Table Of Content

JOURNAL OF TIME SERIES ANALYSIS INDEX TO VOLUME 18 1997 Anderson, T. Goodness-of-fit tests for autoregressive processes 4:32] Baragona, R. and Carlucci, F. An optimality criterion for aggregating a set 1:001 of time series in a composite index Barnett, G., Kohn, R. and Sheather, S. Robust Bayesian estimation of autoregressive—moving-average models Berlinet, A. and Francq, C. On Bartlett’s formula for non-linear processes Bhansali, R. Robustness of the autoregressive spectral estimate for linear processes with infinite variance Cappuccio, N. and Lubian, D. Spurious regressions between I(1) processes with long memory errors Cheng, X., Wu, Y., Du, J. and Liu, H. The zero crossing rate of pth-order autoregressive processes Datta, S. A note on L; density estimation for linear processes Davidson, J. BOOK REVIEW: Tanaka, Time Series Analysis: Non- stationary and Noninvertible Distribution Theory Deo, R. Asymptotic theory for certain regression models with long memory errors Flores, R. and Novales, A. A general test for univariate seasonality Franeq, C. and Roussignol, M. On white noises driven by hidden Markov chains Gao, H.-Y. Choice of thresholds for wavelet shrinkage estimate of the spectrum Giraitis, L., Robinson, P. and Samarov, A. Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range independence Hidalgo, J. Nonparametric estimation with strongly dependent multivariate time series Hong, Y. One-sided testing for conditional heteroskedasticity in time series models Keenan, D. A central limit theorem for m(n) autocovariances Koopman, S. BOOK REVIEW: Pole et al., Applied Bayesian Forecasting and Time Series Analysis Kunst, R. Testing for cyclical non-stationarity in autoregressive processes Ling, S. and Li, W. Diagnostic checking nonlinear multivariate time series with multivariate ARCH Errors Lobata, I. Consistency of the averaged cross-periodogram in long memory series 0143-9782/97/06 663-664 JOURNAL OF TIME SERIES ANALYSIS Vol. 18, No. 6 © 1997 Blackwell Publishers Ltd., 108 Cowley Road, Oxford OX4 1JF, UK and 350 Main Street, Malden, MA 02148, USA 664 INDEX Lopes, A., Lopes, S. and Souza, R. On the spectral density of a class of chaotic time series McCabe, B., Leybourne, S. and Shin, Y. A parametric approach to testing the null of cointegration Mitchell, H. and Brockwell, P. Estimation of the coefficients of a multivariate linear filter using the innovations algorithm Muller, D. and Wei, W. Iterative least squares estimation and identification of the transfer function model Miiller, P., West, M. and MacEachern, S. Bayesian models for non-linear autoregressions Poggi, J.-M. and Portier, B. A test of linearity for functional autoregressive models Sakai, H. and Ohno, S. On backward periodic autoregressive processes Shibata, R. and Takagiwa, M. Consistency of frequency estimates based on the wavelet transform Shin, D. and Lee, Y. A study on misspecified nonstationary autoregressive time series with a unit root Shoji, I. and Ozaki, T. Comparative study of estimation methods for continuous time stochastic processes Smith, J., Taylor, N. and Yadav, S. Comparing the bias and misspecifica- tion in ARFIMA models So, M., Li, W. and Lam, K. Multivariate modelling of the autoregressive random variance process Sun, T. and Chaika, M. On simulation of a Gaussian stationary process Teverovsky, V. and Taqqu, M. Testing for long-range dependence in the presence of shifting means or a slowly declining trend, using a variance-type estimator Turkman, K. and Turkman, M. Extremes of bilinear time series models Wong, W. Frequency domain tests of multivariate Gaussianity and linearity Zhang, X. and Terrell, R. Projection modulus: a new direction for selecting subset autoregressive models