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Journal of Time Series Econometrics
Editor-in-Chief: Hidalgo, Javier
2 Issues per year
Mathematical Citation Quotient (MCQ) 2016: 0.10
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- Most Downloaded Articles
Most Downloaded Articles
- Consideration of Trends in Time Series by White, Halbert and Granger, Clive W.J.
- Evaluating Automatic Model Selection by Castle, Jennifer L./ Doornik, Jurgen A and Hendry, David F.
- Noncausal Autoregressions for Economic Time Series by Lanne, Markku and Saikkonen, Pentti
- Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions by Aknouche, Abdelhakim
- Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect by Pauwels, Laurent L./ Chan, Felix and Mancini Griffoli, Tommaso
- On Identifying Structural VAR Models via ARCH Effects by Milunovich, George and Yang, Minxian
- Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting by Burda, Martin
- The Square Root of a Matrix by Abadir, Karim M.
- Bootstrap Point Optimal Unit Root Tests by Wang, Liqiong
- Monitoring the Intraday Volatility Pattern by Gabrys, Robertas/ Hörmann, Siegfried and Kokoszka, Piotr
- The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series by Amsler, Christine/ Schmidt, Peter and Vogelsang, Timothy J
- Selecting Instrumental Variables in a Data Rich Environment by Ng, Serena and Bai, Jushan
- Costationarity of Locally Stationary Time Series by Cardinali, Alessandro and Nason, Guy P
- Asymptotic Behavior of Temporal Aggregates in the Frequency Domain by Hassler, Uwe and Tsai, Henghsiu
- Asymptotic Theory for Regressions with Smoothly Changing Parameters by Hillebrand, Eric/ Medeiros, Marcelo C. and Xu, Junyue
- Detection of Additive Outliers in Seasonal Time Series by Haldrup, Niels/ Montañes, Antonio and Sansó, Andreu
Volume 8, Issue 1
Volume 10 (2018)
- Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null
- A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model
- An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models
- Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
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