TimeSeriesBook.pdf

S w lee and b e hansen asymptotic theory for the

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S.-W. Lee and B. E. Hansen. Asymptotic theory for the GARCH(1,1) quasi- maximum likelihood estimator. Econometric Theory , 10:29–52, 1994. M. Lippi and L. Reichlin. The dynamic effects of aggregate demand and supply disturbances: Comment. American Economic Review , 83:644–652, 1993. R. B. Litterman. Forecasting with Bayesian vector autoregressions: Five years of experience. Journal of Business and Economic Statistics , 4:25–38, 1986. L. Ljung. System Identification: Theory for the User . Prentice Hall, Engle- wood Cliffs, New Jersey, 2nd edition, 1999. R. E. Lucas. Econometric policy evaluation: A critique. In K. Brunner and A. H. Meltzer, editors, The Phillips Curve and Labor Markets , volume 1 of Carnegie-Rochester Conference Series on Public Policy , pages 19–46, Amsterdam, 1976. North-Holland. R. L. Lumsdaine. Consistency and asymptotic normality of the quasi- maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models,. Econometrica , 64:575–596, 1986. H. L¨utkepohl. Asymptotic distributions of impulse response functions and forecast error variance decomposition. Review of Economics and Statistics , 72:116–125, 1990.
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BIBLIOGRAPHY 401 H. L¨utkepohl. New Introduction to Multiple Time Series Analysis . Springer- Verlag, Berlin, 2006. H. L¨utkepohl, A. Staszewska-Bystrova, and P. Winker. Comparison of meth- ods for constructing joint confidence bands for impulse response functions. Discussion Paper 1292, DIW Berlin, 2013. J. G. MacKinnon. Critical values for co-integration tests. In R. F. Engle and C. W. J. Granger, editors, Long-Run Economic Relationships , pages 267–276, Oxford, 1991. Oxford University Press. J. G. MacKinnon. Numerical distribution functions for unit root and coin- tegration tests. Journal of Applied Econometrics , 11:601–618, 1996. J. G. MacKinnon and A. A. Smith, Jr. Approximate bias correction in econometrics. Journal of Econometrics , 85:205–230, 1998. J. G. MacKinnon, A. Haug, and L. Michelis. Numerical distribution functions of the likelihood ratio test for cointegration. Journal of Applied Economet- rics , 14:563–577, 1999. J. R. Magnus and H. Neudecker. Matrix Differential Calculus with Applica- tions in Statistics and Econometrics . John Wiley and Sons, Chichester, 1988. M. Marcellino, J. H. Stock, and M. W. Watson. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometric , 135:499–526, 2006. F. H. C. Marriott and J. A. Pope. Bias in the estimation of autocorrelation. Biometrika , 41:393–402, 1954. P. Mertens and S. R¨assler. Prognoserechnung - einf¨uhrung und ¨ Uberblick. In P. Mertens and S. R¨assler, editors, Prognoserechnung , pages 1–37, Hei- delberg, 2005. Physica-Verlag. C. D. Meyer. Matrix Analysis and Applied Linear Algebra . Society for In- dustrial and Applied Mathematics, Philadelphia, 2000. T. C. Mills. Modelling Trends and Cycles in Economic Time Series . Palgrave Texts in Econometrics. Palgrave Macmillan, Hampshire, 2003.
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