TimeSeriesBook.pdf

D tjøstheim and j paulsen bias of some commonly used

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D. Tjøstheim and J. Paulsen. Bias of some commonly-used time series esti- mates. Biometrika , 70:389–399, 1983. Corrigendum (1984), 71, 656.
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BIBLIOGRAPHY 407 J. Tobin. Money and income: Post hoc ergo propter hoc? Quarterly Journal of Economics , 84:310–317, 1970. H. Uhlig. What are the effects of monetary policy on output? results from an agnostic identification procedure. Journal of Monetary Economic , 52: 381–419, 2005. H. Uhlig and M. Ravn. On adjusting the HP-filter for the frequency of observations. Review of Economics and Statistics , 84:371–376, 2002. T. J. Vogelsang. Wald-type tests for detecting breaks in the trend function of a dynamic time series. Econometric Theory , 13:818–849, 1997. M. W. Watson. Vector Autoregressions and Cointegration , volume 4 of Hand- book of Econometrics , chapter 47, pages 2843–2915. North-Holland, Ams- terdam, 1994. A. A. Weiss. Asymptotic theory for ARCH models: Estimation and testing. Econometric Theory , 2:107–131, 1986. H. White. A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica , 48:817–838, 1980. E. T. Whittaker. On a new method of graduation. Proceedings of the Edin- brough Mathmatical Society , 41:63–75, 1923. N. Wiener. The theory of prediction. In E. F. Beckenbach, editor, Modern Mathematics for Engineers , Series 1, New York, 1956. McGraw-Hill. M. Woodford. Interest and Prices: Foundations of a Theory of Monetary Policy . Princeton University Press, Princeton, New Jersey, 2003. C. F. J. Wu. On the convergence of the EM algorithm. Annals of Statistics , 11:95–103, 1983. B. S. Yoo. Multi-Cointegrated Time Series and a Generalized Error Correc- tion Model . Ph.d., University of California, San Diego, 1987. G. U. Yule. 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 , 89:1–64, 1926. G. U. Yule. On a method of investigating periodicities in disturbed series, with special reference to Wolfer’ sunspot numbers. Philosophical Transac- tions of the Royal Society, A , 226:267–298, 1927.
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408 BIBLIOGRAPHY P. A. Zadrozny. Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate GARCH(p,q) process. CESifo Working Paper No.1505, 2005. J.-M. Zako¨ ıan. Threshold heteroskedastic models. Journal of Economic Dy- namics and Control , 18:931–955, 1994. A. Zellner. Causality and econometrics. In K. Brunner and A. Meltzer, editors, Three Aspects of Policymaking: Knowledge, Data and Institution , Carnegie-Rochester Conference Series on Public Policy, pages 9–54. North- Holland, Amsterdam, 1979. A. Zellner and F. Palm. Time series analysis and simultaneous equation econometric models. Journal of Econometrics , 2:17–54, 1974. E. Zivot and D. W. Andrews. Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics , 10:251–270, 1992.
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Index ACF, see also Autocorrelation func- tion ADF-test, 157 AIC, see Information criterion, 108, see Information criterion, 263 AR process, 28 autocorrelation function, 28 autocovariance function, 28 stationary solution, 28 ARIMA process, 109, 142 ARMA model estimation, 93 identification, 93 ARMA process, see also Autoregres-
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