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