Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

REFERENCES

BABA, Y., D. F. HENDRY, and R. M. STARR ( 1992), "'The Demand for M1 in the U.S.A., 1960-1988'", Review of Economic Studies, 59, 1, pp. 25-61.

BANERJEE, A., J. J. DOLADO, J. W. GALBRAITH, and D. F. HENDRY ( 1993), Co-integration, Error Correction, and the Econometric Analysis of Non-stationary Data, Oxford, Oxford University Press.

BARTELSMAN, E. J. and W. P. CLEVELAND ( 1993), "'Joint Seasonal Adjustment of Economic Time Series'", mimeo, Board of Governors of the Federal Reserve System, Washington, D.C.

BAUMOL, W. J. ( 1952), "'The Transactions Demand for Cash: An Inventory Theoretic Approach'", Quarterly Journal of Economics, 66, 4, pp. 545-56.

BEAULIEU, J. J. and J. A. MIRON ( 1993), "'Seasonal Unit Roots in Aggregate U.S. Data'", Journal of Econometrics, 55, 1/2, pp. 305-28.

BELL, W. R. ( 1992), "'On Some Properties of X-11 Symmetric Linear Filters'", mimeo, Statistical Research Division, U.S. Bureau of the Census, Washington, D.C.

BELL, W. R. and D. WILCOX ( 1990), "'A Note on Seasonal Models, Seasonal Adjustment, and Nonseasonal Unit Roots'", mimeo, Board of Governors of the Federal Reserve System, Washington, D.C.

BIRCHENHALL, C. R., R. C. BLADEN-HOVELL, A. P. L. CHUI, D. R. OSBORN, and J. P. SMITH ( 1989), "'A Seasonal Model of Consumption'", Economic Journal, 99, 397, pp. 837-43.

BOX, G. E. P. and D. A. PIERCE ( 1970), "'Distribution of Residual Autocorrelations in Autoregressive-integrated Moving Average Time Series Models'", Journal of the American Statistical Association, 65, 332, pp. 1509-26.

BROWN, R. L., J. DURBIN, and J. M. EVANS ( 1975), "'Techniques for Testing the Constancy of Regression Relationships over Time'", Journal of the Royal Statistical Society, Series B, 37, 2, pp. 149-92 (with discussion).

BURRIDGE, P. and K. F. WALLIS ( 1984), "'Unobserved-components Models for Seasonal Adjustment Filters'", Journal of Business and Economic Statistics, 2, 4, pp. 350-9.

CAMPOS, J., N. R. ERICSSON, and D. F. HENDRY ( 1990), "'An Analogue Model of Phaseaveraging Procedures'", Journal of Econometrics, 43, 3, pp. 275-92.

CHONG, Y. Y. and D. F. HENDRY ( 1986), "'Econometric Evaluation of Linear Macro-economic Models'", Review of Economic Studies, 53, 4, pp. 671-90.

CHOW, G. C. ( 1960), "'Tests of Equality between Sets of Coefficients in Two Linear Regressions'", Econometrica, 28, 3, pp. 591-605.

CLEVELAND, W. P. and G. C. TIAO ( 1976), "'Decomposition of Seasonal Time Series: A Model for the Census X-11 Program'", Journal of the American Statistical Association, 71, 355, pp. 581-7.

COGHLAN, R. T. ( 1978), "'A Transactions Demand for Money'", Bank of England Quarterly Bulletin, 18, 1, pp. 48-60.

COX, D. R. ( 1961), "'Tests of Separate Families of Hypotheses'" in J. Neyman (ed.), Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, Berkeley, University of California Press, Volume 1, pp. 105-23.

----- ( 1962), "'Further Results on Tests of Separate Families of Hypotheses'", Journal of the Royal Statistical Society, Series B, 24, 2, pp. 406-24.

CUTHBERTSON, K. ( 1988), "'The Demand for M1: A Forward Looking Buffer Stock Model'", Oxford Economic Papers, 40, 1, pp. 110-31.

DAVIDSON, J. E. H. ( 1987), "'Disequilibrium Money: Some Further Results with a Monetary Model of the UK'", Chapter 6 in C. A. E. Goodhart, D. Currie, and D. T. Llewellyn (eds.), The Operation and Regulation of Financial Markets, London, Macmillan Press, pp. 125-49.

DAVIDSON, J. E. H., D. F. HENDRY, F. SRBA, and S. YEO ( 1978), "'Econometric Modelling of the Aggregate Time-series Relationship between Consumers'" Expenditure and Income in the United Kingdom', Economic Journal, 88, 352, pp. 661-92.

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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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