User’s Guide : Basic Single Equation Analysis : Time Series Regression : References
  
References
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Box, George E. P. and Gwilym M. Jenkins (1976). Time Series Analysis: Forecasting and Control, Revised Edition, Oakland, CA: Holden-Day.
Box, George E.P., Jenkins, Gwilym M., and Gregory C. Reinsel (2008). Time Series Analysis: Forecasting and Control, Fourth Edition, Hoboken, New Jersey: John Wiley & Sons.
Doornik, Jurgen A. and Marius Ooms (2003). “Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models,” Computational Statistics & Data Analysis, 42, 333–348.
Fair, Ray C. (1984). Specification, Estimation, and Analysis of Macroeconometric Models, Cambridge, MA: Harvard University Press.
Geweke, J. F. and S. Porter-Hudak (1983). “The Estimation and Application of Long Memory Time Series ModelsJournal of Time Series Analysis, 4, 221–238.
Granger, C. W. J. and Roselyne Joyeux (1980). “An Introduction to Long-Memory Time Series Models and Fractional Differencing,” Journal of Time Series Analysis, 1, 15–29.
Greene, William H. (2008). Econometric Analysis, 6th Edition, Upper Saddle River, NJ: Prentice-Hall.
Hamilton, James D. (1994). Time Series Analysis, Princeton University Press.
Hayashi, Fumio. (2000). Econometrics, Princeton, NJ: Princeton University Press.
Hosking, J. R. M. (1981). “Fractional Differencing,” Biometrika, 68, 165–176.
Johnston, Jack and John Enrico DiNardo (1997). Econometric Methods, 4th Edition, New York: McGraw-Hill.
Kohn, Robert and Craig F. Ansley (1985). “Efficient Estimation and Prediction in Time Series Regression Models,” Biometrika, 72, 694–697.
Rao, P. and Z. Griliches (1969). “Small Sample Properties of Several Two-Stage Regression Methods in the Context of Auto-Correlated Errors,” Journal of the American Statistical Association, 64, 253–272.
Sowell, Fallaw (1992). “Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models,” Journal of Econometrics, 53, 165–188.
Sowell, Fallaw (1992a). “Modeling Long-run Behavior with the Fractional ARIMA Model,” Journal of Monetary Economics, 29, 277–302.