TimeSeriesBook.pdf

Watson abcs and ds of understanding vars american

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Watson. ABCs and (Ds) of understanding VARs. American Economic Review , 97:1021–1026, 2007. M. Friedman and A. J. Schwartz. A Monetary History of the United States, 1867 – 1960 . Priceton University Press, Princeton, New Jersey, 1963. R. A. Fry and A. R. Pagan. Sign restrictions in structural vector autore- gressions: A critical review. Journal of Economic Literature , 49:938–960, 2011. W. A. Fuller. Introduction to Statistical Time Series . John Wiley and Sons, New York, 1976. J. Gal´ ı. How well does the IS-LM model fit postwar U.S. data? Quarterly Journal of Economics , 107(2):709–738, 1992. J. Gal´ ı. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review , 89: 249–271, 1999. J. F. Geweke. Inference and causality in economic time series models. In Z. Griliches and M. D. Intriligator, editors, Handbook of Econometrics , volume II, pages 1101–1144. Elsevier, Amsterdam, 1984.
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396 BIBLIOGRAPHY J. F. Geweke. Contemporary Bayesian Econometrics and Statistics . Wiley Series in Probability and Statistics. John Wiley and Sons, New York, 2005. E. Ghysels and D. R. Osborn. The Econometric Analysis of Seasonal Time Series . Cambridge University Press, Cambridge, UK, 2001. C. Giannini. Topics in structural VAR econometrics. Quaderni di Ricerca 21, Universit` a degli Studi di Anacona, Dipartimento di Economia, 1991. L. Giraitis, P. Kokoszka, and R. Leipus. Stationary ARCH models: Depen- dence structure and central limit theorem. Econometric Theory , 16:3–22, 2000. L. R. Glosten, R. Jagannathan, and D. E. Runkle. On the relation between expected value and the volatility of the nominal excess returns on stocks. Journal of Finance , 48:1779–1801, 1993. I. Gohberg, P. Lancaster, and L. Rodman. Matrix Polynomials . Academic Press, New York, 1982. V. G´omez and A. Maravall. Programs TRAMO and SEATS. Instructions for the user (with some updates). Working Paper 9628, Servicio de Estudios, Banco de Espa˜na, 1996. J. Gonzalo and S. Ng. A systematic framework for analyzing the dynamic ef- fects of permanent and transitory schocks. Journal of Economic Dynamics and Control , 25:1527–1546, 2001. N. Gospodinov. Inference in nearly nonstationary SVAR models with long- run identifying restrictions. Journal of Business and Economic Statistics , 28:1–12, 2010. C. Gouri´ eroux. ARCH Models and Financial Applications . Springer-Verlag, New York, 1997. C. W. J. Granger. Spectral Analysis of Economic Time Series . Princeton University Press, Princeton, New Jersey, 1964. C. W. J. Granger. The typical spectral shape of an economic variable. Econo- metrica , 34:150–161, 1966. C. W. J. Granger. Investigating causal relations by econometric models and cross-spectral methods. Econometrica , 37(3):424–438, 1969.
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BIBLIOGRAPHY 397 C. W. J. Granger and P. Newbold. Spurious regression in econometrics. Journal of Econometrics , 2:111–120, 1974. W. H. Greene. Econometric Anlysis . Prentice Hall, New Jersey, 7th edition, 2008. W. J. Haan and A. T. Levin. A practitioner’s guide to robust covariance matrix estimation. In G. S. Maddala and C. R. Rao, editors, Handbook of Statistics: Robust Inference , volume 15, pages 299–342, New York, 1997.
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