Highlights -- What's next? .......................... Kung-Sik Chan and Wai-keung Li 1 Editorials -- Beyond linear time series ............................ Peter Brockwell 3 Never-ending developments in time series analysis ..................... Ruey S. Tsay 6 Inside Views -- Birth of the threshold time series model ............... Howell Tong 8 Frequency analysis of chaotic intermittency maps with slowly decaying correlations .. ................................................ R. J. Bhansali and M. P. Holland 15 Stability of cyclic threshold and threshold-like autoregressive time series models .. ...................... Li-Xin Zhang, Wai Sum Chan, Siu Hung Cheung and Feifang Hu 43 Continuous-time Gaussian autoregression ............................................. ................................ Peter J. Brockwell, Richard A. Davis and Yu Yang 63 Nonparametric tests for serial independence based on quadratic forms ................ ................................................ Cees Diks and Valentyn Panchenko 81 Semiparametric penalty function method in partially linear model selection .......... .......................................... Chaohua Dong, Jiti Gao and Howell Tong 99 Model checks using residual marked empirical processes .............................. ............................................................ J. Carlos Escanciano 115 Multivariate reduced-rank nonlinear time series modeling ............................ ................................................. Ming-Chung Li and Kung-Sik Chan 139 A double AR(p) model: structure and estimation ........................ Shiqing Ling 161 Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory .......................... Zudi Lu, Dag Tjostheim and Qiwei Yao 177 Self-normalization for heavy-tailed time series with long memory .................... ............................................. Tucker McElroy and Dimitris Politis 199 Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedasticity ............................................. Pentti Saikkonen 221 Threshold variable determination and threshold variable driven switching autoregressive models ................................... Senlin Wu and Rong Chen 241 Threshold variable selection using nonparametric methods ............................ ....................................... Yingcun Xia, Wai Keung Li and Howell Tong 265 On the existence and limit behavior of the optimal bandwidth for kernel density estimation .................. J. E. Chacon, J. Montanero, A. G. Nogales, P. Perez 289 Effects of measurement error and conditional score estimation in capture-recapture models .......................... Wen-Han Hwang, Steve Y. H. Huang and C. Y. Wang 301 Adaptive boxcar deconvolution on full Lebesgue measure sets ......................... ........................ Gerard Kerkyacharian, Dominique Picard and Marc Raimondo 317 Asymptotic distributions of the Buckley-James estimator under nonstandard conditions ....................................................... Fanhui Kong and Qiqing Yu 341 Exact confidence coefficients of confidence intervals for a binomial proportion ..... ................................................................... Hsiuying Wang 361 Nonparametric test for the form of parametric regression with time series errors .... ................................................ Lan Wang and Ingrid Van Keilegom 369 A generalized drop-the-loser urn for clinical trials with delayed responses ......... ...................... Li-Xin Zhang, Wai Sum Chan, Siu Hung Cheung and Feifang Hu 3872007 Statistica Sinica ISSN 1017-0405