User’s Guide : Multiple Equation Analysis : Vector Autoregression and Error Correction Models : References
Amisano, Gianni and Carlo Giannini (1997). Topics in Structural VAR Econometrics, 2nd ed, Berlin: Springer-Verlag.
Blanchard, Olivier and Danny Quah (1989). “The Dynamic Effects of Aggregate Demand and Aggregate Supply Disturbances,” American Economic Review, 79, 655-673.
Boswijk, H. Peter (1995). “Identifiability of Cointegrated Systems,” Technical Report, Tinbergen Institute.
Brüggemann, Ralf, Helmut Lütkepohl, and Pentti Saikkonen (2006). “Residual autocorrelation testing for vector error correction models,” Journal of Econometrics, 134, 579–604.
Burbridge, John and Alan Harrison (1985). “A Historical Decomposition of the Great Depression to Determine the Role of Money,” Journal of Monetary Econometrics, 16, 45–54.
Christiano, L. J., M. Eichenbaum, C. L. Evans (1999). “Monetary Policy Shocks: What Have We Learned and to What End?” Chapter 2 in J. B. Taylor and M. Woodford, (eds.), Handbook of Macroeconomics, Volume 1A, Amsterdam: Elsevier Science Publishers B.V.
Dickey, D.A. and W.A. Fuller (1979). “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427–431.
Doornik, Jurgen A. (1995). “Testing General Restrictions on the Cointegrating Space,” manuscript.
Doornik, Jurgen A. and Henrik Hansen (1994). “An Omnibus Test for Univariate and Multivariate Normality,” manuscript.
Edgerton, David and Ghazi Shukur (19991). “Testing autocorrelation in a system perspective,” Econometric Reviews, 18, 343–386.
Engle, Robert F. and C. W. J. Granger (1987). “Co-integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55, 251–276.
Fisher, R. A. (1932). Statistical Methods for Research Workers, 4th Edition, Edinburgh: Oliver & Boyd.
Johansen, Søren (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 59, 1551–1580.
Johansen, Søren (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
Johansen, Søren and Katarina Juselius (1990). “Maximum Likelihood Estimation and Inferences on Cointegration—with applications to the demand for money,” Oxford Bulletin of Economics and Statistics, 52, 169–210.
Kao, C. (1999). “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data,” Journal of Econometrics, 90, 1–44.
Kelejian, H. H. (1982). “An Extension of a Standard Test for Heteroskedasticity to a Systems Framework,” Journal of Econometrics, 20, 325-333.
Lütkepohl, Helmut (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.
Lütkepohl, Helmut (2007). New Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.
Maddala, G. S. and S. Wu (1999). “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631–52.
MacKinnon, James G., Alfred A. Haug, and Leo Michelis (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,” Journal of Applied Econometrics, 14, 563-577.
Martin, Vance, Stan Hurn, and David Harris (2013). Econometric Modelling with Time Series. New York: Cambridge University Press.
Newey, Whitney and Kenneth West (1994). “Automatic Lag Selection in Covariance Matrix Estimation,” Review of Economic Studies, 61, 631-653.
Osterwald-Lenum, Michael (1992). “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bulletin of Economics and Statistics, 54, 461–472.
Pedroni, P. (1999). “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,” Oxford Bulletin of Economics and Statistics, 61, 653–70.
Pedroni, P. (2004). “Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis,” Econometric Theory, 20, 597–625.
Pesaran, M. Hashem and Yongcheol Shin (1998). “Impulse Response Analysis in Linear Multivariate Models,” Economics Letters, 58, 17-29.
Phillips, P.C.B. and P. Perron (1988). “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335–346.
Rao, C. Radhakrishna (1973). Linear Statistical Inference and Its Applications, Second Edition. New York: John Wiley & Sons.
Rubio-Ramirez, F., Daniel F. Waggoner, and Tao Zha (2010). “Structural Vector Autogregressions: Theory of Identification and Algorithms for Inference,” The Review of Economic Studies, 77, 665–696.
Said, Said E. and David A. Dickey (1984). “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order,” Biometrika, 71, 599–607.
Sims, Christopher (1980). “Macroeconomics and Reality,” Econometrica, 48, 1-48.
Sims, Christopher and Tao Zha (1998). “Bayesian Methods for Dynamic Multivariate Models,” International Economic Review, 39, 949–968.
Urzua, Carlos M. (1997). “Omnibus Tests for Multivariate Normality Based on a Class of Maximum Entropy Distributions,” in Advances in Econometrics, Volume 12, Greenwich, Conn.: JAI Press, 341-358.
White, Halbert (1980).“A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity,” Econometrica, 48, 817–838.