                  causal, invertible $ {\rm ARMA}(p, q) $
                                  model  . . . . . . . . . . . . . . . . . 130--137
              Plotr S. Kokoszka   Book Review  . . . . . . . . . . . . . . 138--138

Journal of Time Series Analysis
Volume 34, Number 2, March, 2013

                  Robert Taylor   Editorial  . . . . . . . . . . . . . . . 139--140
      Md Atikur Rahman Khan and   
                  D. S. Poskitt   Moment tests for window length selection
                                  in singular spectrum analysis of short-
                                  and long-memory processes  . . . . . . . 141--155
            Peter Brockwell and   
              Alexander Lindner   Integration of CARMA processes and spot
                                  volatility modelling . . . . . . . . . . 156--167
               Jonathan B. Hill   Least tail-trimmed squares for infinite
                                  variance autoregressions . . . . . . . . 168--186
           Paul L. Anderson and   
        Mark M. Meerschaert and   
                      Kai Zhang   Forecasting with prediction intervals
                                  for periodic autoregressive moving
                                  average models . . . . . . . . . . . . . 187--193
           Byeongchan Seong and   
                Sung K. Ahn and   
              Peter A. Zadrozny   Estimation of vector error correction
                                  models with mixed-frequency data . . . . 194--205
              Xanthi Pedeli and   
                Dimitris Karlis   On composite likelihood estimation of a
                                  multivariate $ {\rm INAR}(1) $ model . . 206--220
                   Dominik Wied   CUSUM-type testing for changing
                                  parameters in a spatial autoregressive
                                  model for stock returns  . . . . . . . . 221--229
                        Ke. Zhu   A mixed portmanteau test for ARMA-GARCH
                                  models by the quasi-maximum exponential
                                  likelihood estimation approach . . . . . 230--237
             Florian Heinen and   
           Stefanie Michael and   
             Philipp Sibbertsen   Weak identification in the ESTAR model
                                  and a new model  . . . . . . . . . . . . 238--261
                   D. Dehay and   
                     H. L. Hurd   Empirical determination of the
                                  frequencies of an almost periodic time
                                  series . . . . . . . . . . . . . . . . . 262--279
                    T Subba Rao   Spatial statistics and spatio-temporal
                                  data . . . . . . . . . . . . . . . . . . 280--280
              Andrew C. Parnell   Climate time series analysis: classical
                                  statistical and bootstrap methods  . . . 281--281
               Alastair R. Hall   Economic time series: modeling and
                                  seasonality  . . . . . . . . . . . . . . 282--283

Journal of Time Series Analysis
Volume 34, Number 3, May, 2013

                 Adam McCloskey   Estimation of the long-memory stochastic
                                  volatility model parameters that is
                                  robust to level shifts and deterministic
                                  trends . . . . . . . . . . . . . . . . . 285--301
               Byungsoo Kim and   
                   Sangyeol Lee   Robust estimation for copula parameter
                                  in SCOMDY models . . . . . . . . . . . . 302--314
                Jiajing Sun and   
              Brendan P. McCabe   Score statistics for testing serial
                                  dependence in count data . . . . . . . . 315--329
         Maria Caterina Bramati   A class of optimal tests for
                                  contemporaneous non-causality in VAR
                                  models . . . . . . . . . . . . . . . . . 330--344
José E. Figueroa-López and   
                 Michael Levine   Nonparametric regression with rescaled
                                  time series errors . . . . . . . . . . . 345--361
           Natalie Neumeyer and   
                    Leonie Selk   A note on non-parametric testing for
                                  Gaussian innovations in AR--ARCH models  362--367
              Sebastian Fossati   Unit root testing with stationary
                                  covariates and a structural break in the
                                  trend function . . . . . . . . . . . . . 368--384
         Peter J. Brockwell and   
        Vincenzo Ferrazzano and   
       Claudia Klüppelberg   High-frequency sampling and kernel
                                  estimation for continuous-time moving
                                  average processes  . . . . . . . . . . . 385--404
   Guglielmo Maria Caporale and   
       Juncal Cuñado and   
              Luis A. Gil-Alana   Modelling long-run trends and cycles in
                                  financial time series data . . . . . . . 405--421
                  Tusheng Zhang   Book Review: \booktitleStatistical
                                  Methods for Stochastic Differential
                                  Equations. Edited By, Mathieu Kessler,
                                  Alexander Lindner and Michael Sòrensen.
                                  Publishers CRC Press, Taylor and Francis
                                  Group. London, ISBN 978-1-4398-4940-8.
                                  483 Pages  . . . . . . . . . . . . . . . 422--422

Journal of Time Series Analysis
Volume 34, Number 4, July, 2013

          Venkata Jandhyala and   
        Stergios Fotopoulos and   
               Ian MacNeill and   
                     Pengyu Liu   Inference for single and multiple
                                  change-points in time series . . . . . . 423--446
             Jhih-Gang Chen and   
                 Biing-Shen Kuo   Gaussian inference in general AR(1)
                                  models based on difference . . . . . . . 447--453
                 Sam Astill and   
            David I. Harvey and   
            A. M. Robert Taylor   A bootstrap test for additive outliers
                                  in non-stationary time series  . . . . . 454--465
       Miroslav M. Risti\'c and   
     Aleksandar S. Nasti\'c and   
        Ana V. Mileti\'c Ili\'c   A geometric time series model with
                                  dependent Bernoulli counting series  . . 466--476
              Joakim Westerlund   A computationally convenient unit root
                                  test with covariates, conditional
                                  heteroskedasticity and efficient
                                  detrending . . . . . . . . . . . . . . . 477--495
            Pierre Duchesne and   
      Pierre Lafaye de Micheaux   Distributions for residual
                                  autocovariances in parsimonious periodic
                                  vector autoregressive models with
                                  applications . . . . . . . . . . . . . . 496--507
                      Zhou Zhou   Inference for non-stationary time-series
                                  autoregression . . . . . . . . . . . . . 508--516

Journal of Time Series Analysis
Volume 34, Number 5, September, 2013

          Daniel F. Schmidt and   
                   Enes Makalic   Estimation of stationary autoregressive
                                  models with the Bayesian LASSO . . . . . 517--531
                Vicky Fasen and   
                  Florian Fuchs   Spectral estimates for high-frequency
                                  sampled continuous-time autoregressive
                                  moving average processes . . . . . . . . 532--551
        Michael A. Thornton and   
             Marcus J. Chambers   Continuous-time autoregressive moving
                                  average processes in discrete time:
                                  representation and embeddability . . . . 552--561
                    Uwe Hassler   Effect of temporal aggregation on
                                  multiple time series in the frequency
                                  domain . . . . . . . . . . . . . . . . . 562--573
            Joseph Guinness and   
               Michael L. Stein   Transformation to approximate
                                  independence for locally stationary
                                  Gaussian processes . . . . . . . . . . . 574--590
                 Mirza Troki\'c   Regulated fractionally integrated
                                  processes  . . . . . . . . . . . . . . . 591--601
               Nikolai Leonenko   Book Review: Domenico Marinucci and
                                  Giovanni Peccati, \booktitleRandom
                                  Fields on the Sphere: Representation,
                                  Limit Theorems and Cosmological
                                  Applications, London Mathematical
                                  Society Lecture Notes Series 389.
                                  Published by the Cambridge University
                                  Press, Cambridge, 2011. Number of Pages:
                                  341. Price \pounds 40.00, ISBN
                                  978-0-521-17561-6  . . . . . . . . . . . 602--603

Journal of Time Series Analysis
Volume 34, Number 6, November, 2013

                  Robert Taylor   Editorial Announcement . . . . . . . . . 605--605
                    Muyi Li and   
               Wai Keung Li and   
                     Guodong Li   On mixture memory GARCH models . . . . . 606--624
              Dani Gamerman and   
  Thiago Rezende dos Santos and   
               Glaura C. Franco   A non-Gaussian family of state-space
                                  models with exact marginal likelihood    625--645
              Thorsten Fink and   
              Jens-Peter Kreiss   Bootstrap for random coefficient
                                  autoregressive models  . . . . . . . . . 646--667
             Habib Esmaeili and   
       Claudia Klüppelberg   Two-step estimation of a multi-variate
                                  Lévy process  . . . . . . . . . . . . . . 668--690
             Yoshihide Kakizawa   Frequency domain generalized empirical
                                  likelihood method  . . . . . . . . . . . 691--716
                Shuyang Bai and   
                 Murad S. Taqqu   Multivariate limit theorems in the
                                  context of long-range dependence . . . . 717--743
                     Peter Neal   Book Review: \booktitleBayesian Theory
                                  and Applications, by Paul Damien, Petros
                                  Dellaportas, Nicholas G. Polson and
                                  David A. Stephens (eds). Published by
                                  Oxford University Press, 2013. Total
                                  Number of Pages: xiii + 702. ISBN
                                  978-0-19-969560-7  . . . . . . . . . . . 744--744
                 Hernando Ombao   Book Review: \booktitleTime series
                                  modeling of neuroscience data, by Tohru
                                  Ozaki, published by CRC Press, 2012.
                                  Total number of pages: 548. Price: US
                                  \$71.46. ISBN 978-1-4200-9460-2} . . . . 745--746


Journal of Time Series Analysis
Volume 35, Number 1, January, 2014

               T. Subba Rao and   
   Granville Tunnicliffe-Wilson   Obituary: Maurice Bertram Priestley, MA,
                                  PhD, 1933--2013  . . . . . . . . . . . . 1--3
               Zhibiao Zhao and   
                Yiyun Zhang and   
                       Runze Li   Non-parametric estimation under strong
                                  dependence . . . . . . . . . . . . . . . 4--15
              Anne Philippe and   
        Donata Puplinskaite and   
              Donatas Surgailis   Contemporaneous aggregation of
                                  triangular array of random-coefficient $
                                  {\rm AR}(1) $ processes  . . . . . . . . 16--39
            Fabrizio Iacone and   
       Stephen J. Leybourne and   
            A. M. Robert Taylor   A fixed-$b$ test for a break in level at
                                  an unknown time under fractional
                                  integration  . . . . . . . . . . . . . . 40--54
          Vasiliki Christou and   
          Konstantinos Fokianos   Quasi-likelihood inference for negative
                                  binomial time series models  . . . . . . 55--78

Journal of Time Series Analysis
Volume 35, Number 2, March, 2014

                      Hang Qian   A flexible state space model and its
                                  applications . . . . . . . . . . . . . . 79--88
              Anna E. Dudek and   
             Jacek Le\'skow and   
     Efstathios Paparoditis and   
            Dimitris N. Politis   A generalized block bootstrap for
                                  seasonal time series . . . . . . . . . . 89--114
    Christian H. Weiß and   
              Philip K. Pollett   Binomial autoregressive processes with
                                  density-dependent thinning . . . . . . . 115--132
              Tianxiao Pang and   
                Danna Zhang and   
        Terence Tai-Leung Chong   asymptotic inferences for an $ {\rm
                                  AR}(1) $ model with a change point:
                                  stationary and nearly non-stationary
                                  cases  . . . . . . . . . . . . . . . . . 133--150
             Violetta Dalla and   
            Liudas Giraitis and   
                   Hira L. Koul   Studentizing weighted sums of linear
                                  processes  . . . . . . . . . . . . . . . 151--172
          Maddalena Cavicchioli   Determining the number of regimes in
                                  Markov switching VAR and VMA models  . . 173--186
               Alastair R. Hall   Book Review: \booktitleDynamic Models
                                  for Volatility and Heavy Tails: with
                                  Applications to Financial and Economic
                                  Time Series, by A. C. Harvey. Published
                                  by Cambridge University Press, 2013 New
                                  York, Usa. Total Number of Pages: 261.
                                  Price: \$36.99. ISBN: 978-1-107-63002-4} 187--188

Journal of Time Series Analysis
Volume 35, Number 3, May, 2014

                   Min Chen and   
                    Dong Li and   
                   Shiqing Ling   Non-stationarity and quasi-maximum
                                  likelihood estimation on a double
                                  autoregressive model . . . . . . . . . . 189--202
               David Harris and   
                      Hsein Kew   Portmanteau autocorrelation tests under
                                  $q$-dependence and heteroskedasticity    203--217
             Francisco Blasques   Transformed polynomials for nonlinear
                                  autoregressive models of the conditional
                                  mean . . . . . . . . . . . . . . . . . . 218--238
         Christopher Dienes and   
                  Alexander Aue   On-line monitoring of pollution
                                  concentrations with autoregressive
                                  moving average time series . . . . . . . 239--261
       Monika Bhattacharjee and   
                      Arup Bose   Estimation of autocovariance matrices
                                  for infinite dimensional vector linear
                                  process  . . . . . . . . . . . . . . . . 262--281
              Jonathan Hill and   
                     Liang Peng   Unified interval estimation for random
                                  coefficient autoregressive models  . . . 282--297

Journal of Time Series Analysis
Volume 35, Number 4, July, 2014

                 Guodong Li and   
               Chenlei Leng and   
                 Chih-Ling Tsai   A hybrid bootstrap approach to unit root
                                  tests  . . . . . . . . . . . . . . . . . 299--321
                     Ta-Hsin Li   Quantile periodogram and time-dependent
                                  variance . . . . . . . . . . . . . . . . 322--340
                   Kei Nanamiya   Modelling for the wavelet coefficients
                                  of ARFIMA processes  . . . . . . . . . . 341--356
             Tata Subba Rao and   
                 Sourav Das and   
            Georgi N. Boshnakov   A frequency domain approach for the
                                  estimation of parameters of
                                  spatio-temporal stationary random
                                  processes  . . . . . . . . . . . . . . . 357--377
                    L. Tang and   
                        Q. Shao   Efficient estimation for periodic
                                  autoregressive coefficients via
                                  residuals  . . . . . . . . . . . . . . . 378--389
                      Gy Terdik   Book Review: \booktitleLong-memory
                                  Processes: Probabilistic Properties and
                                  Statistical Methods, by Jan Beran,
                                  Yuanhua Feng, Sucharita Ghosh, and Rafal
                                  Kulik. Published by Springer London,
                                  2013. Total Number of Pages: 884. ISBN:
                                  978-3-642-35511-0 (print),
                                  978-3-642-35512-7 (online) . . . . . . . 390--392

Journal of Time Series Analysis
Volume 35, Number 5, September, 2014

           Matei Demetrescu and   
            Christoph Hanck and   
              Adina I. Tarcolea   IV-based cointegration testing in
                                  dependent panels with time-varying
                                  variance . . . . . . . . . . . . . . . . 393--406
                 Sam Efromovich   Efficient non-parametric estimation of
                                  the spectral density in the presence of
                                  missing observations . . . . . . . . . . 407--427
       Andreas Noack Jensen and   
Morten Òrregaard Nielsen   A fast fractional difference algorithm   428--436
                      Yiguo Sun   Semi-parametric estimation of linear
                                  cointegrating models with nonlinear
                                  contemporaneous endogeneity  . . . . . . 437--461
                Rongning Wu and   
                     Yunwei Cui   A parameter-driven logit regression
                                  model for binary time series . . . . . . 462--477
                   Degao Li and   
                 Guodong Li and   
                    Jinhong You   Significant variable selection and
                                  autoregressive order determination for
                                  time-series partially linear models  . . 478--490

Journal of Time Series Analysis
Volume 35, Number 6, November, 2014

            Vance L. Martin and   
         Andrew R. Tremayne and   
                 Robert C. Jung   Efficient method of moments estimators
                                  for integer time series models . . . . . 491--516
              Hanan Elsaied and   
                   Roland Fried   Robust fitting of INARCH models  . . . . 517--535
              Stelios Arvanitis   A simple example of an indirect
                                  estimator with discontinuous limit
                                  theory in the MA(1) model  . . . . . . . 536--557
            Michele Caivano and   
                  Andrew Harvey   Time-series models with an EGB2
                                  conditional distribution . . . . . . . . 558--571
                    Chao Yu and   
                   Yue Fang and   
                    Zeng Li and   
                   Bo Zhang and   
                     Xujie Zhao   Non-parametric estimation of
                                  high-frequency spot volatility for
                                  Brownian semimartingale with jumps . . . 572--591
            Offer Lieberman and   
           Peter C. B. Phillips   Norming rates and limit theory for some
                                  time-varying coefficient autoregressions 592--623
          Maddalena Cavicchioli   Analysis of the likelihood function for
                                  Markov-switching VAR(CH) models  . . . . 624--639
                    T Subba Rao   Book Review: Randall Douc, Eric Moulines
                                  and David S. Stoffer (2014)
                                  \booktitleNonlinear Time Series-Theory,
                                  Methods and Applications with R
                                  Examples. CRC Press, UK (A Chapman and
                                  Hall Book). Texts in Statistical
                                  Science. ISBN: 978-1-4665-0225-3 pages
                                  531  . . . . . . . . . . . . . . . . . . 640--641


Journal of Time Series Analysis
Volume 36, Number 1, January, 2015

         Stefanos Kechagias and   
                 Vladas Pipiras   Definitions and representations of
                                  multivariate long-range dependent time
                                  series . . . . . . . . . . . . . . . . . 1--25
                    Seonjin Kim   Hypothesis testing for ARCH models: a
                                  multiple quantile regressions approach   26--38
             Carlos Velasco and   
                    Xuexin Wang   A joint portmanteau test for conditional
                                  mean and variance time-series models . . 39--60
               Shiqing Ling and   
                 Liang Peng and   
                     Fukang Zhu   Inference for a special bilinear
                                  time-series model  . . . . . . . . . . . 61--66
         Colin M. Gallagher and   
               Thomas J. Fisher   On weighted portmanteau tests for
                                  time-series goodness-of-fit  . . . . . . 67--83
       Lajos Horváth and   
                   Gregory Rice   Testing equality of means when the
                                  observations are from functional time
                                  series . . . . . . . . . . . . . . . . . 84--108
              Yinxiao Huang and   
        Stanislav Volgushev and   
                  Xiaofeng Shao   On self-normalization for censored
                                  dependent data . . . . . . . . . . . . . 109--124
                 Brendan McCabe   Book Review: \booktitleDiscrete Time
                                  Series, Processes, and Applications in
                                  Finance, by Gilles Zumbach. Springer
                                  Finance Series. Published by Springer,
                                  Heidelberg, Berlin, 2013. Total Number
                                  of Pages: 315. ISBN: 978-3-642-31741-5   125--125

Journal of Time Series Analysis
Volume 36, Number 2, March, 2015

                Taewook Lee and   
                 Moosup Kim and   
                Changryong Baek   Tests for Volatility Shifts in GARCH
                                  Against Long-Range Dependence  . . . . . 127--153
Morten Òrregaard Nielsen   Asymptotics for the
                                  Conditional-Sum-of-Squares Estimator in
                                  Multivariate Fractional Time-Series
                                  Models . . . . . . . . . . . . . . . . . 154--188
          Jonathan Decowski and   
                     Linyuan Li   Wavelet-Based tests for comparing two
                                  time series with unequal lengths . . . . 189--208
             Tucker McElroy and   
                 Thomas Trimbur   Signal extraction for non-stationary
                                  multivariate time series with
                                  illustrations for trend inflation  . . . 209--227
           Brendan K. Beare and   
                      Juwon Seo   Vine copula specifications for
                                  stationary multivariate Markov chains    228--246
          Leena Kalliovirta and   
                 Mika Meitz and   
               Pentti Saikkonen   A Gaussian Mixture Autoregressive Model
                                  for Univariate Time Series . . . . . . . 247--266
                 Barry G. Quinn   Book Review: \booktitleTime Series with
                                  Mixed Spectra, by Ta-Hsin Li. Published
                                  by CRC Press, 2014. Total number of
                                  pages: 680. ISBN: 978-1-58488-176-6
                                  (hard cover), 978-1-42001-006-0 (e-book) 267--268

Journal of Time Series Analysis
Volume 36, Number 3, May, 2015

         Giuseppe Cavaliere and   
        Dimitris N. Politis and   
                  Anders Rahbek   Recent developments in bootstrap methods
                                  for dependent data . . . . . . . . . . . 269--271
         Giuseppe Cavaliere and   
              Anders Rahbek and   
            A. M. Robert Taylor   Bootstrap Determination of the
                                  Co-Integration Rank in VAR Models with
                                  Unrestricted Deterministic Components    272--289
               Paul Doukhan and   
               Gabriel Lang and   
                Anne Leucht and   
             Michael H. Neumann   Dependent Wild Bootstrap for the
                                  Empirical Process  . . . . . . . . . . . 290--314
            Srijan Sengupta and   
              Xiaofeng Shao and   
                 Yingchuan Wang   The Dependent Random Weighting . . . . . 315--326
            Dominique Dehay and   
                  Anna E. Dudek   Block Bootstrap for Poisson-Sampled
                                  Almost Periodic Processes  . . . . . . . 327--351
               Michael Wolf and   
                   Dan Wunderli   Bootstrap Joint Prediction Regions . . . 352--376
                Marco Meyer and   
              Jens-Peter Kreiss   On the Vector Autoregressive Sieve
                                  Bootstrap  . . . . . . . . . . . . . . . 377--397
                Stephan Smeekes   Bootstrap sequential tests to determine
                                  the order of integration of individual
                                  units in a time series panel . . . . . . 398--415
            Carsten Jentsch and   
        Dimitris N. Politis and   
         Efstathios Paparoditis   Block bootstrap theory for multivariate
                                  integrated and cointegrated processes    416--441
            Karl B. Gregory and   
        Soumendra N. Lahiri and   
              Daniel J. Nordman   A smooth block bootstrap for statistical
                                  functionals and time series  . . . . . . 442--461
            Patrice Bertail and   
Stéphan Clémençon and   
                Jessica Tressou   Bootstrapping Robust Statistics for
                                  Markovian Data Applications to
                                  Regenerative $R$-Statistics and
                                  $L$-Statistics . . . . . . . . . . . . . 462--480
          Antoine Djogbenou and   
Sílvia Gonçalves and   
                  Benoit Perron   Bootstrap inference in regressions with
                                  estimated factors and serial correlation 481--502

Journal of Time Series Analysis
Volume 36, Number 4, July, 2015

        E. Gonçalves and   
            N. Mendes-Lopes and   
                       F. Silva   Infinitely Divisible Distributions in
                                  Integer-Valued GARCH Models  . . . . . . 503--527
              Javier Hualde and   
                Fabrizio Iacone   Small-$b$ and fixed-$b$ asymptotics for
                                  weighted covariance estimation in
                                  fractional cointegration . . . . . . . . 528--540
     Siegfried Hörmann and   
         Lukasz Kidzi\'nski and   
                 Piotr Kokoszka   Estimation in Functional Lagged
                                  Regression . . . . . . . . . . . . . . . 541--561
             Marcus J. Chambers   The Calculation of Some Limiting
                                  Distributions Arising in Near-Integrated
                                  Models with GLS Detrending . . . . . . . 562--586
       Zacharias Psaradakis and   
     Marián Vávra   A quantile-based test for symmetry of
                                  weakly dependent processes . . . . . . . 587--598
            Alexander J. Mcneil   Book Review: \booktitleDependence
                                  Modeling with Copulas, by Harry Joe.
                                  Monographs on Statistics and Applied
                                  probability 134, Published by CRC Press,
                                  2015. Total number of pages: 18 + 462.
                                  ISBN: 978-1-4665-8322-1 (Hardback) . . . 599--600

Journal of Time Series Analysis
Volume 36, Number 5, September, 2015

               Neil Kellard and   
              Denise Osborn and   
                  Jerry Coakley   Introduction to the JTSA John Nankervis
                                  Memorial Issue . . . . . . . . . . . . . 601--602
         Giuseppe Cavaliere and   
            David I. Harvey and   
       Stephen J. Leybourne and   
            A. M. Robert Taylor   Testing for unit roots under multiple
                                  possible trend breaks and non-stationary
                                  volatility using bootstrap minimum
                                  Dickey--Fuller statistics  . . . . . . . 603--629
             Marcus J. Chambers   Testing for a unit root in a
                                  near-integrated model with skip-sampled
                                  data . . . . . . . . . . . . . . . . . . 630--649
            Frank Rodriguez and   
            Soterios Soteri and   
          Leticia Veruete-McKay   Papers with John on the demand for mail  650--652
   Dimitris K. Chronopoulos and   
          Claudia Girardone and   
              John C. Nankervis   Double Bootstrap Confidence Intervals in
                                  the Two-Stage DEA Approach . . . . . . . 653--662
         Nathan E. (Gene) Savin   Papers with John . . . . . . . . . . . . 663--671
      Imanol Arrieta-ibarra and   
              Ignacio N. Lobato   Testing for Predictability in Financial
                                  Returns Using Statistical Learning
                                  Procedures . . . . . . . . . . . . . . . 672--686
          John C. Nankervis and   
         Periklis Kougoulis and   
                  Jerry Coakley   Generalized variance-ratio tests in the
                                  presence of statistical dependence . . . 687--705
           Christian Conrad and   
             Menelaos Karanasos   On the Transmission of Memory in
                                  GARCH-in-Mean Models . . . . . . . . . . 706--720
            Simone D. Grose and   
             Gael M. Martin and   
              Donald S. Poskitt   Bias correction of persistence measures
                                  in fractionally integrated models  . . . 721--740
           Alastair R. Hall and   
           Denise R. Osborn and   
                Nikolaos Sakkas   Structural break inference using
                                  information criteria in models estimated
                                  by two-stage least squares . . . . . . . 741--762
  Isabel Figuerola-Ferretti and   
     Christopher L. Gilbert and   
           J. Roderick McCrorie   Testing for Mild Explosivity and Bubbles
                                  in LME Non-Ferrous Metals Prices . . . . 763--782

Journal of Time Series Analysis
Volume 36, Number 6, November, 2015

             M. Azimmohseni and   
              A. R. Soltani and   
                     M. Khalafi   Simulation of real discrete time
                                  Gaussian multivariate stationary
                                  processes with given spectral densities  783--796
               Eric Ghysels and   
                J. Isaac Miller   Testing for cointegration with
                                  temporally aggregated and
                                  mixed-frequency time series  . . . . . . 797--816
              Marcel Carcea and   
                Robert Serfling   A Gini Autocovariance Function for Time
                                  Series Modelling . . . . . . . . . . . . 817--838
           Wagner Barreto-Souza   Zero-Modified Geometric $ {\rm INAR}(1)
                                  $ Process for Modelling Count Time
                                  Series with Deflation or Inflation of
                                  Zeros  . . . . . . . . . . . . . . . . . 839--852
              Raymond Cheng and   
              Charles B. Harris   Mixed-Norm Spaces and Prediction of $ S
                                  \alpha S $ Moving Averages . . . . . . . 853--875
Christian Gouriéroux and   
         Jean-Michel Zako\"\ian   On Uniqueness of Moving Average
                                  Representations of Heavy-tailed
                                  Stationary Processes . . . . . . . . . . 876--887


Journal of Time Series Analysis
Volume 37, Number 1, January, 2016

                      Anonymous   Issue information --- TOC  . . . . . . . 1--1
                      Anonymous   Issue information --- Info Page  . . . . 2--2
         Ruprecht Puchstein and   
             Philip Preuß   Testing for Stationarity in Multivariate
                                  Locally Stationary Processes . . . . . . 3--29
                    Holger Fink   Conditional Distributions of
                                  Mandelbrot--van Ness Fractional Lévy
                                  Processes and Continuous-Time
                                  ARMA--GARCH-Type Models with Long Memory 30--45
        Mohamed El Ghourabi and   
           Christian Francq and   
                 Fedya Telmoudi   Consistent estimation of the value at
                                  risk when the error distribution of the
                                  volatility model is misspecified . . . . 46--76
              Sebastian Schweer   A Goodness-of-Fit Test for
                                  Integer-Valued Autoregressive Processes  77--98
           Pentti Saikkonen and   
               Rickard Sandberg   Testing for a Unit Root in Noncausal
                                  Autoregressive Models  . . . . . . . . . 99--125
Isadora Antoniano-Villalobos and   
              Stephen G. Walker   A Nonparametric Model for Stationary
                                  Time Series  . . . . . . . . . . . . . . 126--142
                    Y. Karavias   Book Review: \booktitleAlmost All About
                                  Unit Roots: Foundations, Developments,
                                  and Applications, by In Choi. Published
                                  by Cambridge University Press,
                                  Cambridge, 2015. Total number of pages:
                                  295. ISBN: 978-1-107-48250-0
                                  (paperback), price: 24.99\pounds;
                                  (US\$39.99) ISBN: 978-1-107-09733-9
                                  (hardback), price: 60.00\pounds
                                  (US\$95.00)  . . . . . . . . . . . . . . 143--144

Journal of Time Series Analysis
Volume 37, Number 2, March, 2016

                      Anonymous   Issue information --- TOC  . . . . . . . 145--145
                      Anonymous   Issue information --- Info Page  . . . . 146--146
                  Fangfang Wang   An unbiased measure of integrated
                                  volatility in the frequency domain . . . 147--164
Josep Lluís Carrion-I-Silvestre and   
     María Dolores Gadea   Bounds, Breaks and Unit Root Tests . . . 165--181
     Efstathios Paparoditis and   
            Dimitris N. Politis   A note on the behaviour of nonparametric
                                  density and spectral density estimators
                                  at zero points of their support  . . . . 182--194
                  Yaeji Lim and   
                    Hee-Seok Oh   Composite Quantile Periodogram for
                                  Spectral Analysis  . . . . . . . . . . . 195--221
           Yiannis Karavias and   
                 Elias Tzavalis   Local power of fixed-$t$ panel unit root
                                  tests with serially correlated errors
                                  and incidental trends  . . . . . . . . . 222--239
           Maria Fragkeskou and   
         Efstathios Paparoditis   Inference for the Fourth-Order
                                  Innovation Cumulant in Linear Time
                                  Series . . . . . . . . . . . . . . . . . 240--266
     Aleksandar S. Nasti\'c and   
            Petra N. Laketa and   
           Miroslav M. Risti\'c   Random environment integer-valued
                                  autoregressive process . . . . . . . . . 267--287
                   T. Subba Rao   Book Review: \booktitleStatistics for
                                  Spatial Data, Revised Edition, by Noel
                                  Cressie. Published by Wiley Classics
                                  Library, John Wiley, 2015. Total number
                                  of pages: 928. ISBN: 978-1-119-11518-2   288--288

Journal of Time Series Analysis
Volume 37, Number 3, May, 2016

                      Anonymous   Issue information --- Info Page  . . . . 289--290
                  Ali Ahmad and   
               Christian Francq   Poisson QMLE of Count Time Series Models 291--314
           Roberto Baragona and   
        Francesco Battaglia and   
                Domenico Cucina   Empirical likelihood for outlier
                                  detection and estimation in
                                  autoregressive time series . . . . . . . 315--336
             Jari Miettinen and   
              Katrin Illner and   
           Klaus Nordhausen and   
                  Hannu Oja and   
              Sara Taskinen and   
                Fabian J. Theis   Separation of Uncorrelated Stationary
                                  time series using Autocovariance
                                  Matrices . . . . . . . . . . . . . . . . 337--354
                    Lei Jin and   
                    Suojin Wang   A new test for checking the equality of
                                  the correlation structures of two time
                                  series . . . . . . . . . . . . . . . . . 355--368
                  Lukasz Lenart   Generalized resampling scheme with
                                  application to spectral density matrix
                                  in almost periodically correlated class
                                  of time series . . . . . . . . . . . . . 369--404
       Christian Gourieroux and   
                   Joann Jasiak   Filtering, prediction and simulation
                                  methods for noncausal processes  . . . . 405--430
  Johanna G. Ne\vsLehová   Book Review: \booktitleQuantitative Risk
                                  Management: Concepts, Techniques and
                                  Tools, by Alexander J. McNeil, Rüdiger
                                  Frey and Paul Embrechts. Revised
                                  edition. Published by Princeton
                                  University Press, 2015. Total number of
                                  pages: 720. ISBN: 978-0-691-16627-8
                                  (Hardback) . . . . . . . . . . . . . . . 431--432

Journal of Time Series Analysis
Volume 37, Number 4, July, 2016

                      Anonymous   Issue information --- Info Page  . . . . 433--434
               Robert T. Krafty   Discriminant Analysis of Time Series in
                                  the Presence of Within-Group Spectral
                                  Variability  . . . . . . . . . . . . . . 435--450
                   Dong Jin Lee   Parametric and Semi-Parametric Efficient
                                  Tests for Parameter Instability  . . . . 451--475
              Sophie Achard and   
                 Ir\`ene Gannaz   Multivariate wavelet Whittle estimation
                                  in long-range dependence . . . . . . . . 476--512
                    Donggyu Kim   Statistical Inference for Unified
                                  GARCH--Itô Models with High-Frequency
                                  Financial Data . . . . . . . . . . . . . 513--532
      Mehdi Hosseinkouchack and   
                    Uwe Hassler   Powerful Unit Root Tests Free of
                                  Nuisance Parameters  . . . . . . . . . . 533--554
           Seong Yeon Chang and   
                  Pierre Perron   Inference on a structural break in trend
                                  with fractionally integrated errors  . . 555--574
              Mohsen Pourahmadi   Book Review: \booktitleTime Series
                                  Modelling with Unobserved Components, by
                                  Matteo M. Pelagatti. Published by CRC
                                  Press, 2015, pages: 257. ISBN-13:
                                  978-1-4822-2500-6  . . . . . . . . . . . 575--576

Journal of Time Series Analysis
Volume 37, Number 5, September, 2016

                      Anonymous   Issue information --- Info Page  . . . . 577--578
 Esmeralda Gonçalves and   
                Joana Leite and   
     NazarÉ Mendes-Lopes   On the Distribution Estimation of Power
                                  Threshold GARCH Processes  . . . . . . . 579--602
          Seokwoo Jake Choi and   
                Stephen Portnoy   Quantile Autoregression for Censored
                                  Data . . . . . . . . . . . . . . . . . . 603--623
                   Kun Chen and   
             Ngai Hang Chan and   
                   Chun Yip Yau   Bartlett correction of empirical
                                  likelihood for non-Gaussian short-memory
                                  time series  . . . . . . . . . . . . . . 624--649
        Luis Filipe Martins and   
                  Pierre Perron   Improved tests for forecast comparisons
                                  in the presence of instabilities . . . . 650--659
             Rehim Kiliç   Tests for Linearity in Star Models:
                                  Supwald and LM-Type Tests  . . . . . . . 660--674
      Luis E. Nieto-Barajas and   
           Fernando A. Quintana   A Bayesian Non-Parametric Dynamic AR
                                  Model for Multiple Time Series Analysis  675--689
                Francesco Bravo   Local Information Theoretic Methods for
                                  smooth Coefficients Dynamic Panel Data
                                  Models . . . . . . . . . . . . . . . . . 690--708
   Granville Tunnicliffe Wilson   Book Review: \booktitleTime Series
                                  Analysis: Forecasting and Control, 5th
                                  Edition, by George E. P. Box, Gwilym M.
                                  Jenkins, Gregory C. Reinsel and Greta M.
                                  Ljung, 2015. Published by John Wiley and
                                  Sons Inc., Hoboken, New Jersey, pp. 712.
                                  ISBN: 978-1-118-67502-1  . . . . . . . . 709--711
           B. L. S. Prakasa Rao   Book Review: \booktitleAn Introduction
                                  to Stochastic Orders, by Félix Belzunce,
                                  Carolina Martínez and Julio Mulero.
                                  Academic Press, Elsevier Ltd. 2016.
                                  Total number of pages: 157. ISBN:
                                  978-0-12-803768-3 (Paperback)  . . . . . 712--712
             Agnieszka Jach and   
          Tucker S. McElroy and   
            Dimitris N. Politis   Corrigendum to `Subsampling Inference
                                  for the Mean of Heavy-Tailed Long-Memory
                                  Time Series' by A. Jach, T. S. McElroy
                                  and D. N. Politis  . . . . . . . . . . . 713--720

Journal of Time Series Analysis
Volume 37, Number 6, November, 2016

                      Anonymous   Issue information --- Info Page  . . . . 721--722
       Timothy J. Vogelsang and   
                  Jingjing Yang   Exactly\slash nearly unbiased estimation
                                  of autocovariances of a univariate time
                                  series with unknown mean . . . . . . . . 723--740
         Mitra Ghanbarzadeh and   
               Mina Aminghafari   A wavelet characterization of
                                  continuous-time periodically correlated
                                  processes with application to simulation 741--762
       Christoph P. Kustosz and   
                Anne Leucht and   
       Christine H. Müller   Tests Based on Simplicial Depth for $
                                  {\rm AR}(1) $ Models With Explosion  . . 763--784
                  Annika Betken   Testing for change-points in long-range
                                  dependent time series by means of a
                                  self-normalized Wilcoxon test  . . . . . 785--809
            J. Isaac Miller and   
                        Xi Wang   Implementing Residual-Based KPSS Tests
                                  for Cointegration with Data Subject to
                                  Temporal Aggregation and Mixed Sampling
                                  Frequencies  . . . . . . . . . . . . . . 810--824
                   Moritz Jirak   Optimal rate of convergence for
                                  empirical quantiles and distribution
                                  functions for time series  . . . . . . . 825--836
                   Ming Lin and   
              Eric A. Suess and   
          Robert H. Shumway and   
                      Rong Chen   Bayesian deconvolution of signals
                                  observed on arrays . . . . . . . . . . . 837--850
                  Gordon Chavez   Conditional and marginal mutual
                                  information in Gaussian and hyperbolic
                                  decay time series  . . . . . . . . . . . 851--861
             Marcus J. Chambers   Book Review: \booktitleUnobserved
                                  Components and Time Series Econometrics,
                                  edited by Siem Jan Koopman and Neil
                                  Shephard. Published by Oxford University
                                  Press, Oxford, 2015. Total number of
                                  pages: 400. ISBN: 978-0-19-968366-6  . . 862--863
            Georgi N. Boshnakov   Book Review: \booktitleIntroduction to
                                  Time Series Analysis and Forecasting,
                                  2nd Edition, Wiley Series in Probability
                                  and Statistics, by Douglas C.
                                  Montgomery, Cheryl L. Jennings and Murat
                                  Kulahci (eds). Published by John Wiley
                                  and Sons, Hoboken, NJ, USA, 2015. Total
                                  number of pages: 672 Hardcover: ISBN:
                                  978-1-118-74511-3, e-book: ISBN:
                                  978-1-118-74515-1, etext: ISBN:
                                  978-1-118-74495-6  . . . . . . . . . . . 864--864


Journal of Time Series Analysis
Volume 38, Number 1, January, 2017

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
              Alexander Aue and   
       Lajos Horváth and   
              Daniel F. Pellatt   Functional Generalized Autoregressive
                                  Conditional Heteroskedasticity . . . . . 3--21
                Xingwu Zhou and   
               Martin Solberger   A Lagrange multiplier-type test for
                                  idiosyncratic unit roots in the exact
                                  factor model . . . . . . . . . . . . . . 22--50
             Virginia Lacal and   
           Dag TjÒstheim   Local Gaussian autocorrelation and tests
                                  for serial independence  . . . . . . . . 51--71
              Gabe Chandler and   
               Wolfgang Polonik   Residual empirical processes and
                                  weighted sums for time-varying processes
                                  with applications to testing for
                                  homoscedasticity . . . . . . . . . . . . 72--98
            Chung-Ming Kuan and   
     Christos Michalopoulos and   
                    Zhijie Xiao   Quantile regression on quantile ranges
                                  --- a threshold approach . . . . . . . . 99--119
           William Dunsmuir and   
                       Jieyi He   Marginal Estimation of Parameter Driven
                                  Binomial Time Series Models  . . . . . . 120--144
                   T. Subba Rao   Book Review: \booktitleSpatial and
                                  Spatio-Temporal Bayesian Models with
                                  R-INLA, by Marta Blangiardo and Michela
                                  Cameletti. Published by John Wiley and
                                  Sons, Chichester, UK, 2015. Total number
                                  of pages: 308. ISBN 978-1-118-32655-8    145--146

Journal of Time Series Analysis
Volume 38, Number 2, March, 2017

                      Anonymous   Issue Information  . . . . . . . . . . . 147--148
             Tata Subba Rao and   
   Granville Tunnicliffe Wilson   Editorial: Special Issue to Honor the
                                  Memory of Maurice B. Priestley,
                                  1933--2013 . . . . . . . . . . . . . . . 149--150
       Alessandro Cardinali and   
                   Guy P. Nason   Locally Stationary Wavelet Packet
                                  Processes: Basis Selection and Model
                                  Fitting  . . . . . . . . . . . . . . . . 151--174
              Andrew Harvey and   
               Rutger-Jan Lange   Volatility modeling with a generalized t
                                  distribution . . . . . . . . . . . . . . 175--190
             P. M. Robinson and   
                      L. Taylor   Adaptive Estimation in Multiple Time
                                  Series With Independent Component Errors 191--203
                 Joao Jesus and   
            Richard E. Chandler   Inference with the Whittle Likelihood: A
                                  Tractable Approach Using Estimating
                                  Functions  . . . . . . . . . . . . . . . 204--224
            Michael Eichler and   
            Rainer Dahlhaus and   
                 Johannes Dueck   Graphical modeling for multivariate
                                  Hawkes processes with nonparametric link
                                  functions  . . . . . . . . . . . . . . . 225--242
             Shiu Fung Wong and   
                Howell Tong and   
               Tak Kuen Siu and   
                        Zudi Lu   A New Multivariate Nonlinear Time Series
                                  Model for Portfolio Risk Measurement:
                                  The Threshold Copula-Based TAR Approach  243--265
                    Wei Gao and   
             Wicher Bergsma and   
                      Qiwei Yao   Estimation for dynamic and static panel
                                  probit models with large individual
                                  effects  . . . . . . . . . . . . . . . . 266--284
             Ngai Hang Chan and   
                      Ye Lu and   
                   Chun Yip Yau   Factor modelling for high-dimensional
                                  time series: inference and model
                                  selection  . . . . . . . . . . . . . . . 285--307
             Tata Subba Rao and   
                  Gyorgy Terdik   On the frequency variogram and on
                                  frequency domain methods for the
                                  analysis of spatio-temporal data . . . . 308--325
       Soutir Bandyopadhyay and   
            Carsten Jentsch and   
             Suhasini Subba Rao   A spectral domain test for stationarity
                                  of spatio-temporal data  . . . . . . . . 326--351
       Geir Drage Berentsen and   
                Ricardo Cao and   
Mario Francisco-Fernández and   
           Dag TjÒstheim   Some properties of local Gaussian
                                  correlation and other nonlinear
                                  dependence measures  . . . . . . . . . . 352--380
   Granville Tunnicliffe Wilson   Spectral Estimation of the Multivariate
                                  Impulse Response . . . . . . . . . . . . 381--391

Journal of Time Series Analysis
Volume 38, Number 3, May, 2017

                      Anonymous   Issue Information  . . . . . . . . . . . 393--394
             Gustavo Didier and   
                      Kui Zhang   The asymptotic distribution of the
                                  pathwise mean squared displacement in
                                  single particle tracking experiments . . 395--416
        Abdelhamid Ouakasse and   
              Guy Mélard   A New Recursive Estimation Method for
                                  Single Input Single Output Models  . . . 417--457
                Marco Bazzi and   
         Francisco Blasques and   
           Siem Jan Koopman and   
                    Andre Lucas   Time-Varying Transition Probabilities
                                  for Markov Regime Switching Models . . . 458--478
              Mihai C. Giurcanu   Oracle $M$-Estimation for Time Series
                                  Models . . . . . . . . . . . . . . . . . 479--504
                   A. I. McLeod   Book Review: \booktitleModels for
                                  Dependent Time Series, by Granville
                                  Tunnicliffe Wilson, Marco Reale and John
                                  Haywood Published by CRC Press, 2016.
                                  Total number of pages: 323. ISBN
                                  978-1-58488-650-1  . . . . . . . . . . . 505--507
                   Alain Latour   Book Review: \booktitleHandbook of
                                  Discrete-Valued Time Series, edited by
                                  R. A. Davis, S. H. Holan, R. Lund, R.
                                  and Ravishanker. Published by Hall/CRC,
                                  Boca Raton, Florida, 2015. Total number
                                  of pages: 464. ISBN: 978-1-4665-7773-2   508--509

Journal of Time Series Analysis
Volume 38, Number 4, July, 2017

                      Anonymous   Issue Information  . . . . . . . . . . . 511--512
         Giuseppe Cavaliere and   
         Heino Bohn Nielsen and   
                  Anders Rahbek   On the consistency of bootstrap testing
                                  for a parameter on the boundary of the
                                  parameter space  . . . . . . . . . . . . 513--534
              Ieva Grublyte and   
          Donatas Surgailis and   
              Andrius Skarnulis   QMLE for Quadratic ARCH Model with Long
                                  Memory . . . . . . . . . . . . . . . . . 535--551
       Lajos Horváth and   
            William Pouliot and   
                   Shixuan Wang   Detecting at-most-m changes in linear
                                  regression models  . . . . . . . . . . . 552--590
               Gregory Rice and   
                  Han Lin Shang   A plug-in bandwidth selection procedure
                                  for long-run covariance estimation with
                                  stationary functional time series  . . . 591--609
           Anindya Banerjee and   
Josep Lluís Carrion-i-Silvestre   Testing for Panel Cointegration Using
                                  Common Correlated Effects Estimators . . 610--636

Journal of Time Series Analysis
Volume 38, Number 5, September, 2017

                      Anonymous   Issue Information  . . . . . . . . . . . 637--638
              Pierre Perron and   
                 Eduardo Zorita   Time Series Methods Applied to Climate
                                  Change . . . . . . . . . . . . . . . . . 639--639
       Timothy J. Vogelsang and   
                  Nasreen Nawaz   Estimation and inference of linear trend
                                  slope ratios with an application to
                                  global temperature data  . . . . . . . . 640--667
       Arthur P. Guillaumin and   
           Adam M. Sykulski and   
            Sofia C. Olhede and   
           Jeffrey J. Early and   
              Jonathan M. Lilly   Analysis of non-stationary modulated
                                  time series with applications to
                                  oceanographic surface flow measurements  668--710
          Francisco Estrada and   
                  Pierre Perron   Extracting and analyzing the warming
                                  trend in global and hemispheric
                                  temperatures . . . . . . . . . . . . . . 711--732
            Iliyan Georgiev and   
      Paulo M. M. Rodrigues and   
            A. M. Robert Taylor   Unit Root Tests and Heavy-Tailed
                                  Innovations  . . . . . . . . . . . . . . 733--768
                    Wen Cao and   
           Clifford Hurvich and   
               Philippe Soulier   Drift in Transaction-Level Asset Price
                                  Models . . . . . . . . . . . . . . . . . 769--790
                  Eiji Kurozumi   Monitoring Parameter Constancy with
                                  Endogenous Regressors  . . . . . . . . . 791--805
              Mohsen Pourahmadi   Book Review: \booktitleState-Space
                                  Methods for Time Series Analysis:
                                  Theory, Applications and Software, by
                                  Jose Casals, Alfredo Garcia-Hiernaux,
                                  Miguel Jerez, Sonia Sotoca, and A.
                                  Alexandre Trindade. Published by CRC
                                  Press, 2016. Total number of pages: 270.
                                  ISBN: 1-4822-1959-X  . . . . . . . . . . 806--806

Journal of Time Series Analysis
Volume 38, Number 6, November, 2017

                      Anonymous   Issue Information  . . . . . . . . . . . 807--808
     Lisandro Javier Fermin and   
               Ricardo Rios and   
           Luis Angel Rodriguez   A Robbins--Monro Algorithm for
                                  Non-Parametric Estimation of NAR Process
                                  with Markov Switching: Consistency . . . 809--837
            Andrew J. Grant and   
                 Barry G. Quinn   Parametric Spectral Discrimination . . . 838--864
        Christian M. Hafner and   
                 Arie Preminger   On Asymptotic Theory for $ {\rm
                                  ARCH}(\infty) $ Models . . . . . . . . . 865--879
        Mamadou Lamine Diop and   
                 William Kengne   Testing Parameter Change in General
                                  Integer-Valued Time Series . . . . . . . 880--894
      Franziska Häfner and   
                  Claudia Kirch   Moving Fourier analysis for locally
                                  stationary processes with the bootstrap
                                  in view  . . . . . . . . . . . . . . . . 895--922
Sigrunn Holbek Sòrbye and   
               Håvard Rue   Penalised Complexity Priors for
                                  Stationary Autoregressive Processes  . . 923--935
               T. Subba Rao and   
                  Gyorgy Terdik   A new covariance function and
                                  spatio-temporal prediction (kriging) for
                                  a stationary spatio-temporal random
                                  process  . . . . . . . . . . . . . . . . 936--959
              Martin Wagner and   
                   Dominik Wied   Consistent Monitoring of Cointegrating
                                  Relationships: The US Housing Market and
                                  the Subprime Crisis  . . . . . . . . . . 960--980
                  Qiang Xia and   
                   Kejun He and   
                    Cuizhen Niu   A Model-Adaptive Test for Parametric
                                  Single-Index Time Series Models  . . . . 981--999
               Rickard Sandberg   Sample moments and weak convergence to
                                  multivariate stochastic power integrals  1000--1009
           Brendan K. Beare and   
                  Juwon Seo and   
                     Won-Ki Seo   Cointegrated Linear Processes in Hilbert
                                  Space  . . . . . . . . . . . . . . . . . 1010--1027
              Stefan Albert and   
             Michael Messer and   
            Julia Schiemann and   
              Jochen Roeper and   
                 Gaby Schneider   Multi-Scale detection of variance
                                  changes in renewal processes in the
                                  presence of rate change points . . . . . 1028--1052


Journal of Time Series Analysis
Volume 39, Number 1, January, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
                  Robert Taylor   Editorial, January 2018  . . . . . . . . 3--3
                 Linyuan Li and   
                       Kewei Lu   Tests for the equality of two processes'
                                  spectral densities with unequal lengths
                                  using wavelet methods  . . . . . . . . . 4--27
                 Johannes Tewes   Block bootstrap for the empirical
                                  process of long-range dependent data . . 28--53
             Pramita Bagchi and   
       Vaidotas Characiejus and   
                   Holger Dette   A simple test for white noise in
                                  functional time series . . . . . . . . . 54--74
              Ria Van Hecke and   
        Stanislav Volgushev and   
                   Holger Dette   Fourier analysis of serial dependence
                                  measures . . . . . . . . . . . . . . . . 75--89
           Carina Gerstenberger   Robust Wilcoxon-Type Estimation of
                                  Change-Point Location Under Short-Range
                                  Dependence . . . . . . . . . . . . . . . 90--104
                        Zudi Lu   Book Review: \booktitleHidden Markov
                                  Models for Time Series: An Introduction
                                  Using R, 2nd Edition, by Walter
                                  Zucchini, Iain L. Macdonald, and Roland
                                  Langrock. Monographs on Statistics and
                                  Applied Probability 150, Published by
                                  CRC Press, 2016. Total number of pages:
                                  28 + 370. ISBN: 978-1-4822-5383-2
                                  (Hardback) . . . . . . . . . . . . . . . 105--106
                Rebecca Killick   Book Review: \booktitleApplied Time
                                  Series Analysis With R, Second Edition
                                  by Wayne A. Woodward, Henry L. Gray, and
                                  Alan C. Elliott (eds). Published by CRC
                                  Press, 2017. Total number of pages: 618.
                                  ISBN: 978-1-4987-3422-6  . . . . . . . . 107--107

Journal of Time Series Analysis
Volume 39, Number 2, March, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . 109--110
          Francesco Audrino and   
              Lorenzo Camponovo   Oracle Properties, Bias Correction, and
                                  Bootstrap Inference for Adaptive Lasso
                                  for Time Series $M$-Estimators . . . . . 111--128
            Liudas Giraitis and   
          George Kapetanios and   
                     Tony Yates   Inference on Multivariate
                                  Heteroscedastic Time Varying Random
                                  Coefficient Models . . . . . . . . . . . 129--149
                    Paolo Gorgi   Integer-Valued Autoregressive Models
                                  With Survival Probability Driven By A
                                  Stochastic Recurrence Equation . . . . . 150--171
             Tucker McElroy and   
                    Anindya Roy   The inverse Kullback--Leibler method for
                                  fitting vector moving averages . . . . . 172--191
        Abdelhakim Aknouche and   
            Sara Bendjeddou and   
                  Nassim Touche   Negative Binomial Quasi-Likelihood
                                  Inference for General Integer-Valued
                                  Time Series Models . . . . . . . . . . . 192--211
                   Fang Xie and   
                    Zhijie Xiao   Square-Root LASSO for High-Dimensional
                                  Sparse Linear Systems with Weakly
                                  Dependent Errors . . . . . . . . . . . . 212--238

Journal of Time Series Analysis
Volume 39, Number 3, May, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . 239--240
        Soumendra N. Lahiri and   
        Dimitris N. Politis and   
              Peter M. Robinson   Editorial  . . . . . . . . . . . . . . . 241--241
                Stefan Birr and   
               Holger Dette and   
                Marc Hallin and   
                Tobias Kley and   
            Stanislav Volgushev   On Wigner--Ville Spectra and the
                                  Uniqueness of Time-Varying Copula-Based
                                  Spectral Densities . . . . . . . . . . . 242--250
           Richard A. Davis and   
                     Jing Zhang   Semi-Parametric Estimation for
                                  Non-Gaussian Non-Minimum Phase ARMA
                                  Models . . . . . . . . . . . . . . . . . 251--272
               Hira L. Koul and   
              Donatas Surgailis   Asymptotic distributions of some scale
                                  estimators in nonlinear models with long
                                  memory errors having infinite variance   273--298
                 Tucker McElroy   Recursive Computation for Block-Nested
                                  Covariance Matrices  . . . . . . . . . . 299--312
             Suhasini Subba Rao   Orthogonal samples for estimators in
                                  time series  . . . . . . . . . . . . . . 313--337
Raanju Ragavendar Sundararajan and   
              Mohsen Pourahmadi   Stationary subspace analysis of
                                  nonstationary processes  . . . . . . . . 338--355
           Maria Fragkeskou and   
         Efstathios Paparoditis   Extending the range of validity of the
                                  autoregressive (sieve) bootstrap . . . . 356--379
              Young Min Kim and   
        Soumendra N. Lahiri and   
              Daniel J. Nordman   Non-Parametric Spectral Density
                                  Estimation Under Long-Range Dependence   380--401
                    Yan Liu and   
               Yurie Tamura and   
             Masanobu Taniguchi   Asymptotic theory of test statistic for
                                  sphericity of high-dimensional time
                                  series . . . . . . . . . . . . . . . . . 402--416
              Fumiya Akashi and   
                Shuyang Bai and   
                 Murad S. Taqqu   Robust regression on stationary time
                                  series: a self-normalized resampling
                                  approach . . . . . . . . . . . . . . . . 417--432
         Timothy L. McMurry and   
            Dimitris N. Politis   Estimating MA Parameters through
                                  Factorization of the Autocovariance
                                  Matrix and an MA-Sieve Bootstrap . . . . 433--446
            Wei-Cheng Hsiao and   
              Hao-Yun Huang and   
                 Ching-Kang Ing   Interval Estimation for a First-Order
                                  Positive Autoregressive Process  . . . . 447--467

Journal of Time Series Analysis
Volume 39, Number 4, July, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . 469--470
      Tomasz Górecki and   
     Siegfried Hörmann and   
       Lajos Horváth and   
                 Piotr Kokoszka   Testing Normality of Functional Time
                                  Series . . . . . . . . . . . . . . . . . 471--487
                   Jilin Wu and   
                    Zhijie Xiao   A powerful test for changing trends in
                                  time series models . . . . . . . . . . . 488--501
         Lukasz Kidzi\'nski and   
             Piotr Kokoszka and   
        Neda Mohammadi Jouzdani   Principal Components Analysis of
                                  Periodically Correlated Functional Time
                                  Series . . . . . . . . . . . . . . . . . 502--522
           Anna Bykhovskaya and   
           Peter C. B. Phillips   Boundary limit theory for functional
                                  local to unity regression  . . . . . . . 523--562
                Hailin Sang and   
                Yongli Sang and   
                     Fangjun Xu   Kernel Entropy Estimation for Linear
                                  Processes  . . . . . . . . . . . . . . . 563--591
                  Jan Beran and   
            Britta Steffens and   
                Sucharita Ghosh   On Local Trigonometric Regression Under
                                  Dependence . . . . . . . . . . . . . . . 592--617
                        Lei Jin   A frequency-domain test to check
                                  equality in spectral densities of
                                  multiple time series with unequal
                                  lengths  . . . . . . . . . . . . . . . . 618--633
Maria Antónia Amaral Turkman   Book Review: \booktitleStatistical
                                  Intervals: A Guide for Practitioners and
                                  Researchers, Second Edition, by William
                                  Q. Meeker, Gerald J. Hahn, and Louis A.
                                  Escobar. Wiley Series in Probability and
                                  Statistics, Published by John Wiley and
                                  Sons, 2017. Total number of pages: 35 +
                                  592. ISBN: 978-0-4716-8717-7 . . . . . . 634--635

Journal of Time Series Analysis
Volume 39, Number 5, September, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . 637--638
                  Robert Taylor   Editorial, September 2018  . . . . . . . 639--639
   Granville Tunnicliffe Wilson   Tata Subba Rao, 1942--2018 . . . . . . . 640--640
              Stefan Bruder and   
                   Michael Wolf   Balanced Bootstrap Joint Confidence
                                  Bands for Structural Impulse Response
                                  Functions  . . . . . . . . . . . . . . . 641--664
                   Yannick Hoga   Detecting Tail Risk Differences in
                                  Multivariate Time Series . . . . . . . . 665--689
              Juanjuan Kong and   
                   Lijie Gu and   
                    Lijian Yang   Prediction interval for autoregressive
                                  time series via oracally efficient
                                  estimation of multi-step-ahead
                                  innovation distribution function . . . . 690--708
               Shibin Zhang and   
                      Xin M. Tu   Tests for comparing time-invariant and
                                  time-varying spectra based on the
                                  Pearson statistic  . . . . . . . . . . . 709--730
    Panayiotis Constantinou and   
             Piotr Kokoszka and   
               Matthew Reimherr   Testing Separability of Functional Time
                                  Series . . . . . . . . . . . . . . . . . 731--747
             Liliya Lavitas and   
                     Ting Zhang   A time-symmetric self-normalization
                                  approach for inference of time series    748--762
              Fumiya Akashi and   
               Holger Dette and   
                        Yan Liu   Change-Point detection in autoregressive
                                  models with no moment assumptions  . . . 763--786
           Stefano M. Iacus and   
            Lorenzo Mercuri and   
                     Edit Rroji   Discrete-Time Approximation of a $ {\rm
                                  Cogarch}(p, q) $ Model and its
                                  Estimation . . . . . . . . . . . . . . . 787--809

Journal of Time Series Analysis
Volume 39, Number 6, November, 2018

                      Anonymous   Issue Information  . . . . . . . . . . . 811--812
                  Robert Taylor   Editorial Announcement . . . . . . . . . 813--813
          Stephen Leybourne and   
                  Robert Taylor   Special issue of the \booktitleJournal
                                  of Time Series Analysis in honour of
                                  Professor Paul Newbold: Guest Editors'
                                  introduction . . . . . . . . . . . . . . 814--815
               Brendan K. Beare   Unit Root Testing with Unstable
                                  Volatility . . . . . . . . . . . . . . . 816--835
      Sòren Johansen and   
Morten Òrregaard Nielsen   Testing the CVAR in the Fractional CVAR
                                  Model  . . . . . . . . . . . . . . . . . 836--849
                  Eiji Kurozumi   Confidence sets for the date of a
                                  structural change at the end of a sample 850--862
                 Sam Astill and   
            David I. Harvey and   
       Stephen J. Leybourne and   
              Robert Sollis and   
            A. M. Robert Taylor   Real-Time Monitoring for Explosive
                                  Financial Bubbles  . . . . . . . . . . . 863--891
          Stelios Arvanitis and   
              Tassos Magdalinos   Mildly Explosive Autoregression Under
                                  Stationary Conditional
                                  Heteroskedasticity . . . . . . . . . . . 892--908
              Andrew Harvey and   
               Rutger-Jan Lange   Modeling the interactions between
                                  volatility and returns using EGARCH-M    909--919
         Giuseppe Cavaliere and   
Rasmus Sòndergaard Pedersen and   
                  Anders Rahbek   The Fixed Volatility Bootstrap for a
                                  Class of $ {\rm Arch}(q) $ Models  . . . 920--941
               Rickard Sandberg   Unit root testing in multiple smooth
                                  break models with nonlinear dynamics . . 942--952
              Ross Askanazi and   
         Francis X. Diebold and   
          Frank Schorfheide and   
                   Minchul Shin   On the Comparison of Interval Forecasts  953--965
                Shuping Shi and   
       Peter C. B. Phillips and   
                      Stan Hurn   Change detection and the causal impact
                                  of the yield curve . . . . . . . . . . . 966--987


Journal of Time Series Analysis
Volume 40, Number 1, January, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
       Cristina Gorrostieta and   
             Hernando Ombao and   
               Rainer Von Sachs   Time-Dependent Dual-Frequency Coherence
                                  in Multivariate Non-Stationary Time
                                  Series . . . . . . . . . . . . . . . . . 3--22
              Marian Z. Stoykov   Least squares bias in time series with
                                  moderate deviations from a unit root . . 23--42
                Xiaohui Liu and   
                     Liang Peng   Asymptotic theory and unified confidence
                                  region for an autoregressive model . . . 43--65
                Yuping Song and   
                  Ying Chen and   
                   Zhouwei Wang   Bias correction estimation for a
                                  continuous-time asset return model with
                                  jumps  . . . . . . . . . . . . . . . . . 66--101
       Brian D. O. Anderson and   
           Manfred Deistler and   
              Jean-Marie Dufour   On the Sensitivity of Granger Causality
                                  to Errors-In-Variables, Linear
                                  Transformations and Subsampling  . . . . 102--123
           Axel Bücher and   
       Jean-David Fermanian and   
               Ivan Kojadinovic   Combining cumulative sum change-point
                                  detection tests for assessing the
                                  stationarity of univariate time series   124--150
               Katerina Petrova   Quasi-Bayesian Estimation of
                                  Time-Varying Volatility in DSGE Models   151--157
                      Jiguo Cao   Book Review: \booktitleDynamic Data
                                  Analysis, by James Ramsay and Giles
                                  Hooker. Published by Springer, New York,
                                  USA, 2017. Total number of pages: 230.
                                  ISSN: 0172-7397  . . . . . . . . . . . . 158--159

Journal of Time Series Analysis
Volume 40, Number 2, March, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 161--162
         Peter J. Brockwell and   
              Alexander Lindner   Sampling, Embedding and Inference for
                                  CARMA Processes  . . . . . . . . . . . . 163--181
              Yongning Wang and   
                   Ruey S. Tsay   Clustering Multiple Time Series with
                                  Structural Breaks  . . . . . . . . . . . 182--202
                 Sam Efromovich   On two-stage estimation of the spectral
                                  density with assigned risk in presence
                                  of missing data  . . . . . . . . . . . . 203--224
Christian Gouriéroux and   
                        Yang Lu   Negative Binomial Autoregressive Process
                                  with Stochastic Intensity  . . . . . . . 225--247
              Joakim Westerlund   Common Breaks in Means for
                                  Cross-Correlated Fixed-$T$ Panel Data    248--255
              Kung-Sik Chan and   
                  Greta Goracci   On the Ergodicity of First-Order
                                  Threshold Autoregressive Moving-Average
                                  Processes  . . . . . . . . . . . . . . . 256--264

Journal of Time Series Analysis
Volume 40, Number 3, May, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 265--266
       Christopher K. Wikle and   
                 Scott H. Holan   Recent Advances in Spatio-Temporal
                                  Methodology  . . . . . . . . . . . . . . 267--268
         Shinichiro Shirota and   
               Sudipto Banerjee   Scalable inference for space--time
                                  Gaussian Cox processes . . . . . . . . . 269--287
                Bohai Zhang and   
                   Noel Cressie   Estimating Spatial Changes Over Time of
                                  Arctic Sea Ice using Hidden $ 2 \times 2
                                  $ Tables . . . . . . . . . . . . . . . . 288--311
               Felipe Tagle and   
         Stefano Castruccio and   
               Paola Crippa and   
                 Marc G. Genton   A Non-Gaussian Spatio-Temporal Model for
                                  Daily Wind Speeds Based on a
                                  Multi-Variate Skew-$t$ Distribution  . . 312--326
           Dawlah Al-Sulami and   
               Zhenyu Jiang and   
                    Zudi Lu and   
                        Jun Zhu   On a Semiparametric Data-Driven
                                  Nonlinear Model with Penalized
                                  Spatio-Temporal Lag Interactions . . . . 327--342
               Zhaoxing Gao and   
                   Ruey S. Tsay   A Structural-Factor Approach to Modeling
                                  High-Dimensional Time Series and
                                  Space-Time Data  . . . . . . . . . . . . 343--362
        Jonathan R. Bradley and   
       Christopher K. Wikle and   
                 Scott H. Holan   Spatio-temporal models for big
                                  multinomial data using the conditional
                                  multivariate logit-beta distribution . . 363--382

Journal of Time Series Analysis
Volume 40, Number 4, July, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 383--384
                  Robert Taylor   Editorial Announcement . . . . . . . . . 385--385
Morten Òrregaard Nielsen and   
                  Javier Hualde   Special Issue of the \booktitleJournal
                                  of Time Series Analysis in Honour of the
                                  35th Anniversary of the Publication of
                                  Geweke and Porter-Hudak (1983): Guest
                                  Editors' Introduction  . . . . . . . . . 386--387
             Garland Durham and   
                John Geweke and   
         Susan Porter-Hudak and   
                  Fallaw Sowell   Bayesian Inference for ARFIMA Models . . 388--410
             Murad S. Taqqu and   
                     Ting Zhang   A Self-Normalized Semi-Parametric Test
                                  to Detect Changes in the Long Memory
                                  Parameter  . . . . . . . . . . . . . . . 411--424
            Abhimanyu Gupta and   
                 Javier Hidalgo   Order Selection and Inference with Long
                                  Memory Dependent Data  . . . . . . . . . 425--446
        Soumendra N. Lahiri and   
                 Ujjwal Das and   
              Daniel J. Nordman   Empirical Likelihood for a Long Range
                                  Dependent Process Subordinated to a
                                  Gaussian Process . . . . . . . . . . . . 447--466
          George Kapetanios and   
            Fotis Papailias and   
            A. M. Robert Taylor   A Generalised Fractional Differencing
                                  Bootstrap for Long Memory Processes  . . 467--492
               Hira L. Koul and   
              Donatas Surgailis   Asymptotic Distribution of the Bias
                                  Corrected Least Squares Estimators in
                                  Measurement Error Linear Regression
                                  Models Under Long Memory . . . . . . . . 493--518
      Sòren Johansen and   
Morten Òrregaard Nielsen   Nonstationary Cointegration in the
                                  Fractionally Cointegrated VAR Model  . . 519--543
              Javier Hualde and   
                Fabrizio Iacone   Fixed Bandwidth Inference for Fractional
                                  Cointegration  . . . . . . . . . . . . . 544--572
         Yunus Emre Ergemen and   
                 Carlos Velasco   Persistence Heterogeneity Testing in
                                  Panels with Interactive Fixed Effects    573--589
                    Jun Liu and   
                  Rohit Deo and   
               Clifford Hurvich   The Slow Convergence of Ordinary Least
                                  Squares Estimators of $ \alpha $, $
                                  \beta $ and Portfolio Weights under
                                  Long-Memory Stochastic Volatility  . . . 590--608
         Richard T. Baillie and   
             Fabio Calonaci and   
                Dooyeon Cho and   
                   Seunghwa Rho   Long Memory, Realized Volatility and
                                  Heterogeneous Autoregressive Models  . . 609--628

Journal of Time Series Analysis
Volume 40, Number 5, September, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 629--630
        Maria Eduarda Silva and   
             Isabel Pereira and   
                 Brendan McCabe   Bayesian Outlier Detection in
                                  Non-Gaussian Autoregressive Time Series  631--648
            Helmut Herwartz and   
              Simone Maxand and   
               Yabibal M. Walle   Heteroskedasticity-Robust Unit Root
                                  Testing for Trending Panels  . . . . . . 649--664
               Gregory Rice and   
                     Marco Shum   Inference for the Lagged
                                  Cross-Covariance Operator Between
                                  Functional Time Series . . . . . . . . . 665--692
            Fabrizio Iacone and   
 Stepána Lazarová   Semiparametric Detection of Changes in
                                  Long Range Dependence  . . . . . . . . . 693--706
              Annika Betken and   
                   Rafa\l Kulik   Testing for Change in Long-Memory
                                  Stochastic Volatility Time Series  . . . 707--738
           Gabriel Montes-Rojas   Multivariate Quantile Impulse Response
                                  Functions  . . . . . . . . . . . . . . . 739--752
                  Weiyi Liu and   
                   Mingjin Wang   Volatility Estimation and Jump Testing
                                  via Realized Information Variation . . . 753--787
           Rodrigo B. Silva and   
           Wagner Barreto-Souza   Flexible and Robust Mixed Poisson
                                  INGARCH Models . . . . . . . . . . . . . 788--814
                Yuichi Goto and   
             Masanobu Taniguchi   Robustness of Zero Crossing Estimator    815--830
                 Ting Zhang and   
             Liliya Lavitas and   
                       Qiao Pan   Asymptotic Behavior of Optimal Weighting
                                  in Generalized Self-Normalization for
                                  Time Series  . . . . . . . . . . . . . . 831--851
              Joakim Westerlund   On Estimation and Inference in
                                  Heterogeneous Panel Regressions with
                                  Interactive Effects  . . . . . . . . . . 852--857
                   Yannick Hoga   Extending the Limits of Backtesting via
                                  the `Vanishing $p$'-Approach . . . . . . 858--866

Journal of Time Series Analysis
Volume 40, Number 6, November, 2019

                      Anonymous   Issue Information  . . . . . . . . . . . 867--868
         Marcus J. Chambers and   
              Peter A. Zadrozny   Econometric Modelling with Mixed
                                  Frequency and Temporally Aggregated Data 869--871
Tomás del Barrio Castro and   
      Paulo M. M. Rodrigues and   
            A. M. Robert Taylor   Temporal Aggregation of Seasonally
                                  Near-Integrated Processes  . . . . . . . 872--886
             Marcus J. Chambers   Frequency Domain Estimation of
                                  Continuous Time Cointegrated Models with
                                  Mixed Frequency and Mixed Sample Data    887--913
        Thomas B. Götz and   
                  Alain W. Hecq   Granger Causality Testing in
                                  Mixed-Frequency VARs with Possibly
                                  (Co)Integrated Processes . . . . . . . . 914--935
                J. Isaac Miller   Testing Cointegrating Relationships
                                  Using Irregular and Non-Contemporaneous
                                  Series with an Application to
                                  Paleoclimate Data  . . . . . . . . . . . 936--950
            Michael A. Thornton   Exact Discrete Representations of Linear
                                  Continuous Time Models with Mixed
                                  Frequency Data . . . . . . . . . . . . . 951--967
          Peter A. Zadrozny and   
                   Baoline Chen   Weighted-Covariance Factor Decomposition
                                  of Varma Models Applied to Forecasting
                                  Quarterly U.S. Real GDP at Monthly
                                  Intervals  . . . . . . . . . . . . . . . 968--986


Journal of Time Series Analysis
Volume 41, Number 1, January, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
                 Tingyi Zhu and   
            Dimitris N. Politis   Higher-Order Accurate Spectral Density
                                  Estimation of Functional Time Series . . 3--20
               Qianqian Zhu and   
               Ruochen Zeng and   
                     Guodong Li   Bootstrap Inference for Garch Models by
                                  the Least Absolute Deviation Estimation  21--40
                Uwe Hassler and   
          Mehdi Hosseinkouchack   Harmonically Weighted Processes  . . . . 41--66
              Donald S. Poskitt   On Singular Spectrum Analysis And
                                  Stepwise Time Series Reconstruction  . . 67--94
                    Hao Sun and   
                          Bo Yu   Volatility asymmetry in functional
                                  threshold GARCH model  . . . . . . . . . 95--109
            Carsten Jentsch and   
                Anne Leucht and   
                Marco Meyer and   
                 Carina Beering   Empirical Characteristic Functions-Based
                                  Estimation and Distance Correlation for
                                  Locally Stationary Processes . . . . . . 110--133
         Marcus J. Chambers and   
            A. M. Robert Taylor   Deterministic Parameter Change Models in
                                  Continuous and Discrete Time . . . . . . 134--145
                  Patrick Marsh   Properties of the Power Envelope for
                                  Tests Against Both Stationary and
                                  Explosive Alternatives: The Effect of
                                  Trends . . . . . . . . . . . . . . . . . 146--153
                    Dong Li and   
                         Ke Zhu   Inference for asymmetric exponentially
                                  weighted moving average models . . . . . 154--162
                Yaxing Yang and   
                        Dong Li   Self-Weighted Lad-Based Inference for
                                  Heavy-Tailed Continuous Threshold
                                  Autoregressive Models  . . . . . . . . . 163--172
                   Jianfeng Yao   Book Review: \booktitleLarge Covariance
                                  and Autocovariance Matrices, By Arup
                                  Bose and Monika Bhattacharjee. Published
                                  by Taylor and Francis Group, LLC, Boca
                                  Raton, London, New York, 2019. ISBN:
                                  978-1-138-30386-7 (hardback) . . . . . . 173--174

Journal of Time Series Analysis
Volume 41, Number 2, March, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . 175--176
    Sondre Hòlleland and   
           Hans Arnfinn Karlsen   A Stationary Spatio-Temporal GARCH Model 177--209
                  Jan Beran and   
                Sucharita Ghosh   Estimating the Mean Direction of
                                  Strongly Dependent Circular Time Series  210--228
                    Yan Liu and   
                  Yujie Xue and   
             Masanobu Taniguchi   Robust Linear Interpolation and
                                  Extrapolation of Stationary Time Series
                                  in $ L^p $ . . . . . . . . . . . . . . . 229--248
                   Milena Hoyos   Mixed First- and Second-Order
                                  Cointegrated Continuous Time Models with
                                  Mixed Stock and Flow Data  . . . . . . . 249--267
         Stefanos Kechagias and   
                 Vladas Pipiras   Modeling bivariate long-range dependence
                                  with general phase . . . . . . . . . . . 268--292
             Jari Miettinen and   
          Markus Matilainen and   
           Klaus Nordhausen and   
                  Sara Taskinen   Extracting Conditionally Heteroskedastic
                                  Components using Independent Component
                                  Analysis . . . . . . . . . . . . . . . . 293--311
               Zhelin Huang and   
                 Ngai Hang Chan   Walsh Fourier Transform of Locally
                                  Stationary Time Series . . . . . . . . . 312--340
          Stelios Arvanitis and   
               Sofia Anyfantaki   On the limit theory of the Gaussian
                                  SQMLE in the EGARCH(1,1) model . . . . . 341--350
                     Jon Michel   The Limiting Distribution of a
                                  Non-Stationary Integer Valued GARCH(1,1)
                                  Process  . . . . . . . . . . . . . . . . 351--356
           Emma M. Iglesias and   
           Garry D. A. Phillips   Further Results on Pseudo-Maximum
                                  Likelihood Estimation and Testing in the
                                  Constant Elasticity of Variance
                                  Continuous Time Model  . . . . . . . . . 357--364

Journal of Time Series Analysis
Volume 41, Number 3, May, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . 365--366
                   Degui Li and   
          Jiraroj Tosasukul and   
                  Wenyang Zhang   Nonlinear Factor-Augmented Predictive
                                  Regression Models with Functional
                                  Coefficients . . . . . . . . . . . . . . 367--386
                        Qian Li   Location Multiplicative Error Models
                                  with Quasi Maximum Likelihood Estimation 387--405
                 Soumya Das and   
                 Marc G. Genton   On the Stationary Marginal Distributions
                                  of Subclasses of Multivariate SETAR
                                  Processes of Order One . . . . . . . . . 406--420
                 Mihyun Kim and   
                 Piotr Kokoszka   Consistency of the Hill Estimator for
                                  Time Series Observed with Measurement
                                  Errors . . . . . . . . . . . . . . . . . 421--435
        Kimberly F. Sellers and   
            Stephen J. Peng and   
                       Ali Arab   A Flexible Univariate Autoregressive
                                  Time-Series Model for Dispersed Count
                                  Data . . . . . . . . . . . . . . . . . . 436--453
        Aleksandra Grzesiek and   
            Grzegorz Sikora and   
              Marek Teuerle and   
        Agnieszka Wy\loma\'nska   Spatio-Temporal Dependence Measures for
                                  Bivariate AR(1) Models with $ \alpha
                                  $-Stable Noise . . . . . . . . . . . . . 454--475
                    Dong Li and   
                    Jiaming Qiu   The Marginal Density of a TMA(1) Process 476--484
                  Matthew Nunes   Book Review: \booktitleTime Series: a
                                  Data Analysis Approach Using R By Robert
                                  H. Shumway and David S. Stoffer.
                                  Published by Taylor and Francis Group,
                                  LLC, Boca Raton, London, New York, 2019.
                                  ISBN: 978-0-367-22109-6 (Hardback) . . . 485--486

Journal of Time Series Analysis
Volume 41, Number 4, July, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . 487--488
                  Robert Taylor   Editorial Announcement:
                                  \booktitleJournal of Time Series
                                  Analysis Distinguished Authors . . . . . 489--490
                      Anonymous   Publish your next paper open access in
                                  \booktitleJournal of Time Series
                                  Analysis . . . . . . . . . . . . . . . . 491--491
                    Yan Sun and   
              Guanghua Lian and   
                    Zudi Lu and   
          Jennifer Loveland and   
               Isaac Blackhurst   Modeling the Variance of Return
                                  Intervals Toward Volatility Prediction   492--519
           Remigijus Leipus and   
              Anne Philippe and   
      Vytaute Pilipauskaite and   
              Donatas Surgailis   Estimating Long Memory in Panel
                                  Random-Coefficient AR(1) Data  . . . . . 520--535
                Xuexin Wang and   
                     Yixiao Sun   An Asymptotic $F$ Test for
                                  Uncorrelatedness in the Presence of Time
                                  Series Dependence  . . . . . . . . . . . 536--550
             Yuanyuan Zhang and   
                   Rong Liu and   
                   Qin Shao and   
                    Lijian Yang   Two-Step Estimation for Time Varying
                                  Arch Models  . . . . . . . . . . . . . . 551--570
        Dimitrios Pilavakis and   
     Efstathios Paparoditis and   
            Theofanis Sapatinas   Testing equality of autocovariance
                                  operators for functional time series . . 571--589
           Valerie Girardin and   
                Rachid Senoussi   Filling the gap between Continuous and
                                  Discrete Time Dynamics of Autoregressive
                                  Processes  . . . . . . . . . . . . . . . 590--602

Journal of Time Series Analysis
Volume 41, Number 5, September, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . 603--604
                 Zaichao Du and   
                        Pei Pei   Backtesting portfolio value-at-risk with
                                  estimated portfolio weights  . . . . . . 605--619
       Vicky Fasen-Hartmann and   
               Sebastian Kimmig   Robust estimation of stationary
                                  continuous-time ARMA models via indirect
                                  inference  . . . . . . . . . . . . . . . 620--651
                 Sam Efromovich   Missing not at random and the
                                  nonparametric estimation of the spectral
                                  density  . . . . . . . . . . . . . . . . 652--675
          Mohitosh Kejriwal and   
                  Xuewen Yu and   
                  Pierre Perron   Bootstrap procedures for detecting
                                  multiple persistence shifts in
                                  heteroskedastic time series  . . . . . . 676--690
             Tevfik Aktekin and   
         Nicholas G. Polson and   
                    Refik Soyer   A family of multivariate non-Gaussian
                                  time series models . . . . . . . . . . . 691--721
                  Qiang Xia and   
             Zhiqiang Zhang and   
                   Wai Keung Li   A Portmanteau Test for Smooth Transition
                                  Autoregressive Models  . . . . . . . . . 722--730

Journal of Time Series Analysis
Volume 41, Number 6, November, 2020

                      Anonymous   Issue Information  . . . . . . . . . . . 731--732
               Gregory Rice and   
              Tony Wirjanto and   
                    Yuqian Zhao   Tests for conditional heteroscedasticity
                                  of functional data . . . . . . . . . . . 733--758
                Wenjie Zhao and   
                   Raquel Prado   Efficient Bayesian PARCOR approaches for
                                  dynamic modeling of multivariate time
                                  series . . . . . . . . . . . . . . . . . 759--784
        Aleksandra Grzesiek and   
              Prashant Giri and   
                  S. Sundar and   
         Agnieszka WyLoma\'nska   Measures of Cross-Dependence for
                                  Bidimensional Periodic AR(1) Model with
                                  $ \alpha $-Stable Distribution . . . . . 785--807
         Masanobu Taniguchi and   
                 Shogo Kato and   
              Hiroaki Ogata and   
                  Arthur Pewsey   Models for circular data from time
                                  series spectra . . . . . . . . . . . . . 808--829
                Moizes Melo and   
                Airlane Alencar   Conway--Maxwell--Poisson Autoregressive
                                  Moving Average Model for Equidispersed,
                                  Underdispersed, and Overdispersed Count
                                  Data . . . . . . . . . . . . . . . . . . 830--857
  Tomás Rubín and   
            Victor M. Panaretos   Functional lagged regression with sparse
                                  noisy observations . . . . . . . . . . . 858--882
                  Huan Gong and   
                        Dong Li   On the three-step non-Gaussian
                                  quasi-maximum likelihood estimation of
                                  heavy-tailed double autoregressive
                                  models . . . . . . . . . . . . . . . . . 883--891
              Ovidijus Stauskas   On the limit theory of mixed to unity
                                  VARs: Panel setting with weakly
                                  dependent errors . . . . . . . . . . . . 892--898
                 Paul D. Feigin   Correction to: Random Coefficient
                                  Autoregressive Processes: a Markov Chain
                                  Analysis of Stationarity and Finiteness
                                  of Moments by Paul D. Feigin and Richard
                                  L. Tweedie J. Time Series Anal., Vol. 6,
                                  No. 1 (1985) . . . . . . . . . . . . . . 899--900


Journal of Time Series Analysis
Volume 42, Number 1, January, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
                  Robert Taylor   Editorial announcement:
                                  \booktitleJournal of Time Series
                                  Analysis Distinguished Authors 2020  . . 3--3
                   Kun Chen and   
                      Rui Huang   Robust empirical likelihood for time
                                  series . . . . . . . . . . . . . . . . . 4--18
         Florencia Leonardi and   
Matías Lopez-Rosenfeld and   
          Daniela Rodriguez and   
       Magno T. F. Severino and   
                   Mariela Sued   Independent block identification in
                                  multivariate time series . . . . . . . . 19--33
           Carina Gerstenberger   Robust discrimination between long-range
                                  dependence and a change in mean  . . . . 34--62
         Josua Gösmann and   
                Tobias Kley and   
                   Holger Dette   A new approach for open-end sequential
                                  change point monitoring  . . . . . . . . 63--84
                      Sven Otto   Unit root testing with slowly varying
                                  trends . . . . . . . . . . . . . . . . . 85--106
               Paul Doukhan and   
      Konstantinos Fokianos and   
              Joseph Rynkiewicz   Mixtures of Nonlinear Poisson
                                  Autoregressions  . . . . . . . . . . . . 107--135

Journal of Time Series Analysis
Volume 42, Number 2, March, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 137--138
                  Robert Taylor   Editorial Announcement . . . . . . . . . 139--139
                Randal Douc and   
     François Roueff and   
                    Tepmony Sim   Necessary and sufficient conditions for
                                  the identifiability of
                                  observation-driven models  . . . . . . . 140--160
            Vitalii Makogin and   
              Marco Oesting and   
                Albert Rapp and   
                Evgeny Spodarev   Long range dependence for stable random
                                  processes  . . . . . . . . . . . . . . . 161--185
                  Chen Gong and   
               David S. Stoffer   A Note on Efficient Fitting of
                                  Stochastic Volatility Models . . . . . . 186--200
               Jonas Krampe and   
             Timothy L. McMurry   Estimating Wold matrices and vector
                                  moving average processes . . . . . . . . 201--221
                    Mo Zhou and   
                 Liang Peng and   
                  Rongmao Zhang   Empirical likelihood test for the
                                  application of SWQMELE in fitting an
                                  ARMA--GARCH model  . . . . . . . . . . . 222--239
                   Yifan Li and   
                        Yao Rao   A simple nearly unbiased estimator of
                                  cross-covariances  . . . . . . . . . . . 240--266
                      Anonymous   Correction to: Quasi-Bayesian Estimation
                                  of Time-Varying Volatility in DSGE
                                  Models by Katerina Petrova J. Time
                                  Series Anal, Vol. 40, No. 1 (2019) . . . 267--267

Journal of Time Series Analysis
Volume 42, Number 3, May, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 269--270
                Manabu Asai and   
                  Mike K. P. So   Quasi-maximum likelihood estimation of
                                  conditional autoregressive Wishart
                                  models . . . . . . . . . . . . . . . . . 271--294
     Siegfried Hörmann and   
                   Gilles Nisol   Prediction of Singular VARs and an
                                  Application to Generalized Dynamic
                                  Factor Models  . . . . . . . . . . . . . 295--313
                  Eiji Kurozumi   Asymptotic Behavior of Delay Times of
                                  Bubble Monitoring Tests  . . . . . . . . 314--337
Morten Òrregaard Nielsen and   
           Antoine L. Noël   To infinity and beyond: Efficient
                                  computation of ARCH($ \infty $) models   338--354
            Adrian Pizzinga and   
              Marcelo Fernandes   Extensions to the invariance property of
                                  maximum likelihood estimation for
                                  affine-transformed state-space models    355--371
                   Weining Wang   Book Review: \booktitleStatistical
                                  foundations of data science, by Jianqing
                                  Fan, Runze Li, Chun-Hui Zhang, Hui Zou.
                                  Published by Taylor and Francis Group.
                                  Total number of pages: 729. ISBN:
                                  978-1-466-51084-5  . . . . . . . . . . . 372--373

Journal of Time Series Analysis
Volume 42, Number 4, July, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 375--376
     Paulo M. D. C. Parente and   
               Richard J. Smith   Quasi-maximum likelihood and the kernel
                                  block bootstrap for nonlinear dynamic
                                  models . . . . . . . . . . . . . . . . . 377--405
               Lixiong Yang and   
               Chingnun Lee and   
                      I-Po Chen   Threshold model with a time-varying
                                  threshold based on Fourier approximation 406--430
             Bernd Funovits and   
             Alexander Braumann   Identifiability of structural singular
                                  vector autoregressive models . . . . . . 431--441
           Paul L. Anderson and   
            Farzad Sabzikar and   
            Mark M. Meerschaert   Parsimonious time series modeling for
                                  high frequency climate data  . . . . . . 442--470
                     Nan Li and   
                  Simon S. Kwok   Jointly determining the state dimension
                                  and lag order for Markov-switching
                                  vector autoregressive models . . . . . . 471--491
          George Kapetanios and   
            Fotis Papailias and   
            A. M. Robert Taylor   Corrigendum to ``A Generalised
                                  Fractional Differencing Bootstrap for
                                  Long Memory Processes'' Journal of Time
                                  Series Analysis \bf 40: 467--492 (2019)
                                  DOI: 10.1111/jtsa.12460  . . . . . . . . 492--492

Journal of Time Series Analysis
Volume 42, Number 5-6, September, 2021

                      Anonymous   Issue Information  . . . . . . . . . . . 493--494
         Richard C. Bradley and   
           Richard A. Davis and   
            Dimitris N. Politis   Preface to the Murray Rosenblatt
                                  memorial special issue of \booktitleJTSA 495--498
             Richard C. Bradley   On some basic features of strictly
                                  stationary, reversible Markov chains . . 499--533
         Alexander Braumann and   
          Jens-Peter Kreiss and   
                    Marco Meyer   Simultaneous inference for
                                  autocovariances based on autoregressive
                                  sieve bootstrap  . . . . . . . . . . . . 534--553
               Jonas Krampe and   
         Efstathios Paparoditis   Sparsity concepts and estimation
                                  procedures for high-dimensional vector
                                  autoregressive models  . . . . . . . . . 554--579
                 Jiang Wang and   
            Dimitris N. Politis   Consistent autoregressive spectral
                                  estimates: Nonlinear time series and
                                  large autocovariance matrices  . . . . . 580--596
                 Sourav Das and   
         Suhasini Subba Rao and   
                     Junho Yang   Spectral methods for small sample time
                                  series: a complete periodogram approach  597--621
         Nikolay M. Babayan and   
        Mamikon S. Ginovyan and   
                 Murad S. Taqqu   Extensions of Rosenblatt's results on
                                  the asymptotic behavior of the
                                  prediction error for deterministic
                                  stationary sequences . . . . . . . . . . 622--652
           Richard A. Davis and   
 Thiago do Rêgo Sousa and   
       Claudia Klüppelberg   Indirect inference for time series using
                                  the empirical characteristic function
                                  and control variates . . . . . . . . . . 653--684
                   Degui Li and   
          Peter M. Robinson and   
                  Han Lin Shang   Local Whittle estimation of long-range
                                  dependence for functional time series    685--695
            Timothy Fortune and   
             Magda Peligrad and   
                    Hailin Sang   A local limit theorem for linear random
                                  fields . . . . . . . . . . . . . . . . . 696--710
        Rodrigo Saul Gaitan and   
                   Keh-Shin Lii   On the Estimation of Periodicity or
                                  Almost Periodicity in Inhomogeneous
                                  Gamma Point-Process Data . . . . . . . . 711--736
                 Xiaofei Hu and   
                   Beth Andrews   Integer-valued asymmetric GARCH modeling 737--751
        Ekaterina Smetanina and   
                    Wei Biao Wu   Asymptotic theory for QMLE for the
                                  real-time GARCH(1,1) model . . . . . . . 752--776
         Peter J. Brockwell and   
              Alexander Lindner   Aspects of non-causal and non-invertible
                                  CARMA processes  . . . . . . . . . . . . 777--790


Journal of Time Series Analysis
Volume 43, Number 1, January, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
                  Robert Taylor   Editorial Announcement: Professor
                                  Michael McAleer [obituary] . . . . . . . 3--3
                  Robert Taylor   Editorial Announcement:
                                  \booktitleJournal of Time Series
                                  Analysis Distinguished Authors 2021  . . 4--4
        Abdelhakim Aknouche and   
          Bader Almohaimeed and   
       Stefanos Dimitrakopoulos   Periodic autoregressive conditional
                                  duration . . . . . . . . . . . . . . . . 5--29
                 Chao Zhang and   
             Piotr Kokoszka and   
             Alexander Petersen   Wasserstein autoregressive models for
                                  density time series  . . . . . . . . . . 30--52
                Yuping Song and   
                 Weijie Hou and   
                   Zhengyan Lin   Double Smoothed Volatility Estimation of
                                  Potentially Non-stationary
                                  Jump-diffusion Model of Shibor . . . . . 53--82
             Karsten Schweikert   Oracle Efficient Estimation of
                                  Structural Breaks in Cointegrating
                                  Regressions  . . . . . . . . . . . . . . 83--104
                Dohyun Chun and   
                    Donggyu Kim   State Heterogeneity Analysis of
                                  Financial Volatility using
                                  high-frequency Financial Data  . . . . . 105--124
              Tingguo Zheng and   
                   Han Xiao and   
                      Rong Chen   Generalized autoregressive moving
                                  average models with GARCH errors . . . . 125--146
  Víctor Peña and   
                     Kaoru Irie   On the Relationship between Uhlig
                                  Extended and beta-Bartlett Processes . . 147--153
         Efstathios Paparoditis   Review of the book \booktitleStochastic
                                  Models for Time Series by Paul Doukhan   154--154

Journal of Time Series Analysis
Volume 43, Number 2, March, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 155--156
             Matthew Heiner and   
              Athanasios Kottas   Autoregressive density modeling with the
                                  Gaussian process mixture transition
                                  distribution . . . . . . . . . . . . . . 157--177
            Anders Rygh Swensen   On causal and non-causal cointegrated
                                  vector autoregressive time series  . . . 178--196
              Atefeh Zamani and   
            Hossein Haghbin and   
             Maryam Hashemi and   
                 Rob J. Hyndman   Seasonal functional autoregressive
                                  models . . . . . . . . . . . . . . . . . 197--218
          Mohitosh Kejriwal and   
              Pierre Perron and   
                      Xuewen Yu   A two-step procedure for testing partial
                                  parameter stability in cointegrated
                                  regression models  . . . . . . . . . . . 219--237
            Danijel Krizmani\'c   Maxima of linear processes with
                                  heavy-tailed innovations and random
                                  coefficients . . . . . . . . . . . . . . 238--262
          Tamás Szabados   Regular multidimensional stationary time
                                  series . . . . . . . . . . . . . . . . . 263--284
            Carsten Jentsch and   
                 Lena Reichmann   Generalized binary vector autoregressive
                                  processes  . . . . . . . . . . . . . . . 285--311
       Adriano Zanin Zambom and   
                Seonjin Kim and   
             Nancy Lopes Garcia   Variable length Markov chain with
                                  exogenous covariates . . . . . . . . . . 312--328
           Matei Demetrescu and   
          Mehdi Hosseinkouchack   Autoregressive spectral estimates under
                                  ignored changes in the mean  . . . . . . 329--340
                  Alexander Aue   Book Review: \booktitleTime Series: a
                                  First Course with Bootstrap Starter, by
                                  McElroy, Tucker S. and Politis, Dimitris
                                  N.. Published by CRC Press, 2020. 586
                                  pp. ISBN: 978-1-4398-7651-0  . . . . . . 341--342

Journal of Time Series Analysis
Volume 43, Number 3, May, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 343--344
               Huiling Yuan and   
                  Yulei Sun and   
                      Lu Xu and   
                  Yong Zhou and   
                    Xiangyu Cui   A new volatility model: GQARCH--Itô model 345--370
                Songhua Tan and   
                   Qianqian Zhu   Asymmetric linear double autoregression  371--388
              Pierre Perron and   
                 Yohei Yamamoto   Structural change tests under
                                  heteroskedasticity: Joint estimation
                                  versus two-steps methods . . . . . . . . 389--411
Tomás del Barrio Castro and   
           Gianluca Cubadda and   
               Denise R. Osborn   On cointegration for processes
                                  integrated at different frequencies  . . 412--435
        Abdelhakim Aknouche and   
               Christian Francq   Stationarity and ergodicity of Markov
                                  switching positive conditional mean
                                  models . . . . . . . . . . . . . . . . . 436--459
                 Mengya Liu and   
                 Fukang Zhu and   
                         Ke Zhu   Modeling normalcy-dominant ordinal time
                                  series: an application to air quality
                                  level  . . . . . . . . . . . . . . . . . 460--478
           Neslihan Sakarya and   
              Robert M. de Jong   The spectral analysis of the
                                  Hodrick-Prescott filter  . . . . . . . . 479--489
                     Yue Xu and   
                     Fukang Zhu   A new GJR--GARCH model for $Z$-valued
                                  time series  . . . . . . . . . . . . . . 490--500
          Joakim Westerlund and   
              Milda Norkute and   
              Ovidijus Stauskas   The factor analytical approach in
                                  trending near unit root panels . . . . . 501--508

Journal of Time Series Analysis
Volume 43, Number 4, July, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 509--510
             Ngai Hang Chan and   
                 Linhao Gao and   
                 Wilfredo Palma   Simultaneous variable selection and
                                  structural identification for
                                  time-varying coefficient models  . . . . 511--531
          Ricardo P. Masini and   
        Marcelo C. Medeiros and   
              Eduardo F. Mendes   Regularized estimation of
                                  high-dimensional vector autoregressions
                                  with weakly dependent innovations  . . . 532--557
                Francesco Bravo   Misspecified semiparametric model
                                  selection with weakly dependent
                                  observations . . . . . . . . . . . . . . 558--586
             Sayar Karmakar and   
         Marek Chudý and   
                    Wei Biao Wu   Long-term prediction intervals with many
                                  covariates . . . . . . . . . . . . . . . 587--609
                 Yanfeng Wu and   
               Jianqiang Hu and   
                   Xiangyu Yang   Moment estimators for parameters of
                                  Lévy-driven Ornstein--Uhlenbeck processes 610--639
                Donggyu Kim and   
                 Minseog Oh and   
                    Yazhen Wang   Conditional quantile analysis for
                                  realized GARCH models  . . . . . . . . . 640--665

Journal of Time Series Analysis
Volume 43, Number 5, September, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 667--668
              Guangying Liu and   
                 Meiyao Liu and   
                    Jinguan Lin   Testing the volatility jumps based on
                                  the high frequency data  . . . . . . . . 669--694
                 Guili Liao and   
                 Qimeng Liu and   
              Rongmao Zhang and   
                  Shifang Zhang   Rank test of unit-root hypothesis with
                                  AR-GARCH errors  . . . . . . . . . . . . 695--719
                Alexander Mayer   Estimation and inference in adaptive
                                  learning models with slowly decreasing
                                  gains  . . . . . . . . . . . . . . . . . 720--749
       Sebastian Mentemeier and   
           Olivier Wintenberger   Asymptotic independence ex machina:
                                  Extreme value theory for the diagonal
                                  SRE model  . . . . . . . . . . . . . . . 750--780
           Joseph P. Romano and   
               Marius A. Tirlea   Permutation testing for dependence in
                                  time series  . . . . . . . . . . . . . . 781--807
         Evangelos E. Ioannidis   A new non-parametric cross-spectrum
                                  estimator  . . . . . . . . . . . . . . . 808--827
            Razvan Pascalau and   
                 Junsoo Lee and   
            Saban Nazlioglu and   
                Yan (Olivia) Lu   Johansen-type cointegration tests with a
                                  Fourier function . . . . . . . . . . . . 828--852

Journal of Time Series Analysis
Volume 43, Number 6, November, 2022

                      Anonymous   Issue Information  . . . . . . . . . . . 853--854
                      Anonymous   New associate editors  . . . . . . . . . 855--855
                Erhua Zhang and   
               Xiaojun Song and   
                       Jilin Wu   A non-parametric test for multi-variate
                                  trend functions  . . . . . . . . . . . . 856--871
       Lajos Horváth and   
             Piotr Kokoszka and   
          Jeremy VanderDoes and   
                   Shixuan Wang   Inference in functional factor models
                                  with applications to yield curves  . . . 872--894
          Euan T. McGonigle and   
            Rebecca Killick and   
               Matthew A. Nunes   Trend locally stationary wavelet
                                  processes  . . . . . . . . . . . . . . . 895--917
                  Benny Ren and   
                    Ian Barnett   Autoregressive mixture models for
                                  clustering time series . . . . . . . . . 918--937
              Xuanling Yang and   
                        Dong Li   Estimation of the empirical risk-return
                                  relation: a generalized-risk-in-mean
                                  model  . . . . . . . . . . . . . . . . . 938--963
Yacouba Boubacar Ma\"\inassara and   
             Othman Kadmiri and   
               Bruno Saussereau   Portmanteau test for a class of
                                  multivariate asymmetric power GARCH
                                  model  . . . . . . . . . . . . . . . . . 964--1002


Journal of Time Series Analysis
Volume 44, Number 1, January, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
                  Robert Taylor   Editorial Announcement:
                                  \booktitleJournal of Time Series
                                  Analysis Distinguished Authors 2022  . . 3--3
          Benjamin Poignard and   
                    Manabu Asai   High-dimensional sparse multivariate
                                  stochastic volatility models . . . . . . 4--22
         Suhasini Subba Rao and   
                     Junho Yang   A prediction perspective on the
                                  Wiener--Hopf equations for time series   23--42
               Tommaso Proietti   Peaks, gaps, and time-reversibility of
                                  economic time series . . . . . . . . . . 43--68
      Cleiton Guollo Taufemback   Non-parametric short- and long-run
                                  Granger causality testing in the
                                  frequency domain . . . . . . . . . . . . 69--92
                Jiajie Kong and   
                    Robert Lund   Seasonal count time series . . . . . . . 93--124
     Raanju R. Sundararajan and   
           Wagner Barreto-Souza   Student-$t$ stochastic volatility model
                                  with composite likelihood EM-algorithm   125--147

Journal of Time Series Analysis
Volume 44, Number 2, March, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 149--150
       Christian Gourieroux and   
                   Joann Jasiak   Dynamic deconvolution and identification
                                  of independent autoregressive sources    151--180
            David I. Harvey and   
       Stephen J. Leybourne and   
                        Yang Zu   Estimation of the variance function in
                                  structural break autoregressive models
                                  with non-stationary and explosive
                                  segments . . . . . . . . . . . . . . . . 181--205
   Luiza S. C. Piancastelli and   
       Wagner Barreto-Souza and   
                 Hernando Ombao   Flexible bivariate INGARCH process with
                                  a broad range of contemporaneous
                                  correlation  . . . . . . . . . . . . . . 206--222
           Dominik Bertsche and   
       Ralf Brüggemann and   
               Christian Kascha   Directed graphs and variable selection
                                  in large vector autoregressive models    223--246
                 Xiaofei Xu and   
                    Yan Liu and   
             Masanobu Taniguchi   Higher-order asymptotics of minimax
                                  estimators for time series . . . . . . . 247--257

Journal of Time Series Analysis
Volume 44, Number 3, May, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 259--260
                      Anonymous   Editorial announcement . . . . . . . . . 261--261
                Donggyu Kim and   
                   Minseok Shin   Volatility models for stylized facts of
                                  high-frequency financial data  . . . . . 262--279
            Farzad Sabzikar and   
                 Piotr Kokoszka   Tempered functional time series  . . . . 280--293
                      Jose Olmo   A nonparametric predictive regression
                                  model using partitioning estimators
                                  based on Taylor expansions . . . . . . . 294--318
          Christos Merkatas and   
          Simo Särkkä   System identification using
                                  autoregressive Bayesian neural networks
                                  with nonparametric noise models  . . . . 319--330
          Tamás Szabados   Corrigendum to the article ``Regular
                                  multidimensional stationary time
                                  series'' . . . . . . . . . . . . . . . . 331--332

Journal of Time Series Analysis
Volume 44, Number 4, July, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 333--334
                  Robert Taylor   Editorial announcement . . . . . . . . . 335--335
            Torben Andersen and   
            Kim Christensen and   
                   Ingmar Nolte   Announcement: Call for Papers for
                                  Special Issue in Honour of Stephen J.
                                  Taylor . . . . . . . . . . . . . . . . . 336--336
          Harry Pavlopoulos and   
                 George Chronis   On highly skewed fractional log-stable
                                  noise sequences and their application    337--358
              Eiji Kurozumi and   
                Anton Skrobotov   On the asymptotic behavior of bubble
                                  date estimators  . . . . . . . . . . . . 359--373
              Andrew Harvey and   
                  Dario Palumbo   Regime switching models for circular and
                                  linear time series . . . . . . . . . . . 374--392
        Abdelhakim Aknouche and   
       Stefanos Dimitrakopoulos   Autoregressive conditional proportion: a
                                  multiplicative-error model for $ (0,
                                  1)$-valued time series . . . . . . . . . 393--417
                 Xiaoyan Li and   
                 Jiazhu Pan and   
                    Anchao Song   Geometric ergodicity and conditional
                                  self-weighted $M$-estimator of a
                                  GRCAR($p$) model with heavy-tailed
                                  errors . . . . . . . . . . . . . . . . . 418--436

Journal of Time Series Analysis
Volume 44, Number 5-6, September, 2023

                      Anonymous   Issue Information  . . . . . . . . . . . 437--438
                  Robert Taylor   Editorial Announcement . . . . . . . . . 439--439
                Marc Hallin and   
         Yoshihide Kakizawa and   
                      Hira Koul   Special Issue of the \booktitleJournal
                                  of Time Series Analysis in Honor of
                                  Professor Masanobu Taniguchi . . . . . . 440--441
       Monika Bhattacharjee and   
       Nilanjan Chakraborty and   
                   Hira L. Koul   Weighted $ l_1$-Penalized Corrected
                                  Quantile Regression for High-Dimensional
                                  Temporally Dependent Measurement Errors  442--473
                   Shan Dai and   
                 Ngai Hang Chan   Testing of Constant Parameters for
                                  Semi-Parametric Functional Coefficient
                                  Models with Integrated Covariates  . . . 474--486
           Richard A. Davis and   
             Leon Fernandes and   
          Konstantinos Fokianos   Clustering multivariate time series
                                  using energy distance  . . . . . . . . . 487--504
               Holger Dette and   
                   Pascal Quanz   Detecting relevant changes in the
                                  spatiotemporal mean function . . . . . . 505--532
           Christian Francq and   
         Jean-Michel Zako\"\ian   Optimal estimating function for weak
                                  location-scale dynamic models  . . . . . 533--555
            Liudas Giraitis and   
                 Fulvia Marotta   Estimation on unevenly spaced time
                                  series . . . . . . . . . . . . . . . . . 556--577
                Marc Hallin and   
               Gilles Nisol and   
                Shahin Tavakoli   Factor models for high-dimensional
                                  functional time series I: Representation
                                  results  . . . . . . . . . . . . . . . . 578--600
            Shahin Tavakoli and   
               Gilles Nisol and   
                    Marc Hallin   Factor models for high-dimensional
                                  functional time series II: Estimation
                                  and forecasting  . . . . . . . . . . . . 601--621
               Nan-Jung Hsu and   
               Lai Heng Sim and   
                   Ruey S. Tsay   Testing for symmetric correlation
                                  matrices with applications to factor
                                  models . . . . . . . . . . . . . . . . . 622--643
               Sangyeol Lee and   
                    Minyoung Jo   Bivariate random coefficient
                                  integer-valued autoregressive models:
                                  Parameter estimation and change point
                                  test . . . . . . . . . . . . . . . . . . 644--666
         Daniel Peña and   
                   Ruey S. Tsay   A testing approach to clustering scalar
                                  time series  . . . . . . . . . . . . . . 667--685
       Dag Tjòstheim and   
              Martin Jullum and   
           Anders Lòland   Some recent trends in embeddings of time
                                  series and dynamic networks  . . . . . . 686--709


Journal of Time Series Analysis
Volume 45, Number 1, January, 2024

                      Anonymous   Issue Information  . . . . . . . . . . . 1--2
                  Robert Taylor   Editorial announcement:
                                  \booktitleJournal of Time Series
                                  Analysis Distinguished Authors 2023  . . 3--3
        Abdelhakim Aknouche and   
               Manuel G. Scotto   A multiplicative thinning-based
                                  integer-valued GARCH model . . . . . . . 4--26
                Mark Holmes and   
           Ivan Kojadinovic and   
                Alex Verhoijsen   Multi-purpose open-end monitoring
                                  procedures for multivariate observations
                                  based on the empirical distribution
                                  function . . . . . . . . . . . . . . . . 27--56
                   Milena Hoyos   A first order continuous time VAR with
                                  random coefficients  . . . . . . . . . . 57--77
                  Jiaqi Xia and   
                    Yu Chen and   
                       Xiao Guo   Inference for high-dimensional linear
                                  models with locally stationary error
                                  processes  . . . . . . . . . . . . . . . 78--102
               Jean-Marc Bardet   A new estimator for LARCH processes  . . 103--132
             Mikihito Nishi and   
                  Eiji Kurozumi   Stochastic local and moderate departures
                                  from a unit root and its application to
                                  unit root testing  . . . . . . . . . . . 133--157
             Tetsuya Takabatake   Corrigendum: Error bounds and asymptotic
                                  expansions for Toeplitz product
                                  functionals of unbounded spectra . . . . 158--160

Journal of Time Series Analysis
Volume 45, Number 2, March, 2024

                      Anonymous   Issue Information  . . . . . . . . . . . 161--162
                  Robert Taylor   Call for Papers: Special Issue on Recent
                                  Developments in Time Series Methods for
                                  Detecting Bubbles and Crashes  . . . . . 163--163
  Y. Boubacar Ma\"\inassara and   
                   A. Ilmi Amir   Portmanteau tests for periodic ARMA
                                  models with dependent errors . . . . . . 164--188
                       Tao Wang   Nonlinear kernel mode-based regression
                                  for dependent data . . . . . . . . . . . 189--213
                       Yifan Li   Correcting the bias of the sample
                                  cross-covariance estimator . . . . . . . 214--247
      Sòren Johansen and   
            Anders Rygh Swensen   Adjustment coefficients and exact
                                  rational expectations in cointegrated
                                  vector autoregressive models . . . . . . 248--268
                  Lin Zhang and   
                  Harry Joe and   
                  Natalia Nolde   Margin-closed vector autoregressive time
                                  series models  . . . . . . . . . . . . . 269--297
            Simos Meintanis and   
         Bojana Milosevi\'c and   
          Marko Obradovi\'c and   
             Mirjana Veljovi\'c   Goodness-of-fit tests for the
                                  multivariate Student-$t$ distribution
                                  based on i.i.d. data, and for GARCH
                                  observations . . . . . . . . . . . . . . 298--319
                     Won-Ki Seo   Functional principal component analysis
                                  for cointegrated functional time series  320--330

Journal of Time Series Analysis
Volume 45, Number 3, May, 2024

                      Anonymous   Issue Information  . . . . . . . . . . . 331--332
               Weilian Zhou and   
               Soumendra Lahiri   Stationary Jackknife . . . . . . . . . . 333--360
         Andreas Anastasiou and   
                    Tobias Kley   Wasserstein distance bounds on the
                                  normal approximation of empirical
                                  autocovariances and cross-covariances
                                  under non-stationarity and stationarity  361--375
                Yuchang Lin and   
                   Qianqian Zhu   On vector linear double autoregression   376--397
                 Hong-Fan Zhang   Additive autoregressive models for
                                  matrix valued time series  . . . . . . . 398--420
              Sophie Achard and   
                 Ir\`ene Gannaz   Local Whittle estimation with
                                  (quasi-)analytic wavelets  . . . . . . . 421--443
            Neng-Fang Tseng and   
             Ying-Chao Hung and   
                   Junji Nakano   Granger causality tests based on reduced
                                  variable information . . . . . . . . . . 444--462
                Xinyu Zhang and   
                        Dong Li   Smooth transition moving average models:
                                  Estimation, testing, and computation . . 463--478
                 Haeran Cho and   
               Piotr Fryzlewicz   Multiple change point detection under
                                  serial dependence: Wild contrast
                                  maximisation and gappy Schwarz algorithm 479--494

Journal of Time Series Analysis
Volume 45, Number 4, July, 2024

                      Anonymous   Issue Information  . . . . . . . . . . . 495--496
            Changryong Baek and   
             Piotr Kokoszka and   
                 Xiangdong Meng   Test of change point versus long-range
                                  dependence in functional time series . . 497--512
                 Rong Jiang and   
               Siu Kai Choy and   
                      Keming Yu   Non-crossing quantile
                                  double-autoregression for the analysis
                                  of streaming time series data  . . . . . 513--532
               Huiling Yuan and   
                   Kexin Lu and   
                 Guodong Li and   
                    Junhui Wang   High-Frequency-Based Volatility Model
                                  with Network Structure . . . . . . . . . 533--557
                Yuping Song and   
                    Min Zhu and   
                     Jiawei Qiu   Asymptotic Normality of Bias Reduction
                                  Estimation for Jump Intensity Function
                                  in Financial Markets . . . . . . . . . . 558--583
           Mirko Armillotta and   
          Konstantinos Fokianos   Count network autoregression . . . . . . 584--612
                  Jin Yu Fu and   
               Jin Guan Lin and   
              Guangying Liu and   
                   Hong Xia Hao   Statistical inference for
                                  GQARCH--Itô-jumps model based on the
                                  realized range volatility  . . . . . . . 613--638
          Hiroshi Shiraishi and   
         Tomoshige Nakamura and   
                Ryotato Shibuki   Time Series Quantile Regression Using
                                  Random Forests . . . . . . . . . . . . . 639--659
            Vladimir Andric and   
                Sanja Nenadovic   A note on the embeddability conditions
                                  in the case of integrated $ {\rm
                                  CARMA}(2, 1) $ stochastic process with
                                  single and double zero roots . . . . . . 660--668

Journal of Time Series Analysis
Volume 45, Number 5, September, 2024

                      Anonymous   Issue Information  . . . . . . . . . . . 669--670
              Nehali Mhatre and   
                  Daniel Cooley   Transformed-Linear Models for Time
                                  Series Extremes  . . . . . . . . . . . . 671--690
               Jan Lohmeyer and   
                 Franz Palm and   
             Jean-Pierre Urbain   Consistency of averaged impulse response
                                  estimators in vector autoregressive
                                  models . . . . . . . . . . . . . . . . . 691--713
                   Shibin Zhang   Statistical analysis of irregularly
                                  spaced spatial data in frequency domain  714--738
              Laya Ghodrati and   
            Victor M. Panaretos   On distributional autoregression and
                                  iterated transportation  . . . . . . . . 739--770
         Francesco Giordano and   
            Marcella Niglio and   
           Maria Lucia Parrella   Testing Spatial Dynamic Panel Data
                                  Models with Heterogeneous Spatial and
                                  Regression Coefficients  . . . . . . . . 771--799
                   Kejin Wu and   
            Dimitris N. Politis   Bootstrap prediction inference of
                                  nonlinear autoregressive models  . . . . 800--822
                 Man Fai Ip and   
                   Kin Wai Chan   Inference in Coarsened Time Series via
                                  Generalized Method of Moments  . . . . . 823--846
               Karsten Reichold   A residual-based nonparametric variance
                                  ratio no-cointegration test  . . . . . . 847--856