Citation analysis for Journal of Time Series Analysis / Wiley Blackwell

Citation Profile [Updated: 2025-01-21 17:37:07]

5 Years H Index

Impact Factor (IF)

0.29

5 Years IF

0.28

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.05	0.11	0.76	0.04	17	17	155	13	13	41	2	110	4		0		0	0.05
1991	0.03	0.1	0.54	0.05	20	37	113	20	33	36	1	107	5		0		0	0.05
1992	0.14	0.11	0.37	0.07	20	57	316	21	54	37	5	107	8		0		0	0.06
1993	0.1	0.13	0.29	0.08	29	86	371	25	79	40	4	98	8		0		0	0.06
1994	0.02	0.14	0.19	0.04	31	117	557	22	101	49	1	105	4		0	1	0.03	0.07
1995	0.13	0.22	0.58	0.15	29	146	371	83	186	60	8	117	18	31	37.3	2	0.07	0.09
1996	0.17	0.25	0.63	0.23	23	169	369	106	292	60	10	129	30		0	4	0.17	0.12
1997	0.27	0.24	0.53	0.33	26	195	214	104	396	52	14	132	44		0	1	0.04	0.11
1998	0.2	0.28	0.52	0.34	28	223	375	117	513	49	10	138	47		0	1	0.04	0.13
1999	0.2	0.31	0.39	0.22	33	256	269	101	614	54	11	137	30		0	1	0.03	0.15
2000	0.2	0.36	0.52	0.23	27	283	346	145	762	61	12	139	32		0	5	0.19	0.16
2001	0.15	0.39	0.55	0.23	29	312	462	171	935	60	9	137	31		0	2	0.07	0.17
2002	0.41	0.41	0.58	0.31	27	339	384	191	1133	56	23	143	45		0	1	0.04	0.21
2003	0.59	0.44	0.77	0.46	32	371	442	280	1417	56	33	144	66	21	7.5	9	0.28	0.22
2004	0.69	0.49	0.87	0.63	42	413	448	357	1776	59	41	148	93	38	10.6	10	0.24	0.22
2005	0.35	0.51	0.74	0.51	37	450	189	329	2110	74	26	157	80	16	4.9	5	0.14	0.24
2006	0.54	0.51	0.83	0.67	33	483	727	399	2512	79	43	167	112	4	1	10	0.3	0.23
2007	0.33	0.46	0.61	0.47	25	508	249	308	2824	70	23	171	81	1	0.3		0	0.2
2008	0.81	0.49	0.82	0.64	34	542	351	445	3271	58	47	169	109	9	2	3	0.09	0.23
2009	0.63	0.48	0.79	0.6	26	568	208	449	3720	59	37	171	102	17	3.8	8	0.31	0.24
2010	0.42	0.48	0.63	0.48	37	605	327	382	4102	60	25	155	74	15	3.9	7	0.19	0.21
2011	0.62	0.52	0.67	0.69	30	635	91	426	4528	63	39	155	107		0	1	0.03	0.24
2012	0.45	0.52	0.76	0.5	61	696	193	530	5058	67	30	152	76		0	2	0.03	0.22
2013	0.24	0.56	0.73	0.45	56	752	562	550	5609	91	22	188	84	20	3.6	13	0.23	0.24
2014	0.34	0.55	0.68	0.34	38	790	249	533	6144	117	40	210	71	21	3.9	9	0.24	0.23
2015	0.66	0.55	0.67	0.5	50	840	206	560	6704	94	62	222	110	16	2.9	10	0.2	0.23
2016	0.5	0.52	0.62	0.45	48	888	216	551	7255	88	44	235	105	19	3.4	5	0.1	0.21
2017	0.37	0.54	0.63	0.5	52	940	286	590	7845	98	36	253	127	31	5.3	8	0.15	0.22
2018	0.36	0.55	0.58	0.48	51	991	307	574	8419	100	36	244	118	6	1	12	0.24	0.23
2019	0.48	0.56	0.56	0.42	29	1020	110	574	8993	103	49	239	101		0	4	0.14	0.23
2020	0.75	0.67	0.69	0.62	37	1057	43	725	9718	80	60	230	142	26	3.6	2	0.05	0.32
2021	0.44	0.79	0.6	0.63	26	1083	19	653	10371	66	29	217	137	35	5.4	3	0.12	0.29
2022	0.35	0.83	0.6	0.8	33	1116	32	675	11046	63	22	195	156	30	4.4	4	0.12	0.25
2023	0.25	0.82	0.54	0.47	25	1141	3	616	11662	59	15	176	82	23	3.7	1	0.04	0.23
2024	0.29		0.47	0.28	20	1161	0	549	12211	58	17	150	42	27	4.9		0

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1		AN INTRODUCTION TO LONGÃ¢â¬ÂMEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING. (1980). Joyeux, Roselyne ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:1:y:1980:i:1:p:15-29. Full description at Econpapers \|\| Download paper	852
2	1983	THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Porterhudak, Susan ; Geweke, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238. Full description at Econpapers \|\| Download paper	378
3		ErrorÃ¢â¬Âcorrection Mechanism Tests for Cointegration in a SingleÃ¢â¬Âequation Framework. (1998). Mestre, Ricardo ; Dolado, Juan ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:3:p:267-283. Full description at Econpapers \|\| Download paper	366
4	1983	DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUAREDÃ¢â¬ÂRESIDUAL AUTOCORRELATIONS. (1983). Li, W K ; McLeod, A I. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273. Full description at Econpapers \|\| Download paper	341
5	2006	A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409. Full description at Econpapers \|\| Download paper	286
6	2013	Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95. Full description at Econpapers \|\| Download paper	249
7	1986	ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Tong, H ; Chan, K S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190. Full description at Econpapers \|\| Download paper	247
8	1998	Unit roots and smooth transitions. (1998). Leybourne, Stephen ; Vougas, Dimitrios ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:83-97. Full description at Econpapers \|\| Download paper	225
9	1992	VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING. (1992). Ahn, Sung K ; Reinsel, Gregory C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375. Full description at Econpapers \|\| Download paper	222
10	1996	MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599. Full description at Econpapers \|\| Download paper	195
11	1983	NONPARAMETRIC ESTIMATORS FOR TIME SERIES. (1983). Robinson, P M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:3:p:185-207. Full description at Econpapers \|\| Download paper	190
12	1982	AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM. (1982). Stoffer, D S ; Shumway, R H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264. Full description at Econpapers \|\| Download paper	185
13	1989	ON GENERALIZED FRACTIONAL PROCESSES. (1989). ZHANG, NIEN FAN ; Gray, Henry L ; Woodward, Wayne A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:10:y:1989:i:3:p:233-257. Full description at Econpapers \|\| Download paper	182
14	2008	Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185. Full description at Econpapers \|\| Download paper	168
15	1994	LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. (1994). Bai, Jushan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472. Full description at Econpapers \|\| Download paper	161
16		The mean squared error of Geweke and PorterÃ¢â¬ÂHudaks estimator of the memory parameter of a longÃ¢â¬Âmemory time series. (1998). Hurvich, Clifford ; Brodsky, Julia ; Deo, Rohit. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:19-46. Full description at Econpapers \|\| Download paper	160
17	1995	ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS. (1995). Fuller, Wayne A ; Park, Heon Jin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:4:p:415-429. Full description at Econpapers \|\| Download paper	152
18	2002	Comparison of unit root tests for time series with level shifts. (2002). LÃÆÃÂ¼tkepohl, Helmut ; Lanne, Markku ; Saikkonen, Pentti ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685. Full description at Econpapers \|\| Download paper	146
19		UnitÃ¢â¬Âroot testing against the alternative hypothesis of up to m structural breaks. (2005). Kapetanios, George. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133. Full description at Econpapers \|\| Download paper	124
20	2003	A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400. Full description at Econpapers \|\| Download paper	118
21		Integer-Valued GARCH Process. (2006). Latour, Alain ; Ferland, Rene ; Oraichi, Driss. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:6:p:923-942. Full description at Econpapers \|\| Download paper	107
22		ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NONÃ¢â¬ÂLINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY. (1994). Mak, T K ; Li, W K. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:6:p:627-636. Full description at Econpapers \|\| Download paper	102
23	2013	Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16. Full description at Econpapers \|\| Download paper	98
24	1982	TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES. (1982). Hinich, Melvin J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:3:p:169-176. Full description at Econpapers \|\| Download paper	97
25	2018	Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987. Full description at Econpapers \|\| Download paper	96
26	2000	Fast Filtering and Smoothing for Multivariate State Space Models. (2000). Koopman, S J ; Durbin, J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:3:p:281-296. Full description at Econpapers \|\| Download paper	96
27	2010	A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328. Full description at Econpapers \|\| Download paper	95
28		LeastÃ¢â¬Âsquares Estimation of an Unknown Number of Shifts in a Time Series. (2000). Lavielle, Marc ; Moulines, Eric . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:1:p:33-59. Full description at Econpapers \|\| Download paper	90
29		ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOVÃ¢â¬ÂSWITCHING AUTOREGRESSIVE MODELS. (2003). Spagnolo, Fabio ; Psaradakis, Zacharias. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:237-252. Full description at Econpapers \|\| Download paper	90
30	1995	BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS. (1995). Lee, Jack C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:5:p:483-492. Full description at Econpapers \|\| Download paper	85
31	2000	Semiparametric Inference in Seasonal and Cyclical Long Memory Processes. (2000). Arteche, Josu ; Robinson, Peter M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:1:p:1-25. Full description at Econpapers \|\| Download paper	81
32	2004	A Dependence Metric for Possibly Nonlinear Processes. (2004). Racine, Jeffrey ; Maasoumi, Esfandiar ; Granger, Clive. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669. Full description at Econpapers \|\| Download paper	81
33	1988	ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS. (1988). Bollerslev, Tim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:9:y:1988:i:2:p:121-131. Full description at Econpapers \|\| Download paper	78
34	1993	POWER OF THE NEURAL NETWORK LINEARITY TEST. (1993). TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo ; Lin, Chienfu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:2:p:209-220. Full description at Econpapers \|\| Download paper	76
35	2001	Testing Stochastic Cycles in Macroeconomic Time Series. (2001). Gil-Alana, Luis ; Gilalana, L A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:22:y:2001:i:4:p:411-430. Full description at Econpapers \|\| Download paper	73
36	1984	ARMA MODELS WITH ARCH ERRORS. (1984). Weiss, Andrew A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:5:y:1984:i:2:p:129-143. Full description at Econpapers \|\| Download paper	72
37	1995	ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES. (1995). Ray, Bonnie K ; Hurvich, Clifford M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:1:p:17-41. Full description at Econpapers \|\| Download paper	71
38	1993	BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER. (1993). Wohar, Mark ; Agiakloglou, Christos ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:3:p:235-246. Full description at Econpapers \|\| Download paper	71
39	2017	Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636. Full description at Econpapers \|\| Download paper	70
40		Gaussian Semiparametric Estimation of NonÃ¢â¬Âstationary Time Series. (1999). Velasco, Carlos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:1:p:87-127. Full description at Econpapers \|\| Download paper	68
41	1990	A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS. (1990). Piccolo, Domenico. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:11:y:1990:i:2:p:153-164. Full description at Econpapers \|\| Download paper	66
42	1993	A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION. (1993). Tsai, Chihling ; Hurvich, Clifford M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:3:p:271-279. Full description at Econpapers \|\| Download paper	66
43	1994	STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS. (1994). Tsay, Ruey S ; McCulloch, Robert E. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:523-539. Full description at Econpapers \|\| Download paper	63
44	1984	ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS. (1984). Paulsen, Jostein . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:5:y:1984:i:2:p:115-127. Full description at Econpapers \|\| Download paper	63
45	2006	Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60. Full description at Econpapers \|\| Download paper	63
46	1999	Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers. (1999). Vogelsang, Timothy. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:20:y:1999:i:2:p:237-252. Full description at Econpapers \|\| Download paper	62
47	1985	COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS. (1985). LÃÆÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:6:y:1985:i:1:p:35-52. Full description at Econpapers \|\| Download paper	61
48	1991	NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES. (1991). Hallman, Jeff ; C. W. J. Granger, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:12:y:1991:i:3:p:207-224. Full description at Econpapers \|\| Download paper	60
49	2007	Effects of outliers on the identification and estimation of GARCH models. (2007). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497. Full description at Econpapers \|\| Download paper	59
50	2003	SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES. (2003). RodrÃÂguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:2:p:193-220. Full description at Econpapers \|\| Download paper	54

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2013	Combining non-cointegration tests. (2013). Bayer, Christian ; Hanck, Christoph . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:83-95. Full description at Econpapers \|\| Download paper	70
2	1983	THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS. (1983). Porterhudak, Susan ; Geweke, John. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:221-238. Full description at Econpapers \|\| Download paper	46
3	2006	A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. (2006). Lee, Junsoo ; Enders, Walter ; Becker, Ralf. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:3:p:381-409. Full description at Econpapers \|\| Download paper	37
4	2018	Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987. Full description at Econpapers \|\| Download paper	35
5	2017	Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636. Full description at Econpapers \|\| Download paper	23
6	1982	AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM. (1982). Stoffer, D S ; Shumway, R H. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:3:y:1982:i:4:p:253-264. Full description at Econpapers \|\| Download paper	22
7	2013	Structural breaks in time series. (2013). Horvath, Lajos ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:34:y:2013:i:1:p:1-16. Full description at Econpapers \|\| Download paper	18
8	2017	Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478. Full description at Econpapers \|\| Download paper	16
9	1990	A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS. (1990). Piccolo, Domenico. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:11:y:1990:i:2:p:153-164. Full description at Econpapers \|\| Download paper	13
10	1994	LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES. (1994). Bai, Jushan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:453-472. Full description at Econpapers \|\| Download paper	13
11	1998	Unit roots and smooth transitions. (1998). Leybourne, Stephen ; Vougas, Dimitrios ; Newbold, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:1:p:83-97. Full description at Econpapers \|\| Download paper	12
12	1993	POWER OF THE NEURAL NETWORK LINEARITY TEST. (1993). TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo ; Lin, Chienfu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:2:p:209-220. Full description at Econpapers \|\| Download paper	12
13	2017	Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190. Full description at Econpapers \|\| Download paper	12
14	1995	BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS. (1995). Lee, Jack C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:16:y:1995:i:5:p:483-492. Full description at Econpapers \|\| Download paper	12
15	2008	Fractional integration and structural breaks at unknown periods of time. (2008). Gil-Alana, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:163-185. Full description at Econpapers \|\| Download paper	11
16	1983	DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUAREDÃ¢â¬ÂRESIDUAL AUTOCORRELATIONS. (1983). Li, W K ; McLeod, A I. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:4:y:1983:i:4:p:269-273. Full description at Econpapers \|\| Download paper	11
17	1986	ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. (1986). Tong, H ; Chan, K S. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:7:y:1986:i:3:p:179-190. Full description at Econpapers \|\| Download paper	10
18	2016	Poisson QMLE of Count Time Series Models. (2016). Francq, Christian ; Ahmad, Ali. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:291-314. Full description at Econpapers \|\| Download paper	10
19	2006	Uniform Limit Theory for Stationary Autoregression. (2006). Phillips, Peter ; Giraitis, Liudas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:51-60. Full description at Econpapers \|\| Download paper	10
20	1989	ON GENERALIZED FRACTIONAL PROCESSES. (1989). ZHANG, NIEN FAN ; Gray, Henry L ; Woodward, Wayne A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:10:y:1989:i:3:p:233-257. Full description at Econpapers \|\| Download paper	10
21	1996	MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES. (1996). Masry, Elias . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599. Full description at Econpapers \|\| Download paper	9
22	2016	Filtering, Prediction and Simulation Methods for Noncausal Processes. (2016). Jasiak, Joann ; gourieroux, christian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:3:p:405-430. Full description at Econpapers \|\| Download paper	9
23	2014	Time-series models with an EGB2 conditional distribution. (2014). Harvey, Andrew ; Caivano, Michele. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:6:p:558-571. Full description at Econpapers \|\| Download paper	8
24	2010	A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component. (2010). Perron, Pierre ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:31:y:2010:i:5:p:305-328. Full description at Econpapers \|\| Download paper	8
25	2014	QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS. (2014). Fokianos, Konstantinos ; Christou, Vasiliki . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:1:p:55-78. Full description at Econpapers \|\| Download paper	8
26	1996	SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS. (1996). Comte, F. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:17:y:1996:i:1:p:19-36. Full description at Econpapers \|\| Download paper	7
27	2003	A Sieve Bootstrap For The Test Of A Unit Root. (2003). Park, Joon ; Chang, Yoosoon. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400. Full description at Econpapers \|\| Download paper	7
28	2019	Long Memory, Realized Volatility and Heterogeneous Autoregressive Models. (2019). Rho, Seunghwa ; Cho, Dooyeon ; Calonaci, Fabio ; Baillie, Richard T. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:40:y:2019:i:4:p:609-628. Full description at Econpapers \|\| Download paper	7
29	2000	Fast Filtering and Smoothing for Multivariate State Space Models. (2000). Koopman, S J ; Durbin, J. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:21:y:2000:i:3:p:281-296. Full description at Econpapers \|\| Download paper	7
30	2007	New Improved Tests for Cointegration with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:28:y:2007:i:2:p:188-224. Full description at Econpapers \|\| Download paper	7
31	2019	Multivariate Quantile Impulse Response Functions. (2019). Montesrojas, Gabriel. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:40:y:2019:i:5:p:739-752. Full description at Econpapers \|\| Download paper	7
32	2014	BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING. (2014). Wei, Christian H. ; Pollett, Philip K.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:2:p:115-132. Full description at Econpapers \|\| Download paper	7
33	2014	DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS. (2014). Cavicchioli, Maddalena. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:2:p:173-186. Full description at Econpapers \|\| Download paper	6
34	1984	ARMA MODELS WITH ARCH ERRORS. (1984). Weiss, Andrew A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:5:y:1984:i:2:p:129-143. Full description at Econpapers \|\| Download paper	6
35	1994	STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS. (1994). Tsay, Ruey S ; McCulloch, Robert E. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:15:y:1994:i:5:p:523-539. Full description at Econpapers \|\| Download paper	6
36	2017	Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21. Full description at Econpapers \|\| Download paper	6
37	2017	Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions. (2017). Rao, Tata Subba ; Dueck, Johannes ; Dahlhaus, Rainer ; Eichler, Michael ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:225-242. Full description at Econpapers \|\| Download paper	6
38	1992	VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING. (1992). Ahn, Sung K ; Reinsel, Gregory C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375. Full description at Econpapers \|\| Download paper	6
39	1993	A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION. (1993). Tsai, Chihling ; Hurvich, Clifford M. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:14:y:1993:i:3:p:271-279. Full description at Econpapers \|\| Download paper	6
40	2006	Bayesian Model Uncertainty In Smooth Transition Autoregressions. (2006). Salazar, Esther ; Lopes, Hedibert F.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:27:y:2006:i:1:p:99-117. Full description at Econpapers \|\| Download paper	6
41	2022	Wasserstein autoregressive models for density time series. (2022). Petersen, Alexander ; Kokoszka, Piotr ; Zhang, Chao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:30-52. Full description at Econpapers \|\| Download paper	6
42	2016	Improved Tests for Forecast Comparisons in the Presence of Instabilities. (2016). Perron, Pierre ; Martins, Luis. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:37:y:2016:i:5:p:650-659. Full description at Econpapers \|\| Download paper	5
43	1998	On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series. (1998). Giraitis, Liudas ; Dahlhaus, Rainer. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:19:y:1998:i:6:p:629-655. Full description at Econpapers \|\| Download paper	5
44	2001	Autocovariance Structure of Markov Regime Switching Models and Model Selection. (2001). Zhang, Jing ; Stine, Robert A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:22:y:2001:i:1:p:107-124. Full description at Econpapers \|\| Download paper	5
45	2008	Break Detection for a Class of Nonlinear Time Series Models. (2008). Rodriguez-Yam, Gabriel A. ; Thomas C. M. Lee, ; Thomas C. M. Lee, ; Davis, Richard A.. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:5:p:834-867. Full description at Econpapers \|\| Download paper	5
46	2002	Bayesian analysis of switching ARCH models. (2002). Kaufmann, Sylvia ; Fruhwirthschnatter, Sylvia. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:23:y:2002:i:4:p:425-458. Full description at Econpapers \|\| Download paper	5
47	2018	Unit Root Testing with Unstable Volatility. (2018). Beare, Brendan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:816-835. Full description at Econpapers \|\| Download paper	5
48	2018	Negative Binomial QuasiÃÂ¢Ã¢âÂ¬ Likelihood Inference for General IntegerÃÂ¢Ã¢âÂ¬ Valued Time Series Models. (2018). Aknouche, Abdelhakim ; Touche, Nassim ; Bendjeddou, Sara . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:2:p:192-211. Full description at Econpapers \|\| Download paper	5
49	2022	Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29. Full description at Econpapers \|\| Download paper	5
50	2014	A FAST FRACTIONAL DIFFERENCE ALGORITHM. (2014). Nielsen, Morten ; Noack, Andreas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436. Full description at Econpapers \|\| Download paper	5

Citing documents used to compute impact factor: 17

Year	Title
2024	Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series. (2023). Pipiras, Vladas ; Fisher, Zachary F ; Kim, Younghoon. In: Papers. RePEc:arx:papers:2307.10454. Full description at Econpapers \|\| Download paper
2024
2024	Efficient Convex PCA with applications to Wasserstein geodesic PCA and ranked data. (2022). Wong, Ting-Kam Leonard ; Campbell, Steven. In: Papers. RePEc:arx:papers:2211.02990. Full description at Econpapers \|\| Download paper
2024	Spherical autoregressive models, with application to distributional and compositional time series. (2024). Muller, Hans-Georg ; Zhu, Changbo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000209. Full description at Econpapers \|\| Download paper
2024
2024	Distribution-on-distribution regression with Wasserstein metric: Multivariate Gaussian case. (2024). Okano, Ryo ; Imaizumi, Masaaki. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000411. Full description at Econpapers \|\| Download paper
2024	On distributional autoregression and iterated transportation. (2024). Panaretos, Victor M ; Ghodrati, Laya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:5:p:739-770. Full description at Econpapers \|\| Download paper
2024	Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120456. Full description at Econpapers \|\| Download paper
2024	Inspecting a seasonal ARIMA model with a random period. (2024). Rabehi, Nadia ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:120758. Full description at Econpapers \|\| Download paper
2024
2024
2024
2024
2024	Least squares estimation in nonlinear cohort panels with learning from experience. (2023). Massmann, Michael ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2309.08982. Full description at Econpapers \|\| Download paper
2024
2024
2024

Recent citations

Recent citations received in 2023

Year	Citing document
2023	Bayesian modeling of spatial integer-valued time series. (2023). Hsiung, Mo-Hua ; Chen, Chun-Shu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:188:y:2023:i:c:s016794732300138x. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Multi-population modelling and forecasting life-table death counts. (2022). Xu, Ruofan ; Haberman, Steven ; Shang, Han Lin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:239-253. Full description at Econpapers \|\| Download paper
2022	Unified discrete-time factor stochastic volatility and continuous-time ItÃ´ models for combining inference based on low-frequency and high-frequency. (2022). Wang, Yazhen ; Song, Xinyu ; Kim, Donggyu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000860. Full description at Econpapers \|\| Download paper
2022	Testing for the cointegration rank between Periodically Integrated processes. (2022). del Barrio Castro, TomÃ¡s. In: MPRA Paper. RePEc:pra:mprapa:112730. Full description at Econpapers \|\| Download paper
2022	A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series. (2022). Webel, Karsten. In: Discussion Papers. RePEc:zbw:bubdps:312022. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	. Full description at Econpapers \|\| Download paper
2021	Financial bubbles and sustainability of public debt: The case of Spain. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2111. Full description at Econpapers \|\| Download paper
2021	Testing for rational bubbles in Australian housing market from a long-term perspective. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2113. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	280
2	Journal of Time Series Analysis / Wiley Blackwell	48	141
3	Journal of Econometrics / Elsevier	231	141
4	MPRA Paper / University Library of Munich, Germany	131	97
5	Resources Policy / Elsevier	78	93
6	Econometrics and Statistics / Elsevier	12	77
7	Statistical Papers / Springer	19	77
8			69
9	Empirical Economics / Springer	70	63
10	Computational Statistics & Data Analysis / Elsevier	54	61
11	Journal of Multivariate Analysis / Elsevier	55	55