This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
Abadir, K.M. &
On the definition of (co-)integration.
Journal of Time Series Analysis20,
Heteroskedasticity and autocorrelation consistent covariance matrix
Andrews, D.W.K. &
Nonlinear econometric models with deterministically trending
Review of Economic Studies62,
Anthony, M. &
On the mean-reverting properties of target zone exchange rates: Some
evidence from the ERM.
European Economic Review42,
Discretization error in simulation of one-dimensional reflecting
Annals of Applied Probability5,
Barr, D.G. &
Neo-classical consumer demand theory and the demand for
Bec, F. &
Vector equilibrium correction models with non-linear discontinuous
Caner, M. &
Threshold autoregression with a unit root.
Testing the unit root hypothesis using generalized rescaled range
Establishing conditions for the functional central limit theorem in
nonlinear and semiparametric time series processes.
Journal of Econometrics106,
De Jong, R.J. &
Consistency of kernel estimators of heteroskedastic and
autocorrelated covariance matrices.
Efficient tests for an autoregressive unit root.
Consistent covariance matrix estimation for dependent heterogeneous
Consistent covariance matrix estimation for linear processes.
Nelson, C.R. &
Trends and random walks in macroeconomic time series.
Journal of Monetary Economics10,
Ng, S. &
Lag length selection and the construction of unit root tests with
good size and power.
Stationary processes that look like random walks—the bounded
random walk process in discrete and continuous time.
Time series regression with a unit root.
Toward a unified asymptotic theory for autoregression.
Descriptive econometrics for non-stationary time series with
Journal of Applied Econometrics16,
Phillips, P.C.B. &
Asymptotic properties of residual based tests for
Phillips, P.C.B. &
Asymptotics for linear processes.
Annals of Statistics20,
Saikkonen, P. &
Cointegrating smooth transition regressions.
Sargan, J.D. &
Testing residuals from least squares regression for being generated
by the Gaussian random walk.
Assessing target zone credibility: Mean reversion and devaluation
expectations in the ERM, 1979–1992.
European Economic Review37,