Journal of Time Series Analysis

Table of Contents

Volume 25 Issue 4 (July 2004)

443-623

ORIGINAL ARTICLES

On the closed form of the covariance matrix and its inverse of the causal ARMA process

  • Author: John N. Haddad
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01454.x (p 443-448)

Bootstrap predictive inference for ARIMA processes

  • Author: Lorenzo Pascual, Juan Romo, Esther Ruiz
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01713.x (p 449-465)

Bayesian selection of threshold autoregressive models

  • Author: Edward P. Campbell
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01726.x (p 467-482)

Estimation and testing for the parameters of ARCH( q ) under ordered restriction

  • Author: Dehui Wang, Lixin Song, Ningzhong Shi
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01763.x (p 483-499)

On testing for separable correlations of multivariate time series

  • Author: Yasumasa Matsuda, Yoshihiro Yajima
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01795.x (p 501-528)

Analysis of the correlation structure of square time series

  • Author: Wilfredo Palma, Mauricio Zevallos
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01797.x (p 529-550)

Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models

  • Author: Taiyeong Lee, David A. Dickey
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01814.x (p 551-561)

Kernel deconvolution of stochastic volatility models

  • Author: Fabienne Comte
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01825.x (p 563-582)

Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

  • Author: Tae‐Hwan Kim, Stephen J. Leybourne, Paul Newbold
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01869.x (p 583-602)

Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models

  • Author: William R. Bell, Donald E. K. Martin
  • Pub Online: Jun 10, 2004
  • DOI: 10.1111/j.1467-9892.2004.01920.x (p 603-623)

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