  The sensitivity of Pulsar Timing Arrays to gravitational waves depends on the
noise present in the individual pulsar timing data. Noise may be either
intrinsic or extrinsic to the pulsar. Intrinsic sources of noise will include
rotational instabilities, for example. Extrinsic sources of noise include
contributions from physical processes which are not sufficiently well modelled,
for example, dispersion and scattering effects, analysis errors and
instrumental instabilities. We present the results from a noise analysis for 42
millisecond pulsars (MSPs) observed with the European Pulsar Timing Array. For
characterising the low-frequency, stochastic and achromatic noise component, or
"timing noise", we employ two methods, based on Bayesian and frequentist
statistics. For 25 MSPs, we achieve statistically significant measurements of
their timing noise parameters and find that the two methods give consistent
results. For the remaining 17 MSPs, we place upper limits on the timing noise
amplitude at the 95% confidence level. We additionally place an upper limit on
the contribution to the pulsar noise budget from errors in the reference
terrestrial time standards (below 1%), and we find evidence for a noise
component which is present only in the data of one of the four used telescopes.
Finally, we estimate that the timing noise of individual pulsars reduces the
sensitivity of this data set to an isotropic, stochastic GW background by a
factor of >9.1 and by a factor of >2.3 for continuous GWs from resolvable,
inspiralling supermassive black-hole binaries with circular orbits.
