Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

REFERENCES

CECCHETTI, S. G., P. LAM and N. C. MARK ( 1990), "'Mean Reversion in Equilibrium Asset Prices'", American Economic Review, 80, 3, pp. 398-418.

DEMPSTER, A. P., N. M. LAIRD and D. B. RUBIN ( 1977), "'Maximum Likelihood from Incomplete Data via the EM Algorithm'", Journal of the Royal Statistical Society, 39, pp. 1-38.

DE M. TOLDI, C. GOURIEROUX and A. MONFORT ( 1992), "'On Seasonal Effects in Duration Models'", Working Paper #9216, INSEE, Paris.

DIEBOLD, F. X. and G. D. RUDEBUSCH ( 1993), "'Measuring Business Cycles: A Modern Perspective'", Manuscript, Dept. of Economics, University of Pennsylvania.

DIEBOLD, F. X., G. D. RUDEBUSCH and D. SICHEL ( 1993), "'Further Evidence on Business Cycle Duration Dependence'", in J. H. Stock and M. W. Watson (eds.), New Research on Business Cycles, Indicators and Forecasting, University of Chicago Press for NBER, Chicago, pp. 255-84.

DIEBOLD, F. X. and T. SCHUERMANN ( 1992), "'Exact Maximum Likelihood Estimation of ARCH Models'", Manuscript, Dept. of Economics, University of Pennsylvania.

ENGEL, C. and J. D. HAMILTON ( 1990), "'Long Swings in the Dollar: Are They in the Data and do Markets Know it?'", American Economic Review, 80, 4, pp. 689-713.

FILLARDO, A. J. ( 1991), "'Business Cycle Phases and Their Transitions'", Manuscript, Dept. of Economics, University of Chicago.

GHYSELS, E. ( 1992), "'A Time Series Models of Growth Cycles and Seasonals with Stochastic Regime Switches'", Manuscript, CRDE, Dept. of Economics, University of Montreal.

GOLDFELD, S. M. and R. E. QUANDT ( 1973), "'A Markov Model for Switching Regressions'", Journal of Econometrics, 1, pp. 3-16.

HAMILTON, J. D. ( 1988), "'Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates'", Journal of Economic Dynamics and Control, 12, pp. 385-423.

----- ( 1989), "'A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle'", Econometrica, 57, pp. 357-84.

----- ( 1990), "'Analysis of Time Series Subject to Changes in Regime'", Journal of Econometrics, 45, pp. 39-70.

LEE, J.-H. ( 1991), "'Nonstationary Markov Switching Models of Exchange Rates: The Pound- Dollar Exchange Rate'", PhD Dissertation, University of Pennsylvania.

MARK, N. C. ( 1992), "'Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability and Overshooting'", Manuscript, Dept. of Economics, Ohio State University.

QUANDT, R. E. ( 1958), "'The Estimation of Parameters of Linear Regression System Obeying Two Separate Regimes'", Journal of the American Statistical Association, 55, pp. 873-80.

RUUD, P. A. ( 1991), "'Extension of Estimation Methods Using the EM Algorithm'", Journal of Econometrics, 49, pp. 305-41.

WATSON, M. W. and R. F. ENGLE ( 1983), "'Alternative Algorithms for the Estimation of Dynamic Factor, Mimic and Varying Coefficient Models'", Journal of Econometrics, 15, pp. 385-400.

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Nonstationary Time Series Analysis and Cointegration
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • List of Figures vii
  • List of Tables xiii
  • List of Contributors xv
  • Foreword xvii
  • 1 - Introduction 1
  • References 8
  • 2 - Towards a Theory of Economic Forecasting 9
  • Appendix 48
  • References 50
  • 3 - Bayes Models and Forecasts of Australian Macroeconomic Time Series 53
  • References 86
  • 4 - A Review of Methods of Estimating Cointegrating Relationships 87
  • References 129
  • 5 - A Test of the Null Hypothesis of Cointegration 133
  • References 151
  • 6 - Modelling Seasonal Variation 153
  • References 176
  • 7 - Cointegration, Seasonality, Encompassing, and the Demand for Money in the Uk 179
  • Appendix A. the Data 214
  • Appendix B. Sequential Reduction Analysis 216
  • References 220
  • 8 - Evaluating a Real Business Cycle Model 225
  • Appendix 252
  • References 254
  • 9 - Misspecification Versus Bubbles in the Cagan Hyperinflation Model 257
  • References 281
  • 10 Regime Switching with Time-Varying Transition Probabilities 283
  • Appendix 299
  • References 302
  • Name Index 303
  • Subject Index 307
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