Aielli, G. P. (2013): “Dynamic Conditional Correlation: On Properties and Estimation,” Journal of Business & Economic Statistics, vol 31, no 3, pp, 282–299.
Andersen, T.G., and T. Bollerslev (1998), “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts”, International Economic Review, 39, pp 885-905.
Andrews, D. and P. Guggenberger (2003), "A Biased-Reduced Log-periodogram Regression Estimator for the Long-Memory Parameter", Econometrica, vol 71, no. 2, pp 675-712.
Andrews, D. and W. Ploberger (1994), "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative", Econometrica, vol 64, pp 1383-1414
Ansley, C.F. (1979). “An Algorithm for the Exact Likelihood of a Mixed Autoregressive-Moving Average Process.” Biometrika, Vol. 66, pp. 59-65.
Arellano, M. and S. Bond (1991), "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Vol. 58, pp. 277-297.
Bai, J., R. Lumsdaine and J. Stock (1998), "Testing For and Dating Common Breaks in Multivariate Time Series", Review of Economic Studies, vol 65, no 3, 395-432
Bai, J. and S. Ng (2002), "Determining the Number of Factors in Approximate Factor Models", Econometrica, vol 70, pp 191-222.
Bai, J. and P. Perron (2003), "Computation and Analysis of Multiple Structural Change Models", Journal of Applied Econometrics, pp 1-22.
Baillie, R.T., T. Bollerslev and H. Mikkelson (1996), "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, vol 74, no 1, pp 3-30.
Balcilar, M., Gupta R., and S.M. Miller(2015), "Regime switching model of US crude oil and stock market prices: 1859 to 2013", Energy Economics, vol 49, 317-327.
Balke, N. (2000), "Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks," Review of Economics and Statistics, vol 82, pp 344-349.
Baltagi, B.H. (2008), Econometric Analysis of Panel Data, 4th Edition. Chichester, UK: Wiley.
Baxter, M. and R. King (1999), "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," Review of Economics and Statistics, vol 81, no 4, pp 575-593.
Beach, C. and J. MacKinnon (1978), “A Maximum Likelihood Procedure for Regression with Autocorrelated Errors.” Econometrica, Vol. 46, pp. 51-58.
Beck, N. and J. Katz (1995), "What to Do (and Not to Do) with Time-Series-Cross Section Data in Comparative Politics," American Political Science Review, vol 89, pp 634-647.
Berkson, J.(1938), “Some Difficulties of Interpretation Encountered in the Application of the Chi-Square Test,” Journal of American Statistical Association, vol 33(303), pp 526–536.
Bernanke, B. (1986). “Alternative Explanations of the Money-Income Correlation.” Carnegie-Rochester Conference Series on Public Policy, Vol. 25, pp. 49-100.
Bernanke, B., J. Boivin & P. Eliasz (2005), "Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach," Quarterly Journal of Economics, vol. 120(1), pp 387-422.
Berndt, E.K., B.H. Hall, R.E. Hall and J.A. Hausman (1974), "Estimation and Inference in Nonlinear Structural Models," Annals of Economic and Social Measurement, Vol. 3/4, pp. 653-665.
Beveridge, S. and C.R. Nelson (1990), "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’", Journal of Monetary Economics, vol 7, pp 151–174.
Blanchard, O. and D. Quah (1989), "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, Vol. 79, pp. 655-673.
Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics, Vol. 31, pp. 307-327.
Bollerslev, T. and J.M. Wooldridge (1992), “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances.” Econometric Reviews, vol 11, no 2, 143-172.
Box, G.E.P. and D.R. Cox (1964), “An Analysis of Transformations.” JRSS-B, Vol. 26, pp. 211-243.
Box, G.E.P., G.M. Jenkins, and G.C. Reinsel (2008). Time Series Analysis, Forecasting and Control, 4th ed. Hoboken: Wiley.
Breitung, J. (2000), "The local power of some unit root tests for panel data", from Baltagi, Fomby, Hill (eds), Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics, Volume 15), Emerald Group Publishing, pp.161-177.
Breusch, T. & A. Pagan (1980), "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, vol. 47, 239-53.
Brock, W., W. Dechert, & J. Scheinkman (1993), "A test of independence based on the correlation dimension" (working paper versions), included in "Nonlinear Dynamics,Chaos,and Instability", MIT Press, Chap.2.
Brockwell, P.J. and R.A. Davis (1991), Time Series: Theory and Methods, 2nd Edition. New York: Springer–Verlag.
Brockwell, P.J. and R.A. Davis (2002), Introduction to Time Series Forecasting, 2nd Edition. New York: Springer–Verlag.
Brown, R., J. Durbin & J. Evans (1975), "Techniques for Testing the Constancy of Regression Relationships over Time", JRSS-B, vol 37, pp 149-192.
Bry, G. and C. Boschan (1971), "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs", NBER, New York.
Burg, J. (1967), "Maximum Entropy Spectral Analysis", Proceedings of the 37th Meeting of the Society of Exploration Geophysicists.
Cai, J. (1994). “A Markov Model of Switching-Regime ARCH.” Journal of Business and Economic Statistics, vol 12, no. 3, pp 309–316.
Campbell, J. and J. Ammer(1993), "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns", Journal of Finance, vol 48, pp 3-37.
Campbell, J., A. Lo, and A.C. MacKinlay (1997), The Econometrics of Financial Markets. Princeton: Princeton University Press.
Cecchetti, S. and R. Rich (2001), "Structural Estimates of the U.S. Sacrifice Ratio," Journal of Business and Economic Statistics, vol 19, no 4, 416-427.
Cermeño, R. and K. Grier (2006), "Conditional heteroskedasticity and cross-sectional dependence in panel data: an empirical study of inflation uncertainty in the G-7 countries," in B. Baltagi, Editor, Panel Data Econometrics: Theoretical Contributions and Empirical Applications, Springer Publishing, New York (2006), pp. 259-278.
Chan, W. and J. Maheu (2002), "Conditional Jump Dynamics in Stock Market Returns", Journal of Business and Economic Statistics, vol 20, no. 3, pp 377-389.
Chan, K. C., A. Karolyi, F. Longstaff and A. Sanders (1992), "An Empirical Comparison of Models of the Short-Term Interest Rate," Journal of Finance, vol 47, pp. 1209-1227.
Cheung, Y. W. and L.K. Ng, (1996), "A causality-in-variance test and its application to Financial market prices," Journal of Econometrics, vol 72, no 1-2, pp 33-48.
Chow, K.V. and Denning, K. (1993), "A simple multiple variance ratio test", Journal of Econometrics, vol 58, pp 385-401
Christiano, L. and T. Fitzgerald (2003), "The Band Pass Filter", International Economic Review, vol 44, pp. 435-465.
Christoffersen, P. (1998), "Evaluating interval forecasts", International Economic Review, 39, 841-862.
Corana, A., M. Marchesi, C. Martini and S. Ridella (1987), "Minimizing Multimodal Functions of Continuous Variables with the Simulated Annealing Algorithm", ACM Transactions on Mathematical Software, Vol. 13, No. 3, pp 262-280.
Corrado, C. (1989), "A non Parametric Test for Abnormal Security-Price Performance in Event Studies, Journal of Financial Economics, vol 23, pp 385-395.
Cushman, D. and T. Zha (1997), "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, vol 39, no 3, pp 433-448.
Davies, R. (1987), “Hypothesis testing when a nuisance parameter is present only under the alternative”, Biometrika, vol 74, no 1, pp 33–43.
Dennis, R. (2007), "Optimal Policy in Rational Expectations Models: New Solution Algorithms", Macroeconomic Dynamics, vol 11, pp 31-55.
Diebold, F. (2004), Elements of Forecasting, 3rd Edition. Cincinnati: South-Western
Diebold, F. and R. Mariano (1995), "Comparing Predictive Accuracy," J. of Business and Economic Statistics, vol 13, pp 253-263.
Diebold, F., G. & S. Aruoba (2006), "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, vol. 131(1-2), 309-338.
Diebold, F. and K. Yilmaz (2009), "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, vol. 119, no. 534, 158-171.
Diebold, F. and K. Yilmaz (2012): "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," International Journal of Forecasting, vol 28, no 1, 57–66.
Doan, T. (2010), “Practical Issues with State-Space Models with Mixed Stationary and Non-Stationary Dynamics,” Estima Technical Paper, (1).
Doan, T., R. Litterman, and C.A. Sims (1984), “Forecasting and Conditional Projection Using Realistic Prior Distributions.” Econometric Reviews, Vol. 3, pp. 1-100.
Dolado, J. J. and H. Lutkepohl(1996), “Making Wald Tests Work for Cointegrated Systems”, Econometric Reviews, vol 15, pp 369-386.
Dueker, M. J. (1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility", Journal of Business & Economic Statistics, vol. 15, no 1, pp 26-34.
Durbin, J. (1969), "Tests for Serial Correlation in Regression Analysis Based on the Periodogram of Least Squares Residuals", Biometrika, vol 56, pp 1-16.
Durbin, J. and S.J. Koopman (2012), Time Series Analysis by State Space Methods, 2nd ed. Oxford: Oxford University Press.
Edgerton, D. & C. Wells (1994), "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, vol. 56, 355-365.
Elliott, G. (1999), "Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution", International Economic Review, vol 40, pp 767–783.
Elliott, G., T. Rothenberg and J. Stock (1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, vol 64, no. 4, pp 813-836.
Enders, W. (2010), Applied Econometric Time Series, 3rd Edition. Hoboken: Wiley.
Enders, W. and C. Granger (1998), "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates", J. of Business and Economic Statistics, vol 16, pp 304-11.
Enders, W. and P. Siklos (2001), "Cointegration and Threshold Adjustment," J. of Business and Economic Statistics, vol. 16, 166-76.
Engle, R. (2002). "Dynamic Conditional Correlation—A Simple Class of Multivariate GARCH Models." Journal of Business and Economic Statistics, Vol. 20, Number 3, pp. 339-350.
Engle, R. and C.W.J. Granger (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing," Econometrica, vol. 55, pp 251-76.
Engle, R. and B. Kelly (2011), "Dynamic Equicorrelation," Journal of Business & Economic Statistics, vol 30, no 2, pp 212-228.
Ehrmann, M., M. Ellison, and N. Valla (2003), "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Economics Letters, vol 78, no 3, pp 295–299.
Erceg, Henderson & Levin (2000), "Optimal monetary policy with staggered wage and price contracts," Journal of Monetary Economics, vol. 46, no 2, 281-313.
Estrella, A. (1998). “A New Measure of Fit for Equations with Dichotomous Dependent Variables.” Journal of Business and Economic Statistics, Vol. 16, pp. 198-205.
Fair, R.C. (1970). “The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors.” Econometrica, Vol. 38, pp. 507-516.
Filardo, A. (1994), "Business Cycle Phases and Their Transitional Dynamics", Journal of Business and Economic Statistics, vol 12, no 3, pp 299-308.
Findley, D.F., Monsell, B.C., Bell, W.R., Otto, M.C. and Chen B. (1998), "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program", Journal of Business and Economic Statistics, Vol. 16, 127-177.
Franke, J. and W. Hardle (1992), "On Bootstrapping Kernel Spectral Estimates", Annals of Statistics, vol. 20, pp 121-145.
Gali, J. (1999). “Technology, Employment and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations.” American Economic Review, Vol. 89, pp. 249-271.
Garcia, R. and P. Perron (1996), "An Analysis of the Real Interest Rate under Regime Shifts," Review of Economics and Statistics, vol. 78, no 1, pp 111-125.
Gardner, E.S. (1985). “Exponential Smoothing: the State of the Art.” Journal of Forecasting, Vol. 4, pp. 1-28.
Garman, M. B. and M. J. Klass (1980), "On the Estimation of Security Price Volatilities from Historical Data", Journal of Business, vol 53, no 1, pp 67-78.
Geweke, J., R. Meese and W. Dent (1982), "Comparing Alternative Tests of Causality in Temporal Systems", Journal of Econometrics, vol. 21, pp. 161-194.
Geweke, J. and S. Porter-Hudak (1983), "The Estimation and Application of Long Memory Time Series Models", J. of Time Series Analysis, vol 4, pp 221-238.
Ghysels, E., H. Lee, and J. Noh (1994), "Testing for Unit Roots is Seasonal Time Series", Journal of Econometrics, vol 62, pp. 415-442.
Glosten, L., R. Jagannathan and D. Runkle (1993), “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.” Journal of Finance, Vol. 48, pp. 1779-1801.
Gomez, V. and A. Maravall (2001), "Automatic Modeling Methods for Univariate Series", in Peña, Tiao and Tsay, eds., A Course in Time Series Analysis, New York: Wiley.
Granger, C.W.J. (1969). "Investigating Causal Relations by Econometric Models and Cross-Spectral Models," Econometrica, vol. 37, pp. 424-438.
Granger, C.W.J. and P. Newbold (1973), "Some Comments on the Evaluation of Economic Forecasts", Applied Economics, vol. 5, pp. 35-47.
Granger, C.W.J. and P. Newbold (1974), "Spurious regressions in econometrics", Journal of Econometrics, vol 2, no 2, 111-120.
Gray, Stephen (1996), "Modeling the conditional distribution of interest rates as a regime-switching process", Journal of Financial Economics, vol 42, no 1, pp 27-62.
Greene, W.H. (2012), Econometric Analysis, 7th Edition. New Jersey: Prentice Hall.
Gregory, A. and B. E. Hansen (1996a), "Residual-based Tests for Cointegration in Models with Regime Shifts", Journal of Econometrics, vol 70, 99-126
Gregory, A. and B. E. Hansen (1996b), "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, vol. 58, pp 555-560
Hacker, R. & A. Hatemi-J (2005), "A test for multivariate ARCH effects", Applied Economics Letters, vol. 12, pp. 411-417.
Hadri, K. (2000), "Testing for stationarity in heterogeneous panel data", Econometrics Journal, vol 3, no 2, 148-161.
Hafner, C. and H. Herwartz(2006), "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration", Journal of International Money and Finance, vol 25, no 5, pp 719-740.
Hall, A. (2000), "Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test," Econometrica, Vol. 68, pp. 1517-1528.
Halton, J. (1964), "Algorithm 247: Radical-inverse quasi-random point sequence", ACM, p. 701.
Hamilton, J. (1989), "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle", Econometrica, vol 57, no 2, 357–384.
Hamilton, J. (1994), Time Series Analysis. Princeton: Princeton University Press.
Hamilton, J and R. Susmel (1994). “Autoregressive conditional heteroskedasticity and changes in regime.” Journal of Econometrics, Vol 64, no 1-2, pp 307-333.
Hansen, B. E. (1992), "Parameter Instability in Linear Models", Journal of Policy Modeling, vol 14, 517-533.
Hansen, B.E. (1992b), "Efficient Estimation and Testing of Cointegrating Vectors in the Presence of Deterministic Trends", Journal of Econometrics, vol 53, pp 87-121.
Hansen, B.E. (1994), "Autoregressive Conditional Density Estimation", International Economic Review, vol 35, no. 3, pp 705-730.
Hansen, B.E. (1996), "Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis", Econometrica, vol 64, pp 413-430.
Hansen, B. E. (1997), "Approximate Asymptotic P-Values for Structural Change Tests", Journal of Business and Economic Statistics, vol 15, pp 60-67.
Hansen, B. E. (1999), "Threshold effects in non dynamic panels: estimation, testing and inference", Journal of Econometrics, vol 93, pp 345-368.
Hansen, B. E. (2000), "Testing for Structural Change in Conditional Models", Journal of Econometrics, vol. 97, pp 93-115.
Hansen, L. P. (1982), "Large Sample Properties of Generalized Methods of Moments Estimators", Econometrica, vol 50, pp 1029-1054.
Hansen, L. P. and K. J. Singleton (1982), “Generalized Instrumental Variables Estimation of Non-Linear Rational Expectations Models.” Econometrica, Vol. 50, pp. 1269-1286.
Harris, R. and E. Tzavalis (1999), "Inference for unit roots in dynamic panels where the time dimension is fixed", Journal of Econometrics, vol 91, pp 201–226.
Harvey, A. (1989), Forecasting, structural time series models and the Kalman filter. Cambridge: Cambridge University Press.
Harvey, A., S. Leybourne and P. Newbold (1997), "Testing the equality of prediction mean squared errors", International Journal of Forecasting, vol 13, pp 289-291.
Hasbrouck, J. (1995), "One security, many markets: determining the contribution to price discovery", Journal of Finance, vol 50(4), pp 1175-1199.
Hayashi, F. (2000). Econometrics. Princeton, New Jersey: Princeton University Press
Hill, R.C., W.E. Griffiths, and G.C. Lim (2008). Principles of Econometrics, 3rd Edition. New York: Wiley.
Hinich, M. (1996). "Testing for dependence in the input to a linear time series model," Journal of Nonparametric Statistics, vol 6, pp 205–221.
Hodrick, R. (1992), "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement", Review of Financial Studies, vol 5, 357-386.
Hodrick, R. and E. Prescott (1997), “Post-War U.S. Business Cycles: An Empirical Investigation.” Journal of Money, Credit and Banking, Vol. 29, No. 1, pp 1-16.
Holtz-Eakin, D., Newey, W. and S. Rosen (1988), "Estimating Vector Autoregressions with Panel Data," Econometrica, vol. 56, no 6, pp 1371-95.
Hosking, J. (1981), "Equivalent Forms of the Multivariate Portmanteau Statistic", JRSS-B, vol 43, pp 261-262.
Hylleberg, S., R. Engle, C.W.J. Granger, and B. Yoo (1990), "Seasonal Integration and Cointegration", Journal of Econometrics, vol 44, pp 215-238
Im, K. S., M. H. Pesaran and Y. Shin (2003), "Testing for Unit Roots in Heterogeneous Panels", J. of Econometrics, vol 115, pp 53-74.
Imbens, G. W. (2002), "Generalized Method of Moments and Empirical Likelihood," Journal of Business & Economic Statistics, vol. 20, no 4, pp 493-506.
Inclan, C. and G. Tiao (1994), "Use of Cumulative Sums of Squares for Retrospective Detection of Changes in Variance", J of American Statistical Association, vol 89, pp 913-923.
Jagannathan, R. and Z. Wang (1996). "The Conditional CAPM and the Cross-Section of Expected Returns", Journal of Finance, Vol. 51, No. 1, pp. 3-35.
Jarque, C.M. and A.K. Bera (1987), “A Test for Normality of Observations and Regression Residuals”, International Statistical Review, Vol. 55, pp. 163-172.
Johnston, J. and J. DiNardo (1997), Econometric Methods, 4th Edition. New York: McGraw Hill.
Jones, R. H.(1980), "Maximum Likelihood Fitting of ARMA Models," Technometrics, vol 20, pp 389-395.
Jorda, J. (2005), "Estimation and Inference of Impulse Responses by Local Projections", American Economic Review, vol 95, no 1, pp 161-182.
Keane, M. P. and D. E. Runkle (1992), "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, Vol. 10, No. 1, pp. 1-9.
Kendall, M.G. and A. Stuart (1958), The Advanced Theory of Statistics, Vol. 1. New York: Hafner.
Kilian, L. (1998), "Small-Sample Confidence Intervals for Impulse Response Functions", Review of Economics and Statistics, vol 80, pp 218-230.
Kilian, L. & R. Vigfusson (2011), "Are the responses of the U.S. economy asymmetric in energy price increases and decreases?", Quantitative Economics, vol. 2, no 3, 419-453.
Kim, C.-J. and C. R. Nelson (1999), State-Space Models with Regime Switching. MIT Press.
Kim, S., N. Shepard and S. Chib (1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, vol 65, no 3, pp 361-393.
King, R., C. Plosser, J. Stock and M. Watson (1991), "Stochastic Trends and Economic Fluctuations", American Economic Review, vol 81, No. 4, pp 819-40.
Kiviet, J. (1995), "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, vol. 68, pp 53-78.
Koenker, R. and G. Bassett (1978), "Regression Quantiles", Econometrica, Vol. 46, pp. 33-50.
Koop, G. (2003), Bayesian Econometrics. West Sussex: Wiley.
Koopman, S.J. (1997), "Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models." Journal of the American Statistical Association, vol. 92, pp 1630-1638.
Koutmos, G. (1996), "Modeling the Dynamic Interdependence of Major European Stock Markets," Journal of Business, Finance and Accounting, vol 23, pp 975–988.
Kupiec, P. (1995), "Techniques for verifying the accuracy of risk measurement models", Journal of Derivatives, vol 2, pp 73-84.
Kwiatowski, D., P. Phillips, P. Schmidt & Y. Shin (1992), "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?", J. of Econometrics, vol 54, pp 159-178.
L’Ecuyer, P. (1999), "Good Parameter Sets for Combined Multiple Recursive Random Number Generators," Operations Research, Vol. 47, pp. 159-164.
Laubach, T. and J. Williams, "Measuring the Natural Rate of Interest", Review of Economics and Statistics, vol. 85, no 4, 1063-1070.
Leamer, E.(1974), Specification Searches. New York: Wiley.
Lee, T-H (1994), "Spread and volatility in spot and forward exchange rates," Journal of International Money and Finance, vol. 13, no 3, 375-383.
Lee, J. and M. Strazicich (2003), "Minimum LM Unit Root Test with Two Structural Breaks," Review of Economics and Statistics, vol 85, pp 1082-1089.
Levin A., C.-F. Lin and C.-S. Chu (2002), "Unit root tests in panel data: Asymptotic and finite-sample properties", Journal of Econometrics, vol 108, pp 1–24.
Li, H. and G. S. Maddala (1997), "Bootstrapping cointegrating regressions", Journal of Econometrics, vol 80, pp 297-318.
Ljung, G.M. and G.E.P. Box (1978), "On a Measure of Lack of Fit in Time Series Models." Biometrika, Vol. 67, pp. 297-303.
Lo, A. (1991), "Long-term Memory in Stock Market Prices", Econometrica, vol 59, 1279-1313.
Lo, A. and A. C. MacKinlay (1988), "Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test", Review of Financial Studies, vol 1, no 1, pp 41–66.
Lo, A. and A. C. MacKinlay (1989), "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, vol 40, no 2, pp 203-238.
Lumsdaine, R. and D. Papell (1997), "Multiple trend breaks and the unit root hypothesis", Review of Economics and Statistics, vol 79, pp 212-218.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series. Berlin: Springer.
Luukkonen, R., P. Saikkonen and T. Terasvirta (1988), "Testing Linearity against smooth transition autoregressive models", Biometrika vol 75, 491-499.
Mandelbrot, B. and J. Wallis (1969), "Computer Experiments with Fractional Gaussian Noise", Water Resources Research, vol 5, pp 228-267.
Mark, N. and D. Sul (2003), "Cointegration Vector Estimation by Panel DOLS and Long-run Money Demand", Oxford Bulletin of Economics and Statistics, vol 65, pp 655-680.
Marquardt, D. (1963), "An Algorithm for Least-Squares Estimation of Nonlinear Parameters," SIAM Journal on Applied Mathematics, vol 11, pp 431-441.
Martin, V., S. Hurn and D. Harris(2013), Econometric Modelling with Time Series: Specification, Estimation and Testing. Cambridge: Cambridge University Press.
Matheson, T. and E. Stavrev(2013), "The Great Recession and the inflation puzzle", Economics Letters, vol 120, no 3, pp 468-472.
McCulloch, J. (1971), "Measuring the Term Structure of Interest Rates", Journal of Business, vol 44, pp 19-31.
McLeod, A. and W. Li (1983), "Diagnostic Checking of ARMA Time Series Models Using Squared Residual Autocorrelations", J. of Time Series Analysis, vol 4, pp 269-273.
Mountford, A. and H. Uhlig (2009), "What are the Effects of Fiscal Policy Shocks?", Journal of Applied Econometrics, vol 24, 960-992.
Nelson, C. and C. Plosser(1982), "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications." Journal of Monetary Economics, vol 10, pp 139-162.
Nelson, D. B. (1990), "Stationary and Persistence in the GARCH(1,1) Model." Econometric Theory, vol. 6, pp 318-334.
Nelson, D.B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica, vol. 59, pp. 347-370.
Newbold, P. (1990), "Precise and Efficient Computation of the Beveridge-Nelson Decomposition of Economic Time Series," Journal of Monetary Economics, vol 26, pp 453-457.
Ng, S. & Perron, P. (2001), "Lag length selection and the construction of unit root tests with good size and power", Econometrica, vol 69, pp 1519–1554.
Nyblom, J. (1989), "Testing for Constancy of Parameters Over Time", J. of American Statistical Association, vol 84, pp 223-230.
Olsen, R. (1978). “A Note on the Uniqueness of the Maximum Likelihood Estimator in the Tobit Model”, Econometrica, Vol. 46, pp. 1211-1215.
Pagan, A. and D. Harding (2002), "Dissecting the cycle: a methodological investigation", Journal of Monetary Economics, vol 49, pp 365-381.
Pagan, A. and A. Ullah (1999), Nonparametric Econometrics. Cambridge: Cambridge University Press.
Panayiotis, T. (2015), "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal,
vol. 19, no 4, pp 223-266.
Pardo, A. and H. Torro(2007), "Trading with asymmetric volatility spillovers", Journal of Business, Finance and Accounting, vol. 34, no 9-10, pp 1548-1568.
Patton, Andrew J. (2011), "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, vol. 160, no 1, pp 246-256.
Pedroni, P. (1999) "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, vol 61, 653-70
Pedroni, P. (2000), "Fully Modified OLS for Heterogeneous Cointegrated Panels," Advances in Econometrics, Vol. 15, 93-130, Nonstationary Panels, Panel Cointegration and Dynamic Panels, JAI Press.
Pedroni, P. (2001), "Purchasing Power Parity Tests in Cointegrated Panels," Review of Economics and Statistics, vol 83, 727-731.
Pedroni, P. (2004), "Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Econometric Theory, vol 20, 597-625.
Perron, P.(2006), "Dealing with Structural Breaks," Palgrave Handbook of Econometrics, Vol. 1, pp 278-352.
Perron, P. and S. Ng (1996), "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties", Review of Economic Studies, vol 63, pp 435-463.
Perron, P. and G. Rodriguez (2003), "GLS Detrending, Efficient Unit Root Tests and Structural Change", Journal of Econometrics, vol 115, pp 1-27.
Pesaran, H. H. and Y. Shin (1998), "Generalized Impulse Response Analysis in Linear Multivariate Models," Economics Letters, vol. 58, no 1, pp. 17–29.
Phillips, P.C.B. and B.E. Hansen (1990), "Statistical Inference in Instrumental Variables Regression with I(1) Processes", Review of Economic Studies, vol 57, pp 99-125.
Phillips, P.C.B. and S. Ouliaris (1990) , "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, vol. 58, no 1, 165-193.
Phillips, P.C.B. & P. Perron (1988), "Testing for a unit root in time series regressions", Biometrika, vol 75, pp 335–346.
Pierce, D.A., & L.D. Haugh (1977), "Causality in temporal systems: Characterization and a survey,” Journal of Econometrics, vol 5, no 3, pp 265-293.
Pindyck, R. and D. Rubinfeld (1998), Econometric Models and Economic Forecasts, 4th Edition. New York: McGraw-Hill.
Robinson, P. (1992), "Semiparametric analysis of long-memory time series", Annals of Statistics, vol 22, pp 515-539.
Rubio-Ramirez, J.F., D.F. Waggoner, and T. Zha (2010), "Structural Vector Autoregressions: Theory of Identication and Algorithms for Inference," Review of Economic Studies, Vol. 77, No. 2, pp. 665–696.
Sadorsky, P. (2012), "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies", Energy Economics, vol 34, pp 248-255.
Sanso, A., V. Arago, and J. Carrion-i-Silvestre(2004), “Testing for changes in the unconditional variance of financial time series,” Spanish Review of Financial Economics, vol 4, pp 32-53.
Sargent, T. and C. Sims(1977), "Business cycle modeling without pretending to have too much a priori economic theory." In New Methods in Business Cycle Research: Proceedings from a Conference, Federal Reserve Bank of Minneapolis.
Schmidt, P. and P. Phillips (1992), "LM Test for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, vol 54, pp 257-287.
Sims, C.A. (1972), "Money, Income and Causality," American Economic Review, vol. 62, pp. 540-552.
Sims, C.A. (1980), "Macroeconomics and Reality", Econometrica, vol. 48, pp. 1-49.
Sims, C.A. (1986). “Are Forecasting Models Usable for Policy Analysis?” Federal Reserve Bank of Minneapolis Quarterly Review, Winter.
Sims, C.A. (1988), "Bayesian Skepticism on Unit Root Econometrics", J. of Economic Dynamics and Control, vol 12, pp 463-474.
Sims, C.A. (1993), "A 9 Variable Probabilistic Macroeconomic Forecasting Model," In Business Cycles, Indicators, and Forecasting, Stock and Watson, eds., University of Chicago Press.
Sims, C.A. (2002). "Solving Linear Rational Expectations Models", Computational Economics, vol. 20, nos. 1-2, pp. 1-20.
Sims, C.A., J.H. Stock, and M.W. Watson (1990), "Inference in Linear Time Series Models with Some Unit Roots", Econometrica, vol. 58, No. 1, pp 113-144.
Sims, C.A. and T. Zha (1999), “Error Bands for Impulse Responses”, Econometrica, vol. 67, pp. 1113-1156.
Stock, J. and M. Watson (1988), "Testing for Common Trends", J. of American Statistical Association, vol. 83, pp 1097-1107.
Stock, J. and M. Watson (1993), "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica, vol 83, pp 1097-1107.
Stock, J. and M. Watson (2011), Introduction to Econometrics, 3rd Edition. Boston: Pearson.
Stoffer, D. and K. Wall (1991), "Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter", Journal of the American Statistical Association, vol. 86, pp. 1024-1033.
Sun, Q. and W. Tong (2010), "Risk and the January effect", Journal of Banking and Finance, vol 34, pp 965-974.
Swamy, P. (1970), "Efficient Inference in a Random Coefficient Regression Model", Econometrica, vol 38, pp 311-323.
Terasvirta, T. (1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", J. of American Statistical Association, vol 89, pp 208-218.
Theil, H. (1971). Principles of Econometrics. New York: Wiley.
Toda, H.Y. and T. Yamamoto (1995), "Statistical inference in vector autoregression with possibly integrated processes", Journal of Econometrics, vol 66, pp 225-250.
Tsay, R. (1989), "Testing and Modeling Threshold Autoregressive Processes", J. of American Statistical Association, vol 84, no 405, pp 231-240.
Tsay, R. (1998), "Testing and Modeling Multivariate Threshold Models", J. of American Statistical Assn, vol. 93, no. 443, pp 1188-1202.
Tsay, R. (2010), Analysis of Financial Time Series, 3rd Edition. New York: Wiley.
Tse, Y. K. (2000), "A Test for Constant Correlations in a Multivariate GARCH Model", Journal of Econometrics, vol 98, pp 107-127.
Uhlig, H. (2005), "What are the effects of monetary policy on output? Results from an agnostic identification procedure", Journal of Monetary Economics, vol 52, no 2, pp 381-419.
van Dijk, D., Franses, P.H. and A. Lucas (1999), "Testing for smooth transition nonlinearity in the presence of additive outliers", Journal of Business and Economic Statistics, vol 17, no 2, 217-235.
Verbeek, M. (2008), A Guide to Modern Econometrics, 3rd Edition. New York: Wiley.
Watson, M. (1993), "Measures of Fit for Calibrated Models", Journal of Political Economy, vol 101, pp 1011-1041.
Watson, M. (1994), "Business Cycle Durations and Postwar Stabilization of the U.S. Economy", American Economic Review, vol 84, pp. 24-46.
West, K. and D. Cho (1995), "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, vol. 69, no 2, pp 367-391.
West, M. and J. Harrison (1997). Bayesian Forecasting and Dynamic Models, 2nd Edition. New York: Springer-Verlag.
White, H (1994), Estimation, Inference and Specification Analysis. Cambridge: Cambridge University Press.
Wooldridge, J. (2009), Introductory Econometrics, 4th edition. Mason, Ohio: South-Western.
Wooldridge, J. (2010), Econometric Analysis of Cross Section and Panel Data, 2nd Edition. Cambridge, Mass.: The MIT Press.
Wright, J. H. (2000), "Alternative Variance-Ratio Tests Using Ranks and Signs", Journal of Business & Economic Statistics, vol 18, no 1, pp 1–9.
Yule, G. (1926), "Why do we Sometimes get Nonsense-Correlations between Time-Series?--A Study in Sampling and the Nature of Time-Series," Journal of the Royal Statistical Society, vol 89, no 1, 1-63.
Zeileis, A. (2004), "Alternative Boundaries for CUSUM tests", Statistical Papers, vol 45, 123-131.
Zivot, E. and D. Andrews (1992), "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis", Journal of Business and Economic Statistics, vol. 10, 251-70.