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There are 41232 results for: content related to: Reducing the size distortion of the KPSS test

  1. Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

    Journal of Time Series Analysis

    Volume 27, Issue 4, July 2006, Pages: 545–576, Felipe Aparicio, Alvaro Escribano and Ana E. Sipols

    Version of Record online : 16 FEB 2006, DOI: 10.1111/j.1467-9892.2006.00474.x

  2. On robust tail index estimation for linear long-memory processes

    Journal of Time Series Analysis

    Volume 33, Issue 3, May 2012, Pages: 406–423, Jan Beran, Bikramjit Das and Dieter Schell

    Version of Record online : 13 MAR 2012, DOI: 10.1111/j.1467-9892.2011.00774.x

  3. Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

    Journal of Time Series Analysis

    Volume 32, Issue 1, January 2011, Pages: 1–32, Yongmiao Hong and Yoon-Jin Lee

    Version of Record online : 2 SEP 2010, DOI: 10.1111/j.1467-9892.2010.00681.x

  4. Cointegrating regressions with messy regressors and an application to mixed-frequency series

    Journal of Time Series Analysis

    Volume 31, Issue 4, July 2010, Pages: 255–277, J. Isaac Miller

    Version of Record online : 19 APR 2010, DOI: 10.1111/j.1467-9892.2010.00660.x

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    Tests of strict stationarity based on quantile indicators

    Journal of Time Series Analysis

    Volume 31, Issue 6, November 2010, Pages: 435–450, Fabio Busetti and Andrew Harvey

    Version of Record online : 22 JUL 2010, DOI: 10.1111/j.1467-9892.2010.00676.x

  6. A test for second-order stationarity of a time series based on the discrete Fourier transform

    Journal of Time Series Analysis

    Volume 32, Issue 1, January 2011, Pages: 68–91, Yogesh Dwivedi and Suhasini Subba Rao

    Version of Record online : 27 SEP 2010, DOI: 10.1111/j.1467-9892.2010.00685.x

  7. Stationarity testing under nonlinear models. Some asymptotic results

    Journal of Time Series Analysis

    Volume 31, Issue 5, September 2010, Pages: 392–405, Manuel Landajo and María José Presno

    Version of Record online : 29 JUN 2010, DOI: 10.1111/j.1467-9892.2010.00672.x

  8. A p-Order signed integer-valued autoregressive (SINAR(p)) model

    Journal of Time Series Analysis

    Volume 32, Issue 3, May 2011, Pages: 223–236, M. Kachour and L. Truquet

    Version of Record online : 8 NOV 2010, DOI: 10.1111/j.1467-9892.2010.00694.x

  9. Banded and tapered estimates for autocovariance matrices and the linear process bootstrap

    Journal of Time Series Analysis

    Volume 31, Issue 6, November 2010, Pages: 471–482, Timothy L. McMurry and Dimitris N. Politis

    Version of Record online : 22 AUG 2010, DOI: 10.1111/j.1467-9892.2010.00679.x

  10. Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes

    Journal of Time Series Analysis

    Volume 32, Issue 2, March 2011, Pages: 135–156, Céline Lévy-Leduc, Hélène Boistard, Eric Moulines, Murad S. Taqqu and Valderio A. Reisen

    Version of Record online : 27 SEP 2010, DOI: 10.1111/j.1467-9892.2010.00688.x

  11. First-order rounded integer-valued autoregressive (RINAR(1)) process

    Journal of Time Series Analysis

    Volume 30, Issue 4, July 2009, Pages: 417–448, M. Kachour and J. F. Yao

    Version of Record online : 22 JUN 2009, DOI: 10.1111/j.1467-9892.2009.00620.x

  12. Identification of the multiscale fractional Brownian motion with biomechanical applications

    Journal of Time Series Analysis

    Volume 28, Issue 1, January 2007, Pages: 1–52, Jean-Marc Bardet and Pierre Bertrand

    Version of Record online : 19 JUL 2006, DOI: 10.1111/j.1467-9892.2006.00494.x

  13. Consistent estimation of the memory parameter for nonlinear time series

    Journal of Time Series Analysis

    Volume 27, Issue 2, March 2006, Pages: 211–251, Violetta Dalla, Liudas Giraitis and Javier Hidalgo

    Version of Record online : 7 OCT 2005, DOI: 10.1111/j.1467-9892.2005.00464.x

  14. On LM-type tests for seasonal unit roots in the presence of a break in trend

    Journal of Time Series Analysis

    Volume 32, Issue 2, March 2011, Pages: 108–134, Luis C. Nunes and Paulo M. M. Rodrigues

    Version of Record online : 27 SEP 2010, DOI: 10.1111/j.1467-9892.2010.00687.x

  15. Second-order properties of locally stationary processes

    Journal of Time Series Analysis

    Volume 30, Issue 1, January 2009, Pages: 145–166, Kenichiro Tamaki

    Version of Record online : 28 DEC 2008, DOI: 10.1111/j.1467-9892.2008.00605.x

  16. Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs

    Journal of Time Series Analysis

    Volume 26, Issue 5, September 2005, Pages: 631–668, Dietmar Bauer

    Version of Record online : 11 AUG 2005, DOI: 10.1111/j.1467-9892.2005.00441.x

  17. Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations

    Journal of Time Series Analysis

    Volume 26, Issue 2, March 2005, Pages: 211–249, Stilian Stoev and Murad S. Taqqu

    Version of Record online : 17 FEB 2005, DOI: 10.1111/j.1467-9892.2005.00399.x

  18. Autoregressive processes with data-driven regime switching

    Journal of Time Series Analysis

    Volume 30, Issue 5, September 2009, Pages: 505–533, Joseph Tadjuidje Kamgaing, Hernando Ombao and Richard A. Davis

    Version of Record online : 21 AUG 2009, DOI: 10.1111/j.1467-9892.2009.00622.x

  19. A Family of Markov-Switching Garch Processes

    Journal of Time Series Analysis

    Volume 33, Issue 6, November 2012, Pages: 892–902, Ji-Chun Liu

    Version of Record online : 6 JUN 2012, DOI: 10.1111/j.1467-9892.2012.00804.x

  20. Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models

    Journal of Time Series Analysis

    Volume 31, Issue 2, March 2010, Pages: 65–75, Yun Gong, Zhouping Li and Liang Peng

    Version of Record online : 28 DEC 2009, DOI: 10.1111/j.1467-9892.2009.00644.x