Journal of Time Series Analysis

Table of Contents

Volume 24 Issue 3 (May 2003)

253-378

ORIGINAL ARTICLES

Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

  • Author: ANDREW P. BLAKE, GEORGE KAPETANIOS
  • Pub Online: May 19, 2003
  • DOI: 10.1111/1467-9892.00306 (p 253-267)

Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals

  • Author: Malay Ghosh, Jungeun Heo
  • Pub Online: May 19, 2003
  • DOI: 10.1111/1467-9892.00307 (p 269-282)

First‐Order Autoregressive Processes with Heterogeneous Persistence

  • Author: JOANN JASIAK
  • Pub Online: May 19, 2003
  • DOI: 10.1111/1467-9892.00308 (p 283-309)

Testing Serial Correlation in Semiparametric Time Series Models

  • Author: DINGDING LI, THANASIS STENGOS
  • Pub Online: May 19, 2003
  • DOI: 10.1111/1467-9892.00309 (p 311-335)

Likelihood analysis of a first‐order autoregressive model with exponential innovations

  • Author: B. Nielsen, N. Shephard
  • Pub Online: May 19, 2003
  • DOI: 10.1111/1467-9892.00310 (p 337-344)

Gaussian Semi‐parametric Estimation of Fractional Cointegration

  • Author: Carlos Velasco
  • Pub Online: May 19, 2003
  • DOI: 10.1111/1467-9892.00311 (p 345-378)

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