At this point, people of a Star Trek bent tend to go off on tangents about "protected time eras" and "strict rules against interference", and so on. Many of these same arguments also seem to be applied to why the thousands of UFOs around the earth are so shy of cameras and so good about picking up their trash. But they're missing the point.
A very good reason why we would not have received any time travellers is that we simply lack the equipment to do so. It's very much like claiming that radio spectrum transmission is impossible because you haven't gotten down to Best Buy to pick up an AM/FM receiver yet. It's very possible that time travellers are out there, waiting for someone to produce a carrier wave in whatever medium is used for time travel.
I should stop at this point to say that actual time travel (moving objects outside of normal perceived time) strikes me as much more difficult than time communications. Consider the difference between transmitting a human voice around the planet, versus transmitting an actual human. There is no question that it is much easier both in terms of logistics and in energy used to move information around. So while moving objects through time is a nice stretch goal, simply opening a communications channel is a much more reasonable approach.
How
I will say in full honesty, I don't know. I know that quantum physics aficianados are fond of claiming that they've seen particles moving backwards through time, but I also notice that they invest in hedge funds just the like rest of us. Still, high-energy and small-particle physics seem like the best place to look for a potential medium for time communications.
One advantage that the project holds is that it is a guaranteed Nobel for the person who cracks it. This means that graduate students will be willing to work on it, probably for free.
I'm thinking this one requires a foundation, with an endowment to fund a large number of scholarships. On one hand, this could make it difficult to claim ownership of the final product, but further financial backing could be offered to people who seem close to a break-through. On the other hand, if the project succeeded it would be the end of human history as we know it, and that would be pretty cool just to see. Also, just knowing that the invention was coming you could make a fortune shorting all the tech stocks....