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Essentials of Time Series Modeling
BIBLIOGRAPHY (19 September 2009)
Baillie, Richard, "Long Memory Processes and Fractional Integration in Econometrics,"
Journal of Econometrics 1996 pp 5-59
Bollerslev, T "Generalized Autoregressive Conditional Heteroscedasticity," Journal of
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Bollerslev, T and E. Ghysels, "Periodic Autoregressive Conditional Heteroscedasticity,"
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Box, George E. P , Gwilym Jenkins and Gregory Reinsel. Time Series Analysis: Forecasting
and Control. 3rd ed. Englewood Cliffs, N. Prentice Hall, 1994
Cambell, John & Andrew Lo A. Craig MacKinley The Econometrics of Financial Markets.
New Jersey: Princeton University Press, 1997.
Croston, J. F. "Forecasting and Stock Control for Intermittent Demands," Operational
Research Quarterly, 23 (1972) 289-304.
Doornik, J. A. “Approximations to the Asymptotic Distribution of Cointegration Tests,”
Journal of Economic Surveys, 12, 1998: 573-593.
Elliott, Graham, Thomas Rothenberg and James Stock, "Efficient Tests for an Autoregressive
Unit Root," Econometrica 64(4) 1996: 813-836.
Enders, Walter. Applied Economic Time Series. New York, John Wiley, 1995, 2004.
Engle, Robert. ARCH Selected Readings. U. K. Oxford University Press 1995
Engle, Robert and T. Bollerslev. “Modeling of Persistence of Conditional Variances,”
Econometric Reviews, 5 (1986), 1-50.
Engle, Robert and Clive Granger. "Cointegration and Error-Correction: Representation,
Estimation and Testing," Econometrica 55 (March 1987), 251-276.
Fiorentini, Gabriele and Giorgio Calzolari and Lorenzo Panattoni, "Analytic Derivatives and
the Computation of GARCH Estimates," Journal of Applied Econometrics 11 (1996), 399417.
Gardner, Everette. "Exponential Smoothing: The State of the Art – Part II," International
Journal of Forecasting, 22 (2006), 637-666.
Geweke, John and Susan Porter-Hudak, "The Estimation and Application
of Long Memory Time Series Models", J. of Time Series Analysis, 1983, 221-238.
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Essentials of Time Series Modeling
Greene, William. Economic Analysis, ed 4., ed. 5, New Jersey, Prentice Hall, 2000, 2004.
Hanke, John and Arthur Reitsch. Business Forecasting, ed. 6, New Jersey, Prentice Hall,
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Johansen, Soren, "Statistical Analysis of Cointegrating Vectors," Journal of Economic
Dynamics and Control, 12 (1988): 231-254.
Johansen, Soren, "Estimation and Hypothesis Testing of Cointegrated Vectors in Gausian
VAR Models," Ecometrica, 59(6) (1991): 1551-1580.
Judd, Kenneth. Numerical Methods in Economics, MIT Press, Cambridge, MA, 1998.
Lee, Jin Man. "A MonteCarlo Study of Asymmetric Time Series." Unpublished PhD
dissertation University of Illinois at Chicago, 2001.
Liu, Lon-Mu. Time Series Analysis and Forecasting, 2nd ed. Scientific Computing
Associates Corp. Chicago, IL 2006.
Lo, Andrew W. & A. Craig MacKinley. A Non-Random Walk Down Wall Street. New
Jersey: Princeton University Press, 1999
Mann, H. and A. Wald, "On the Statistical Treatment of Linear Stochastic Difference
Equations," Econometrica, 11 (1943), 173-220.
McCullough, B. D and Charles Renfro. "Benchmarks and software standards: A case study
of GARCH procedures," Journal of Economic and Social Measurement 25 (1998), 59-71
Nelson, D. "Conditional heteroskedasticity in asset returns: A new approach," Econometrica,
59, 1991, 347-370.
Nelson, C. Applied Time Series Analysis for Managerial Forecasting. San Francisco: Holden
Day, 1973.
Nelson, C. "How to Interpret R2 in an ARMA Model," Charles Nelson The American
Statistician, Nov 1976 Vol 30 # 4 pp 175-180
Pena, Danial and George Tiao and Ruey Tsay. A Course in Time Series Analysis. Wiley,
New York. 2001.
Rabemananjara, R. and J. M. Zakoian. "Threshold ARCH Models and Asymmetries in
Volatility." Journal of Applied Econometrics, Vol. 8, (1993), 31-49.
Sinai, Allen and Houston H. Stokes, "Real Money Balances: An Omitted Variable From the
Production Function," Review of Economics and Statistics 54, no. 3 (August 1972): 290-296.
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Essentials of Time Series Modeling
Sinai, Allen and Houston H. Stokes, "Money and the Production Function: A Reply to Boyes
and Kavanaugh," Review of Economics and Statistics 63, no. 2 (May 1981): 313-318.
Stock, James and Mark Watson, "A Simple Estimator of Cointegrating Vectors Vectors in
Higher Order Integrated Systems," Econometrica 61(4): 783-820.
Stock, James, "Unit Roots, Structural Breaks and Trends," Chapter 46 in Handbook of
Econometrics Volume 4, Edited by Robert Engle and Daniel McFadden, North Holland,
Amsterdam, 1994.
Stock, James and Mark Watson, Introduction to Econometrics, Wiley, New York, 2003.
Stock, James and Mark Watson, "Has the Business Cycle Changed and Why?" NBER
Working Paper No. 9127, September 2002.
Stokes, Houston H. "Effects of Alternative Seasonal Adjustment Procedures on Monetary
Policy: Comment," Journal of Econometrics, Vol. 4, No. 1 September 1980, pp. 137-140.)
Stokes, Houston H. Specifying and Diagnostically Testing Econometric Models, ed. 2. New
York, Quorum Books, 1997
Syentetos, A. A. and J. E. Boylan "On the Bias of Intermittent Demand Estimates"
International Journal of Production Economics 71 (2001) 457-466.
Teunter, Rudd H. and Bababgida Sani "On the Bias of Croston's Forecasting Methods"
European Journal of Operational Research 1994(1) (2006) 177-183.
Tiao, George O. and Ruey Tsay. "Multiple Time Series Modeling and Extended Sample
Cross-correlations," Journal of Business and Economic Statistics, 1(1) (1983): 43-56.
Tsay, Ruey. Analysis of Financial Time Series. Wiley New York, 2002, 2006.
Tsay, Ruey and George Tiao. "Consistent Estimates of Autoregressive Parameters and
Extended Sample Autocorrelation Function for Stationary and Non-stationary ARIMA
Models," Journal of the American Statistical Association 79 (1984) 84-96.
Tsay, Wen-Jen and Ching-Fan Chung "The Spurious Regression of Fractionally Integrated
Processes" Journal of Econometrics 96, (2000) 155-182.
Wei, William W. Time Series Analysis: Univariate and Multivariate Methods. 2nd ed. New
York: Pearson- Addison Wesley, 2006.
Zakoian, J. M., "Threshold heteroskedastic models," Journal of Economic Dynamics and
Control 18 (1994): 931-955.
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