Journal of Time Series Analysis announces special issue


  • Author: Statistics Views
  • Date: 04 July 2019

The Journal of Time Series Analysis has this month published a special issue in celebration of the 35th anniversary of the publication of John Geweke and Susan Porter‐Hudak's (henceforth GPH) 1983 article, ‘The estimation and application of long memory time series models’, in the Journal of Time Series Analysis. Their article started a very large and extremely influential literature on semi‐parametric estimation of long memory models. The estimation method proposed by GPH is still widely applied, even 35 years later, which is an impressive achievement considering how active this research area has been over that period and considering how early their contribution was made. The article has accumulated over 3200 Google Scholar citations in April 2019 at the time of writing this editorial, and it is currently the second‐most cited article published in the history of the Journal of Time Series Analysis. It therefore seems appropriate that the article is acknowledged by this special issue in its honour.

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The special issue issue contains 11 cutting‐edge articles on a variety of topics dealing with long memory, fractional integration and/or fractional cointegration. The contributors include both econometricians and statisticians, and are all well known and active researchers in the field. We are grateful to all of them for responding enthusiastically to the call for a special issue, and for submitting such an interesting array of contributions on both theoretical and applied issues.

The issue is available via this link.

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