Citation analysis for Journal of Time Series Analysis / Wiley Blackwell

Citation Profile [Updated: 2025-04-15 08:32:09]

5 Years H Index

Impact Factor (IF)

0.29

5 Years IF

0.26

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	0.03	0.11	0.56	0.03	27	27	184	15	15	60	2	147	4		0		0	0.05
1991	0.02	0.1	0.4	0.03	26	53	127	21	36	54	1	152	5		0		0	0.05
1992	0.09	0.11	0.26	0.05	34	87	357	23	59	53	5	154	8		0		0	0.05
1993	0.07	0.13	0.22	0.06	47	134	410	30	89	60	4	147	9		0		0	0.06
1994	0.01	0.14	0.12	0.02	46	180	677	22	111	81	1	161	4		0	1	0.02	0.07
1995	0.11	0.22	0.53	0.13	40	220	410	115	228	93	10	180	24	54	47	2	0.05	0.1
1996	0.13	0.25	0.49	0.16	35	255	418	126	354	86	11	193	31		0	4	0.11	0.12
1997	0.21	0.24	0.45	0.25	36	291	295	131	485	75	16	202	50		0	2	0.06	0.11
1998	0.14	0.28	0.41	0.25	46	337	1013	138	623	71	10	204	50		0	3	0.07	0.13
1999	0.22	0.3	0.35	0.18	44	381	376	134	758	82	18	203	36		0	1	0.02	0.15
2000	0.22	0.36	0.48	0.22	37	418	490	196	957	90	20	201	45		0	5	0.14	0.16
2001	0.16	0.39	0.46	0.21	40	458	500	206	1166	81	13	198	42		0	4	0.1	0.17
2002	0.39	0.41	0.55	0.33	35	493	418	261	1436	77	30	203	66		0	1	0.03	0.21
2003	0.48	0.44	0.71	0.44	44	537	602	374	1815	75	36	202	88	32	8.6	14	0.32	0.22
2004	0.66	0.49	0.8	0.57	55	592	567	469	2289	79	52	200	113	61	13	12	0.22	0.22
2005	0.35	0.51	0.75	0.46	54	646	425	476	2771	99	35	211	97	56	11.8	11	0.2	0.23
2006	0.5	0.5	0.76	0.6	46	692	942	526	3300	109	55	228	136	4	0.8	12	0.26	0.23
2007	0.35	0.46	0.58	0.44	42	734	378	418	3725	100	35	234	104	4	1	3	0.07	0.2
2008	0.69	0.49	0.75	0.6	54	788	553	592	4319	88	61	241	145	19	3.2	10	0.19	0.23
2009	0.58	0.48	0.74	0.6	36	824	288	607	4926	96	56	251	151	24	4	10	0.28	0.24
2010	0.47	0.48	0.59	0.49	44	868	367	510	5436	90	42	232	114	22	4.3	8	0.18	0.21
2011	0.55	0.52	0.6	0.58	57	925	286	557	5994	80	44	222	129		0	2	0.04	0.24
2012	0.4	0.52	0.7	0.44	74	999	279	702	6696	101	40	233	103		0	5	0.07	0.22
2013	0.31	0.56	0.7	0.49	57	1056	574	737	7434	131	41	265	129	24	3.3	13	0.23	0.24
2014	0.4	0.55	0.67	0.4	38	1094	252	726	8162	131	52	268	106	33	4.5	9	0.24	0.23
2015	0.65	0.55	0.64	0.49	51	1145	211	734	8896	95	62	270	133	31	4.2	10	0.2	0.23
2016	0.49	0.52	0.61	0.46	49	1194	219	731	9627	89	44	277	127	37	5.1	5	0.1	0.21
2017	0.36	0.54	0.59	0.49	53	1247	296	739	10366	100	36	269	132	42	5.7	8	0.15	0.21
2018	0.36	0.55	0.57	0.49	57	1304	337	742	11108	102	37	248	121	10	1.3	12	0.21	0.23
2019	0.47	0.56	0.62	0.42	53	1357	158	846	11954	110	52	248	103		0	8	0.15	0.22
2020	0.65	0.68	0.76	0.59	51	1408	58	1070	13024	110	72	263	156	50	4.7	2	0.04	0.32
2021	0.46	0.8	0.67	0.62	40	1448	31	973	13997	104	48	263	163	61	6.3	4	0.1	0.29
2022	0.3	0.83	0.65	0.68	48	1496	49	971	14968	91	27	254	172	42	4.3	4	0.08	0.25
2023	0.36	0.8	0.55	0.48	38	1534	9	848	15816	88	32	249	120	34	4	1	0.03	0.22
2024	0.29	1.02	0.48	0.26	32	1566	2	747	16563	86	25	230	59	33	4.4		0	0.27

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	1980	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	859
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	384
3	1998	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	383
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	346
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	290
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	254
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	249
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	196
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	191
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	169
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	1998	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	161
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	154
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	2005	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	126
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	2006	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	110
22	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	103
23	1994	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	103
24	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	100
25	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	97
26	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
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	96
28	2000	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	2003	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	86
31	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
32	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
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	77
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	74
36	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	73
37	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
38	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
39	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
40	1999	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	67
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	67
43	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	65
44	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	64
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	60
50	2003	Testing for Linear Trend with Application to Relative Primary Commodity Prices. (2003). Pfaffenzeller, Stephan ; Kim, Tae-Hwan ; Newbold, Paul ; Rayner, Tony . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:24:y:2003:i:5:p:539-551. 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	1998	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	75
2	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	75
3	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	52
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	43
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	41
6	1980	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	33
7	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	26
8	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	23
9	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	20
10	2006	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	17
11	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	17
12	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	15
13	1987	FIRSTÃ¢â¬ÂORDER INTEGERÃ¢â¬ÂVALUED AUTOREGRESSIVE (INAR(1)) PROCESS. (1987). Alzaid, A A ; Alosh, M A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:8:y:1987:i:3:p:261-275. Full description at Econpapers \|\| Download paper	14
14	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	13
15	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	13
16	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
17	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	13
18	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
19	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	13
20	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
21	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	12
22	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	11
23	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	11
24	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
25	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
26	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	10
27	2011	A negative binomial integerÃ¢â¬Âvalued GARCH model. (2011). Zhu, Fukang . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:32:y:2011:i:1:p:54-67. Full description at Econpapers \|\| Download paper	9
28	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	9
29	1994	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	9
30	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	9
31	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
32	2005	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	8
33	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	8
34	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
35	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	8
36	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
37	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
38	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	7
39	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
40	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
41	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
42	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	7
43	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
44	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	7
45	2022	Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations. (2022). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:532-557. Full description at Econpapers \|\| Download paper	6
46	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
47	2012	Measuring nonlinear dependence in timeÃ¢â¬Âseries, a distance correlation approach. (2012). Zhou, Zhou. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:33:y:2012:i:3:p:438-457. Full description at Econpapers \|\| Download paper	6
48	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
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	6
50	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	6

Citing documents used to compute impact factor: 25

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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
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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
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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
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2024	Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555. Full description at Econpapers \|\| Download paper
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2024	Ups and (Draw)Downs. (2024). Proietti, Tommaso. In: CEIS Research Paper. RePEc:rtv:ceisrp:576. Full description at Econpapers \|\| Download paper
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2024	Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202418. Full description at Econpapers \|\| Download paper
2024	Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218. Full description at Econpapers \|\| Download paper
2024	Sparse generalized YuleâWalker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data. (2024). Wijler, Etienne ; Reuvers, Hanno. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002361. Full description at Econpapers \|\| Download paper
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2024	Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukeyâs biweight function. (2024). Zhu, Fukang ; Xiong, Lanyu. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:2:d:10.1007_s00180-022-01293-6. Full description at Econpapers \|\| Download paper
2024	Self-weighted quantile regression estimation for diffusion parameter in jumpâdiffusion models. (2024). Mao, Huijue ; Cai, Chunchun ; Song, Yuping ; Zhu, Min. In: Statistics & Probability Letters. RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002341. Full description at Econpapers \|\| Download paper

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Recent citations received in 2023

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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

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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

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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
2021	Designing a statistical procedure for monitoring global carbon dioxide emissions. (2021). Bennedsen, Mikkel. In: Climatic Change. RePEc:spr:climat:v:166:y:2021:i:3:d:10.1007_s10584-021-03123-y. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	92	367
2	Journal of Time Series Analysis / Wiley Blackwell	54	220
3	Journal of Econometrics / Elsevier	233	186
4	MPRA Paper / University Library of Munich, Germany	132	148
5	Resources Policy / Elsevier	80	130
6	Statistical Papers / Springer	19	106
7	Empirical Economics / Springer	71	101
8			100
9	Econometrics and Statistics / Elsevier	13	98
10	Computational Statistics & Data Analysis / Elsevier	55	90
11	Journal of Multivariate Analysis / Elsevier	56	69