Journal of Time Series Analysis

Table of Contents

Volume 25 Issue 5 (September 2004)

627-783

ORIGINAL ARTICLES

An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models

  • Author: André Klein, Guy Mélard
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01863.x (p 627-648)

A Dependence Metric for Possibly Nonlinear Processes

  • Author: C. W. Granger, E. Maasoumi, J. Racine
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01866.x (p 649-669)

Bayesian Subset Model Selection for Time Series

  • Author: N. K. Unnikrishnan
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01874.x (p 671-690)

A joint test of fractional integration and structural breaks at a known period of time

  • Author: Luis A. Gil‐Alana
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01882.x (p 691-700)

Analysis of low count time series data by poisson autoregression

  • Author: R. K. Freeland, B. P. M. McCabe
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01885.x (p 701-722)

Maximum quasi‐likelihood estimation for the near(2) model

  • Author: S. Perera
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01886.x (p 723-732)

Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra

  • Author: Offer Lieberman, Peter C. B. Phillips
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.01904.x (p 733-753)

Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification

  • Author: Tae‐Hwan Kim, Stephen Leybourne, Paul Newbold
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.02000.x (p 755-764)

Large sample properties of parameter least squares estimates for time‐varying arma models

  • Author: Christian Francq, Antony Gautier
  • Pub Online: Jul 27, 2004
  • DOI: 10.1111/j.1467-9892.2004.02003.x (p 765-783)

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