TS Lectures References

TS Lectures References - NBER Summer Institute Whats New in...

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NBER Summer Institute What’s New in Econometrics – Time Series July 14-16, 2008 References Adolfson, M., J. Lindé, and M. Villani (2007), “Forecasting Performance of an Open Economy DSGE Model,” Econometric Reviews . 26, 289-328. Ahmadi, P. Amir and H. Uhlig (2007), “Measuring the Dynamic Effects of Monetary Policy Shocks: A Bayesian FAVAR Approach with Sign Restrictions,” manuscript, University of Chicago. Amemiya, T. (1966). “On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation,” International Economic Review 7, 283- 303. Amengual, D. and M.W. Watson (2007). “Consistent Estimation of the Number of Dynamic Factors in a Large N And T Panel,” Journal of Business and Economic Statistics , 91-96. An, S. and F. Schorfheide (2007). “Bayesian Analysis of DSGE Models”. (with discussion), Econometric Reviews 26, 113-172. Anderson, B.D.O. and J.B. Moore (2005), Optimal Filtering , Dover Publishing. Anderson, T.W. (1971), Time Series Analysis , New York: Wiley. Anderson, T.W. (1984), An Introduction to Multivariate Statistical Analysis , second edition (Wiley, New York). Anderson, T.W. and H. Rubin (1949). “Estimators of the Parameters of a Single Equation in a Complete Set of Stochastic Equations,” Annals of Mathematical Statistics 21, 570-582. Anderson, T., Kunitomo, N. and Morimune, K. (1986). “Comparing single equation estimators in a simultaneous equation system.” Econometric Theory 2, 1–32. Andrews and Stock (2006), “Testing with Many Weak Instruments,” Journal of Econometrics 138, 24-46. Andrews, D.W.K. (1991), “Heteroskedasticity and Autocorrelation Robust Consistent Covariance Matrix Estimation,” Econometrica , 59, 817-858. Andrews, D.W.K. (1993), “Tests for Parameter Instability and Structural Change with Unknown Change Point,” Econometrica , 61, 821-856. Andrews, D.W.K. (1993). “The Large Sample Correspondence between Classical Hypothesis Test and Bayesian Posterior Odds Tests,” Econometrica 62, 1207- 1232. Andrews, D.W.K. and J.C. Monahan (1992), “An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,” Econometrica , 60, 953-966. Andrews, D.W.K. and J.H. Stock (2007). “Inference with Weak Instruments,” in Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, Vol. III , ed. by R. Blundell, W. K. Newey, and T. Persson. Cambridge, UK: Cambridge University Press. Andrews, D.W.K. and P. Guggenberger (2007a). “The Limit of Finite-Sample Size and a Problem with Subsampling,” Cowles Foundation WP 1605R. Revised July 23, 2008 References, p. 1
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Andrews, D.W.K. and P. Guggenberger (2007b). “Applications of Subsampling, Hybrid, and Size-Correction Methods,” Cowles Foundation WP 1608. Andrews, D.W.K., M. Moreira, and J.H. Stock (2006). “Optimal Two-Sided Invariant
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TS Lectures References - NBER Summer Institute Whats New in...

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