TimeSeriesBook.pdf

Elsevier p hall and q yao inference in arch and garch

Info icon This preview shows pages 416–418. Sign up to view the full content.

View Full Document Right Arrow Icon
Elsevier. P. Hall and Q. Yao. Inference in ARCH and GARCH models with heavy- tailed errors. Econometrica , 71(1):285–317, 2003. R. E. Hall. Stochastic implications of the life cycle-permanent income hy- pothesis: Theory and evidence. Journal of Political Economy , 86:971–987, 1978. J. D. Hamilton. Time Series Analysis . Princeton University Press, New Jersey: Princeton, 1994a. J. D. Hamilton. State-Space models. In R. F. Engle and D. L. McFadden, editors, Handbook of Econometrics , volume 4, chapter 50, pages 3039–3080. Elsevier, Amsterdam, 1994b. E. J. Hannan and M. Deistler. The Statistical Theory of Linear Systems . John Wiley and Sons, New York, 1988. L. P. Hansen and T. J. Sargent. Two difficulties in interpreting vector au- toregressions. In L. P. Hansen and T. J. Sargent, editors, Rational Expec- tations Econometrics , Underground Classics in Economics, pages 77–119. Westview, Boulder, Colorado, 1991. L. P. Hansen and T. J. Sargent. Saesonality and approximation errors in rational expectations models. Journal of Econometrics , 55:21–55, 1993. A. C. Harvey. Forecasting, Structural Time Series Models and the Kalman Filter . Cambridge University Press, Cambridge, 1989. A. C. Harvey and A. Jaeger. Detrending, stylized facts and the business cycle. Journal of Applied Econometrics , 8:231–247, 1993. A. C. Harvey and R. G. Pierce. Estimating missing observations in economic time series. Journal of the American Statistical Association , 79:125–131, 1984.
Image of page 416

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
398 BIBLIOGRAPHY L. D. Haugh. Checking the independence of two covariance stationary time series: A univariate residual cross-correlation approach. Journal of the American Statistical Association , 71:378–385, 1976. M. A. Hauser, B. M. P¨otscher, and E. Reschenhofer. Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures. Empirical Economics , 24:243–269, 1999. R. J. Hodrick and E. C. Prescott. Post-war U.S. business cycles: An em- pirical investigation. Discussion Paper 451, Carnegie-Mellon University, Pittsburgh, 1980. R. V. Hogg and A. T. Craig. Introduction to Mathematical Statistics . Prentice-Hall, Upper Saddle River, New Jersey, 5th edition, 1995. E. P. Hong. The autocorrelation structure for the GARCH-M process. Eco- nomics Letters , 37:129–132, 1991. E. P. Howrey. A spectrum analysis of the long swing hypothesis. International Economic Review , 9:228–252, 1968. S. Hylleberg. Seasonality in Regression . Academic Press, Orlando, Florida, 1986. S. Hylleberg, R. F. Engle, C. W. J. Granger, and S. Yoo. Seasonal integration and cointegration. Journal of Econometrics , 44:215–238, 1990. S. T. Jensen and A. Rahbek. Asymptotic normality for non-stationary, ex- plosive GARCH. Econometric Theory , 20(6):1203–1226, 2004. S. Johansen. Statistical analysis of cointegration vectors. Journal of Eco- nomic Dynamics and Control , 12:231–254, 1988. S. Johansen. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica , 59:1551–1580, 1991.
Image of page 417
Image of page 418
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern