Econometric modeling and inference

Econometric Modeling and Inference

Volumn , Issue , 2007, Pages 1-496

  Florens, Jean Pierre ^a   Marimoutou, Vêlayoudom ^b   Péguin Feissolle, Anne ^b  

^a UNIVERSITÉ DE TOULOUSE   (France)

^b Centre National de la Recherche Scientifique   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84924440073     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1017/CBO9780511805592     Document Type: Book

References (314)

1. Aakvik H., Heckman J.J., Vytlacil E.J. (1998). Local instrumental variables and latent variable models for estimating treatment effects. Working paper, University of Chicago.
2. Ai C. (1997).Asemiparametric likelihood estimator. Econometrica, 65, 933–963.
3. Ahn S.K. (1993). Some tests for unit root in autoregressive-integrated-moving average model with deterministic trends. Biometrika, 80, 855–868.
4. Ahn B. C., Choi I. (1999). Testing the null of stationarity for multiple time series. Journal of Econometrics, 88, 41–77.
5. Akaike H. (1970). Statistical predictor identification. Annals of the Institute of Statistical Mathematics, 22, 203–217.
6. Akaike H. (1973). Information theory and an extension of the maximum likelihood principle. In Petrov B.N. and Csaki F. (Eds.). Second international symposium on information theory, Budapest (pp. 267–281), Akademia Kiado.
7. Akaike H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, AC-19, 716–723.
8. Amemiya T. (1974a). A note on a Fair and Jaffee model. Econometrica, 42, 759– 762.
9. Amemiya T. (1974b). The non-linear two-stage least squares estimator. Journal of Econometrics, 2, 105–110.
10. Anderson S.A., Brons H.K., Jensen S.T. (1983). Distributions of eigenvalues in multivariate statistical analysis. Annals of Statistics, 11, 392–415.
11. Andrews D.W.K. (1993). Tests for parameter instability and structural change point. Econometrica, 61, 821–856.
12. Andrews D.W.K. (1994). Empirical process methods in econometrics. In Engle R.F. and McFadden D.L. (Eds.). Handbook of Econometrics, Vol. 4 (pp. 2247– 2294), North Holland, Amsterdam.
13. Baillie R.T., Bollerslev T. (1989). The message in daily exchange rates: a conditional variance tale. Journal of Business and Economic Statistics, 7, 297– 305.
14. Baillie R.T., Bollerslev T. (1990). A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets. Journal of International Money and Finance, 9, 309–324.
15. Baillie R.T., Myers R.T. (1991). Bivariate GARCH estimation of optimal commodity future hedge. Journal of Applied Econometrics, 16, 109–124.
16. Baillie R.T., Osterberg W.P. (1993). Central bank intervention and risk in the forward premium. Econometrics and Economic Theory Papers 9109, Department of Economics, Michigan State University, East Lansing.
17. Baltagi B.H. (2001). Econometrics analysis of panel data. John Wiley & Sons, Chichester.
18. Baltagi B.H., Kao C. (2000). Non stationary panels, cointegration in panels and dynamic panels: a survey. In B.H. Baltagi, T.B. Fomby and R.C. Hills (Eds.). Nonstationary panels, panel cointegration and dynamics panels, Advances in econometrics, Vol. 15, Elsevier.
19. Banerjee A. (1999). Panel data unit roots and cointegration: an overview. Oxford Bulletin of Economics and Statistics, 61, 607–629.
20. Barbe P., Bertail P. (1994). The weighted bootstrap. Lectures Notes in Statistics, 98, Springer-Verlag, New York.
21. Barra J.R. (1981). Mathematical basis of statistics. Academic Press, New York.
22. Basmann R.L. (1957). A classical method of linear estimation of coefficients in a structural equation. Econometrica, 25, 77–83.
23. Bauwens L., Lubrano M., Richard J.F. (1999). Bayesian inference in dynamic econometric models. Oxford University Press, New York.
24. Bera A.K., Garcia P., Roh J.S. (1997). Estimation of time-varying hedge ratios for corn and soybeans: BGARCH and random coefficient approaches. The Indian Journal of Statistics, Series B, 59, 346–368.
25. Bera A.K., Higgins M.L. (1992). A test for conditional heteroskedasticity in time series models. Journal of Time Series Analysis, 13, 6, 501–519.
26. Bera A.K., Higgins M.L. (1993). ARCH models: properties, estimation and testing. Journal of Economic Surveys, 7, 305–366.
27. Bera A.K., Ng P.T. (1991). Robust test for heteroskedasticity and autocorrelation using score function. Mimeo, Department of Economics, University of Illinois at Urbana-Champaign.
28. Beran J. (1994). Statistics for long memory process. Chapman and Hall, New York.
29. Berndt E.R., Hall B.H., Hall R.E., Hausman J.A. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3, 653–665.
30. Beveridge S., Nelson C.R. (1981). A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics, 7, 151–174.
31. Bierens H.J. (1993). Higher order autocorrelations and the unit root hypothesis. Journal of Econometrics, 57, 137–160.
32. Bierens H.J. (1994). Topics in advanced econometrics – Estimation, testing and specification of cross-section and time series models. Cambridge University Press, New York.
33. Bierens H.J. (1997). Testing the unit root hypothesis against non linear trend stationary, with an application to the price level and interest rate in the US. Journal of Econometrics, 81, 29–64.
34. Bierens H.J. (1997). Non parametric cointegration analysis. Journal of Econometrics, 77, 379–404.
35. Bierens H.J., Guo S. (1993). Testing stationarity and trend stationarity against the unit root hypothesis. Econometric Reviews, 12, 1–32.
36. Billingsley P. (1968). Convergence of probability measures. JohnWiley&Sons, New York.
37. Bollerslev T. (1986). Generalized autoregressive heteroscedasticity. Journal of Econometrics, 31, 307–327.
38. Bollerslev T. (1987). A conditionnally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics, 69, 542–547.
39. Bollerslev T. (1990). Modelling the coherence in short run nominal exchange rates: a multivariate generalized ARCH model. Review of Economics and Statistics, 72, 498–505.
40. Bollerslev T., Chou R.Y., Kroner K.F. (1992). ARCH modeling in finance: a review of the theory and empirical evidence. Journal of Econometrics, 52, 5–59.
41. Bollerslev T., Engle R.F., Nelson D.B. (1994). ARCH models. In Engle R.F. and McFadden D.L. (Eds.). Handbook of Econometrics, Volume 4 (pp. 2959– 3037), Elsevier Science, New York.
42. Bollerslev T., Engle R.F., Wooldridge J.M. (1988). A capital asset pricing model with time varying covariances. Journal of Political Economy, 96, 116–131.
43. Bosq D. (1996). Nonparametric statistics for stochastic processes. Springer- Verlag, New York.
44. Bosq D., Lecoutre J.P. (1992). Analyse et prévision des séries chronologiques, Méthodes paramétriques et non paramétriques. Masson.
45. Boswijk H.P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37–60.
46. Boswijk H.P. (1995). Efficient inference on cointegrating parameters in structural error correction models. Journal of Econometrics, 69, 133–158.
47. Bougerol P., Picard N. (1992). Stationarity of GARCH processes and of some non-negative time series. Journal of Econometrics, 52, 115–128.
48. Box G.E.P., Jenkins G.M. (1976). Time series analysis: forecasting and control. Holden-Day, San Francisco.
49. Breitung J. (2002). Non parametric tests for unit roots and cointegration. Journal of Econometrics, 108, 343–364.
50. Breusch T., Pagan A. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47, 1287–1294.
51. Brockwell P.J., Davis R.A. (1987). Time series theory and methods. Springer- Verlag, New York.
52. Carrasco M. (1995). Économétrie des modèles dynamiques avec ruptures. PhD thesis in applied mathematics, Université des Sciences Sociales de Toulouse.
53. Carrasco M. (2002). Misspecified Structural Change, Threshold, and Markov- Switching Models. Journal of Econometrics, 109, 2, 239–273.
54. Carrasco M., Chen X. (2002). Mixing and Moment Properties of Various GARCH and Stochastic Volatility Models. Econometric Theory, 18, 1, 17–39.
55. Carrasco M., Florens J.P. (2000). Generalization of GMM to a continuum of moment conditions. Econometric Theory, 16, 797–834.
56. Carrasco M., Florens J.P. (2002). Simulation based method of moments and efficiency. Journal of Business and Economic Statistics, 20, 482–492.
57. Carrasco M., Florens J.P., Renault E. (2004). Linear inverse problems in structural econometrics: estimation based on spatial decomposition and regularization. Working paper, GREMAQ, University of Toulouse. Forthcoming in Heckman J.J. and Leamer E.E. (Eds.). Handbook of Econometrics, Vol. 6.
58. Caulet R., Peguin-Feissolle A. (2000). Un test d’hétéroscédasticité conditionnelle inspiré de lamodélisation en termes de réseaux neuronaux artificiels. Annales d’économie et de statistique, 59, 177–197.
59. Chan K.S. (1990). Testing for Threshold autoregression. The Annals of Statistics, 18, 1886–1894.
60. Chan W.S., Tong H. (1986). On tests for nonlinearity in a time series analysis. Journal of Forecasting, 5, 217–228.
61. Choi I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14, 293–308.
62. Cox D.R. (1961). Tests of separate families of hypothesis. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability 1, The University of California Press, Berkeley.
63. Cox D.R. (1962). Further results on tests of separate families of hypotheses. Journal of the Royal Statistical Society, Series B, 24, 406–424.
64. Cox D.R., Oakes D. (1984). Analysis of survival data. London, Chapman and Hall.
65. Cox D.R., Miller H.D. (1965). The theory of stochastic processes. Methuen & Co Ltd, London.
66. Dacunha-Castelle D., Duflo M. (1982). Probabilités et statistiques 1: Problèmes à temps fixe. Masson.
67. Dacunha-Castelle D., Duflo M. (1983). Probabilités et statistiques 2: Problèmes à temps mobile. Masson.
68. Danielson J., Richard J.F. (1993). Accelerated gaussian importance sampler with application to dynamic latent variable models. Journal of Applied Econometrics, 8, S153–S173.
69. Darolles S., Florens J.P., Renault E. (2002). Nonparametric instrumental regression. Working paper, GREMAQ, University of Toulouse.
70. Davidson J.E.H. (1994). Stochastic limit theory. Oxford University Press, New York.
71. Davidson R., MacKinnon J.G. (1987). Implicit alternatives and the local power of test statistics. Econometrica, 55, 1305–13329.
72. Davidson R., MacKinnon J.G. (1993). Estimation and inference in econometrics. Oxford University Press, New York.
73. Davidson R., MacKinnon J.G. (1999a). Bootstrap testing in nonlinear models. International Economic Review, 40, 487–508.
74. Davidson R., MacKinnon J.G. (1999b). The size distortion of bootstrap tests. Econometric Theory, 15, 361–376.
75. Davidson R., MacKinnon J.G. (2002a). Bootstrap J tests of nonnested linear regression models. Journal of Econometrics, 109, 167–193.
76. Davidson R., MacKinnon J.G. (2002b). Fast double bootstrap tests of nonnested linear regression models. Econometric Reviews, 21, 417–427.
77. Davidson R., MacKinnon J.G. (2004). Econometric theory and methods. Oxford University Press, New York.
78. Davies R.B. (1977). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 64, 247–254.
79. Davies R.B. (1987). Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika, 74, 33–44.
80. De Groot M.H. (2004). Optimal statistical decisions. John Wiley & Sons, New York.
81. Dellacherie C., Meyer P.A. (1978). Probabilities and potential. North Holland, Amsterdam.
82. Dellacherie C., Meyer P.A. (1982). Probabilities and potentials B. North Holland, Amsterdam.
83. Demos A., Sentana E. (1998). Testing for GARCH effects: a one-sided approach. Journal of Econometrics, 86, 97–127.
84. Dempster A.P., Laird N.M., Rubin D.B. (1977). Maximum likelihood from incomplete data via theEMalgorithm. Journal of the Royal Statistical Society Series B, 39, 1–38.
85. Devroye L. (1985). Non-uniform random variate generation. Springer-Verlag, New York.
86. Dickey D.A., Fuller W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
87. Dickey D.A., Fuller W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 4, 1057–1072.
88. Diebold F.X., Pauly P. (1988). Endogeneous risk in portfolio-balance rational expectations model of the Deutschmark-Dollar rate. European Economic Review, 32, 27–53.
89. Donsker M.D. (1951). An invariance principle for certain probability limit theorems. Memoirs of the American Mathematical Society, 6, 1–12.
90. Doob J. (1953). Stochastic processes. John Wiley & Sons, New York.
91. Doukhan P., Oppenheim G., Taqqu M. (2003). Memory and applications of long range dependence. Birkhauser, Boston.
92. Duffie D., Singleton K. (1993). Simulated moments estimation of Markov models of asset prices. Econometrica, 61, 929–952.
93. Dufour J.M. (1997). Some impossibility theorems in econometrics with applications to structural and dynamic models. Econometrica, 65, 6, 1365–1388.
94. Dufrenot G., Marimoutou V., Peguin-Feissolle A. (2004). Modeling the volatility of the US S&P500 index using an LSTGARCH model. Revue d’économie politique, 114, 4, 453–465.
95. Dufrenot G., Mignon V., Peguin-Feissolle A. (2004). Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models. Economic Modelling, 21, 1, 37–71.
96. Durbin J. (1954). Errors in variables. Review of the International Statistical Institute, 22, 23–32.
97. Elbers C., Ridder G. (1982). True and spurious duration dependence: the identifiability of the proportional hazard model. Review of Economic Studies, 49, 403–440.
98. Eliot G., Rothenberg T.J., Stock J.H. (1992). Efficient tests of an autoregressive unit root. NBER Technical Paper 130.
99. Engle R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987–1007.
100. Engle R.F. (1983). Estimates of the variance of US inflation based on the ARCH model. Journal of Money, Credit and Banking, 15, 3, 286–301.
101. Engle R.F., Bollerslev T. (1986). Modeling the persistence of conditional variances (with comments and response). Econometric Reviews, 5, 1–87.
102. Engle R.F., Gonzales-Rivera G. (1991). Semiparametric ARCH models. Journal of Business and Economic Statistics, 9, 345–3589.
103. Engle R.F., Granger C.W.J. (1987). Cointegration and error cointegration. Representation, estimation and testing. Econometrica, 55, 251–276.
104. Engle R.F., Hendry D.F., Richard J.F. (1983). Exogeneity. Econometrica, 51, 277–304.
105. Engle R.F., Hendry D.F., Trumble D. (1985). Small-sample properties of ARCH estimators and tests. Canadian Journal of Economics, 18, 66–93.
106. Engle R.F., Lilien D.M., Robins R.P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391–407.
107. Fair R.C., Jaffee D.M. (1972). Methods of estimation for markets in disequilibrium: a further study. Econometrica, 42, 497–514.
108. Fan J., Gijbels I. (1992). Variable bandwidth and local linear regression smoothers. Annals of Statistics, 20, 2008–2036.
109. Fan J., Gijbels I. (1996). Local polynomial modeling and applications. Chapman and Hall, London.
110. Fisher F.M. (1959). Generalization of the rank and order conditions for identifiability. Econometrica, 27, 3 431–447.
111. Fisher F.M. (1961a). On the cost of approximate specification in simultaneous equation estimation. Econometrica, 29, 2, 139–170.
112. Fisher F.M. (1961b). Identifiability criteria in nonlinear systems. Econometrica, 29, 4, 574–590
113. Florens J.P. (2003). Inverse problem and structural econometrics: the example of instrumental variables. In Dewatripont M., Hansen L.P. and Turnovsky S.J. (Eds.). Advances in economics and econometrics, theory and applications, Eight World Congress, Vol. 2 (p. 284–310).
114. Florens J.P., FougereD. (1996). Noncausality in continuous time. Econometrica, 64, 5, 1195–1212.
115. Florens J.P., Heckman J.J. (2001). Econometrics, counterfactuals and causal models. Invited lecture at the 12th EC2 conference, Louvain-la-Neuve.
116. Florens J.P., Heckman J.J., Meghir C., Vytlacil E.J. (2003). Instrumental variables, local instrumental variables and control functions. Working paper, GREMAQ, Université des Sciences Sociales, Toulouse.
117. Florens J.F., Hendry D., Richard J.F. (1996). Encompassing and specificity. Econometric Theory, 12, 620–656.
118. Florens J.P., Ivaldi M., Larribeau S. (1996). Sobolev estimation of approximate regressions. Econometric Theory, 12, 753–772.
119. Florens J.P., Larribeau S. (1996). Derivative consistent estimation of a misspecified regression. Working paper, GREMAQ, Université des Sciences Sociales, Toulouse.
120. Florens J.P., Malavolti L. (2003). Instrumental regression with discrete endogeneous variables. Working paper, GREMAQ, Université des Sciences Sociales, Toulouse.
121. Florens J.P., Mouchart M. (1982). A note on noncausality. Econometrica, 50, 583–592.
122. Florens J.P., Mouchart M. (1985a). A linear theory for non causality. Econometrica, 53, 1, 157–176.
123. Florens J.P., Mouchart M. (1985b). Conditioning in dynamic models. Journal of Time Series, 6, 1, 15–35.
124. Florens J.P., Mouchart M. (1993). Bayesian testing and testing bayesian. In Maddala G.S., Rao C.R. and Vinod H.D. (Eds.). Handbook of Statistics, Vol. 11 (pp. 303–334), Elsevier Science, New York.
125. Florens J.P., Mouchart M., Richard J.F. (1979). Specification and inference in linear models. CORE Discussion Paper 7943, Université Catholique de Louvain, Belgique.
126. Florens J.P., Mouchart M., Rolin J.M. (1990). Elements of bayesian statistics. Marcel Dekker, New York.
127. Florens J.P., Protopopescu C., Richard J.F. (2002). Identification and estimation of a class of game theory models. Working paper, GREMAQ, Université des Sciences Sociales, Toulouse.
128. Florens J.F., Rolin J.M. (1996). Bayes, bootstrap moments. Working paper, GREMAQ, Université des Sciences Sociales, Toulouse.
129. Foata D., Fuchs A. (1996). Calcul des probabilités. Masson, Paris.
130. Fomby T.B., Hill R.C., Johnson S.R. (1984). Advanced econometric methods. Springer-Verlag, New York.
131. Frisch R. (1934). Statistical confluence analysis by means of complete regression systems. Working paper, Universitets Økonomiske Institutt, Oslo.
132. Frisch R. (1938). Statistical versus theoretical relations in economic macrodynamics. Working paper, Cambridge University.
133. Fuller, W.A. (1996). Introduction to statistical time series. 2nd edition, John Wiley & Sons, New York.
134. Gallant A.R. (1987). Nonlinear statistical model. John Wiley & Sons, New York.
135. Gallant A.R., Hsieh D., Tauchen G. (1991). On fitting a recalcitrant series: the Pound/Dollar exchange rate. In Barnett W., Powell J., Tauchen G. (Eds.). Nonparametric and semiparametric methods in econometrics and statistics, Cambridge University Press, New York.
136. Gallant A.R., Nychka R. (1987). Semi-nonparametric maximum likelihood estimation. Econometrica, 55, 363–390.
137. Gallant A.R., Tauchen G. (2003). Efficient methods of moments. Working paper, Duke University.
138. Gallant A.R., White H. (1988). A unified theory of estimation and inference for nonlinear dynamic models. Oxford, Basil Blackwell.
139. Garcia R. (1998). Asymptotic null distribution of the likelihood ratio test in markov switching models. International Economic Review, 39, 3, 763–788.
140. Goldfeld S.M., Quandt R.E. (1965). Some tests for homoskedasticity. Journal of the American Statistical Association, 60, 539–547.
141. Gourieroux C. (1989). Économétrie des variables qualitatives. Economica.
142. Gourieroux C., Jasiak J. (2001). Financial econometrics: problems, models and methods. Princeton University Press, Princeton.
143. Gourieroux C., Laffont J.J., Monfort A. (1980). Disequilibrium econometrics in simultaneous equations systems. Econometrica, 48, 75–96.
144. Gourieroux C., Monfort A. (1996a). Statistics and econometric models (2 volumes). Cambridge University Press, New York.
145. Gourieroux C., Monfort A.(1996b). Simulation-based econometric method. CORE Lectures, Oxford University Press.
146. Gourieroux C., Monfort A., Trognon A. (1983). Testing nested or non-nested hypotheses. Journal of Econometrics, 21, 83–115.
147. Gourieroux C., Monfort A., Renault E. (1993). Indirect inference. Journal of Applied Econometrics, 8, 85–118.
148. Granger C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424–438.
149. Granger C.W.J. (1980). Long memory relationships and the agregation of dynamics models. Journal of Econometrics, 14, 227–238.
150. Granger C.W.J., Joyeux R. (1980). An introduction to long memory times series. Journal of Times Series Analysis, 15–30.
151. Granger C.W.J., Terasvirta T. (1993). Modelling nonlinear economic relationships. Oxford University Press.
152. Greene W.H. (1999). Econometric analysis. MacMillan, New York.
153. Hall P. (1992). The bootstrap and Edgeworth expansions. Springer-Verlag, New York.
154. Hall A. (1993). Some aspects of Generalized Method of Moments estimation. In Maddala G.S., Rao C.R. and Vinod H.D. (Eds.). Handbook of statistics, Vol. 11, Elsevier Science Publishers.
155. Hamilton J.D. (1989). A new approach to the econometric analysis of nonstationary time series and the business cycle. Econometrica, 57, 2, 357–384.
156. Hamilton J.D. (1990). Analysis of times series subject to changes in regime. Journal of Econometrics, 45, 39–70.
157. Hamilton J.D. (1993). Estimation inference, and forecasting of time series subject to changes in regime. In Maddala G.S., Rao C.R., and Vinod H.D. (Eds.). Handbook of Statistics, Vol 11, North Holland.
158. Hamilton J.D. (1994). Time series analysis. Princeton University Press, New York.
159. Hannan E.J. (1970). Multiple time series. John Wiley & Sons, New York.
160. Hansen B.E. (1992). Tests for parameter instability in regression with I(1) processes. Journal of Business and Economic Statistics, 10, 321–335.
161. Hansen L.P. (1982). Large sample properties of Generalized Method of Moments estimators. Econometrica, 50, 1029–1054.
162. Hansen L.P. (1985).Amethod of calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators. Journal of Econometrics, 30, 203–238.
163. Hansen L.P., Singleton K.J. (1982). Generalized instrumental variables estimators of nonlinear rational expectations models. Econometrica, 50, 1269–1286.
164. Hardle W. (1990). Applied nonparametric regression. Cambridge University Press, New York.
165. Hausman J.A. (1978). Specification tests in econometrics. Econometrica, 46, 1251–1272.
166. Heckman J.J. (1979). Sample selection bias as a specification error. Econometrica, 47, 5, 153–161.
167. Heckman J.J. (1997). Instrumental variables: a study of implicit behavioral assumptions in one widely used estimator. Journal of Human Ressources, 33, 3, 447–463.
168. Heckman J.J., Honore B. (1990). The empirical content of the Roy model. Econometrica, 58, 5, 1121–1149.
169. Heckman J.J., Ichimura H., Smith J., Todd P. (1998). Characterizing selection bias using experimental data. Econometrica, 66, 5, 1017–1098.
170. Heckman J.J., Robb R. (1985). Alternative methods for evaluating the impact of interventions. In Heckman J.J. and Singer B. (Éds.). Longitudinal analysis of labor market data (pp. 156–245), John Wiley & Sons, New York.
171. Heckman J.J., Singer B. (1984). Econometric duration analysis. Journal of Econometrics, 24, 1–2, 63–132.
172. Heckman J.J., Vytlacil E. (2005). Structural equations, treatment effects, and econometric policy evaluation. Econometrica, 73, 3, 669–738.
173. Hendry D.F. (1984). Monte-Carlo experimentations in econometrics. In Griliches Z. and Intriligator M.D., Handbook of Econometrics, Vol. 2 (pp. 937–976), North Holland, Amsterdam.
174. Hendry D.F. (1995). Dynamic econometrics. Oxford University Press, Oxford.
175. Higgins M.L., Bera A.K. (1992). A class of nonlinear ARCH models. International Economic Review, 33, 137–158.
176. Holly A. (1982). A remark on Hausman’s specification test. Econometrica, 50, 749–759.
177. Holly A., Monfort A. (1986). Some useful equivalence properties of Hausman’s test. Economics Letters, 20, 39–43.
178. Horowitz J.L. (1998). Semiparametric methods in econometrics. Springer- Verlag, New York.
179. Hsieh D.A. (1989a). Modeling heteroscedasticity in daily foreign-exchange rates. Journal of Business and Economic Statistics, 7, 307–317.
180. Hsieh D.A. (1989b). Testing for nonlinear dependence in daily foreign exchange rate changes. Journal of Business, 62, 339–368.
181. Huber P. (1967). The behavior of the maximum likelihood estimation under nonstandard conditions. Proceedings of the 5th Berkeley Symposium, 221–234.
182. Johansen S. (1988). Statistical analysis of cointegrated vectors. Journal of Economic Dynamics and Control, 12, 231–254.
183. Johansen S. (1991). Estimation and hypothesis testing and cointegrating vectors in gaussian vector autoregressive model. Econometrica, 59, 1551–1580.
184. Johansen S. (1994). The role of the constant and linear terms in cointegration analysis of non stationary variables. Econometric Reviews, 13, 205–229.
185. Johansen S. (1995). Likelihood-based inference in cointegrated vector autoregression models. Oxford University Press, Oxford.
186. Johansen S., Juselius K. (1990). Maximum likelihood estimation and inference on cointegration: with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52, 169–210.
187. Johansen S., Mosconi R., Nielsen B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trends. Econometrics Journal, 3, 216–249.
188. Johnson N.L., Kotz S. (1970). Continuous univariate distributions. Vol. 1 and 2, Houghton-Mifflin, Boston.
189. Jorion P. (1988). On jump processes in the foreign exchange and stock markets. Review of Financial Studies, 1, 427–445.
190. Judge G.G., Griffiths W.E., Hill R.C., Lutkepohl H., Lee T.C (1985). The theory and practice of Econometrics. John Wiley & Sons, New York.
191. Judge G.G., Hill R.C., Griffiths W.E., Lutkepohl H., Lee T.C. (1988). Introduction to the theory and practice of econometrics. John Wiley & Sons, New York.
192. Karlin S. (1950). Operator treatment of minimax principle. In Kuhn H.W. and Tucker A.W. (Eds.). Contributions to the theory of games (pp. 133–154), Princeton University Press, Princeton.
193. Kitamura Y., Stutzer M. (1997). An information-theoretic alternative to generalized method of moments estimation. Econometrica, 65, 4, 861–874.
194. Klein R.W., Spady R.H. (1993). An efficient semiparametric estimator for binary response models. Econometrica, 61, 387–421.
195. Kloek T., van Dijk H.K. (1978). Bayesian estimates of equation system parameters: an application of integration by Monte-Carlo. Econometrica, 46, 1–19.
196. Koopmans T.C. (1949). Identification problems in economic model construction. Econometrica, April 1949.
197. Koopmans T.C. (Ed.) (1950). Statistical inference in dynamic economic models. Cowles Commission Monograph 10, John Wiley & Sons, New York.
198. Kroner K.F., Claessens S. (1991). Optimal dynamic hedging portfolios and the currency composition of external debt. Journal of International Money and Finance, 10, 131–148.
199. Kroner K.F., Sultan J. (1991). Exchange rate volatility and time varying hedge ratios. In Rhee S.G. and Chang R.P. (Eds.). Pacific-basin capital markets research, Volume 11, North Holland, Amsterdam.
200. Kwiatkowsky D., Phillips P.C.B., Schmidt P., Shin Y. (1992). Testing the null hypothesis of stationnarity against the alternative of a unit root: how sure we are that economic time series have a unit root. Journal of Econometrics, 54, 159–178.
201. Laffont J.J., Garcia R. (1977). Disequilibrium econometrics for business loans. Econometrica, 45, 1187–1204.
202. Laffont J.J., Ossard H., Vuong Q. (1995). Econometrics of first price auctions. Econometrica, 63, 953–980.
203. Laffont J.J., Vuong Q. (1993). Structural econometric analysis of decending auctions. European Economic Review, 37, 329–341.
204. Lancaster T. (1990). The econometric analysis of transition data. Cambridge University Press, New York.
205. Laurance A.J., Lewis P.A.W. (1980). The exponential autoregressive moving average EARMA(p, q) process. Journal of the Royal Statistical Society, B, 42, 150–161.
206. Laurance A.J., Lewis P.A.W. (1985). Modelling and residual analysis of nonlinear autoregressive time series in exponential variables (avec discussions). Journal of the Royal Statistical Society, B, 47, 165–202.
207. Lee J.H., King M.L. (1991). A locally most mean powerful based score test for ARCH and GARCH regressions disturbances. Journal of Business and Economic Statistics, 11, 17–27.
208. Lee T.K.Y., Tse Y.K. (1991). Term strucure of interest rate in the Singapore Asian Dollar market. Journal of Applied Econometrics, 6, 143–152.
209. Levin A., Lin C.F., Chu C.-S. (2002). Unit root tests in panel data: asymptotic and finite sample properties. Journal of Econometrics, 108, 1–24.
210. Lubrano M., Marimoutou V. (1988). Bayesian specification searches. Les cahiers du CERO, 30, 4, 201–223.
211. Lutkepohl H. (1993). Introduction to multiple time series analysis. 2nd edition, Springer-Verlag, New York.
212. Luukkonen R. (1990). Estimating smooth transition autoregressive models by conditional least squares. In Luukkonen R. (Ed.). On linearity testing and model estimation in non-linear time series analysis, Helsinki, Finnish Statistical Society.
213. Luukkonen R., Saikkonen P., Terasvirta T. (1988a). Testing linearity in univariate time series models. Scandinavian Journal of Statistics, 15, 161–175.
214. Luukkonen R., Saikkonen P., Terasvirta T. (1988b). Testing linearity against smooth transition autoregressive models. Biometrika, 75, 3, 491–499.
215. Luukkonen R., Terasvirta T. (1991). Testing linearity of economic time series against cyclical asymmetry. Annales d’économie et de statistique, 20/21, 125– 142.
216. Malinvaud E. (1980). Statistical methods of econometrics. North Holland, Amsterdam.
217. Matyas L., Sevestre P. (Eds.) (2004). The econometrics of panel data. 3rd edition. Kluwer Academic Publishers, Dordrecht.
218. McFadden D. (1989). A method of simulated moments for estimation of discrete response models without numerical integration. Econometrica, 57, 995–1026.
219. Metivier M. (1972). Notions fondamentales de la théorie des probabilités. Dunod.
220. Mizon G.E., Richard J.F. (1986). The encompassing principle and its application to testing non-nested hypotheses. Econometrica, 54, 6567–6678.
221. Monfort A. (1980). Cours de probabilités. Economica.
222. Monfort A. (1982). Cours de statistiques mathématiques. Economica.
223. Mood A.M., Graybill F.A. (1963). Introduction to the theory of statistics. McGraw-Hill, New York.
224. Moore H.L. (1914). Economic cycles: their law and cause. MacMillan, New York.
225. Nakamura M., Nakamura A. (1981). On the relationships among several specification error tests presented by Durbin, Wu and Hausman, Econometrica, 49, 1583–1588.
226. Nelson D.B. (1990). Stationnarity and persistence in the GARCH(1,1) model. Econometric Theory, 6, 318–334.
227. Nelson D.B. (1991). Conditional heteroscedasticity in asset returns: a new approach. Econometrica, 59, 347–370.
228. Nelson D.B., Cao C.Q. (1992). Inequality constraints in the univariate GARCH model. Journal of Business and Economic Statistics, 10, 229–235.
229. Neveu J. (1965). Mathematical foundations of the calculus of probability. Holden- Day.
230. Neveu J. (1975). Discrete-parameter martingales. North Holland, Amsterdam.
231. Newey W.K. (1993). Efficient estimation of models with conditional moment restrictions. In G.S. Maddala, C.R. Rao and H.D. Vinod (Eds.). Handbook of Statistics, Vol. 11, Elsevier Science Publishers, Amsterdam.
232. Newey W.K., McFadden D. (1994). Large sample estimation and hypothesis testing. In R.F. Engle and D.L. McFadden (Eds.). Handbook of Econometrics, Vol. 4 (pp. 2111–2245), North Holland, Amsterdam.
233. Newey W.K., Powell J. (2003). Instrumental variables for nonparametric models. Econometrica, 71, 1565–1578.
234. Newey W.K., Powell J., Vella F. (1999). Nonparametric estimation of triangular simultaneous equations models. Econometrica, 67, 565–604.
235. Newey W.K., West K.D. (1987a). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703– 708.
236. Newey W.K., West K.D. (1987b). Hypothesis testing with efficient method of moments estimators. International Economic Review, 28, 777–787.
237. Neyman J., Pearson E.S. (1928). On the use and interpretation of certain test criteria for purposes of statistical inference. Biometrika, 20, 175–240, 263– 2954.
238. Nicholls D. (1976). The efficient estimation of vector linear time series models. Biometrika, 63, 381–390.
239. Ogaki M. (1993). Generalized method of moments: econometric applications. In G.S.Maddala, C.R. Rao and H.D. Vinod (Eds.). Handbook of Statistics, Vol. 11, Elsevier Science, Amsterdam.
240. Osterwald-Lenum M. (1992). A note on quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54, 461–472.
241. Paarsch H.J. (1992). Deciding between the common and private value paradigms in empirical models of auctions. Journal of Econometrics, 51, 191–215.
242. Pagan A. (1996). The econometrics of financial markets. Journal of Empirical Finance, 3, 15–102.
243. Pagan A., Ullah A. (1999). Nonparametric econometrics. Cambridge University Press, New York.
244. Pakes A., Pollard D. (1989). Simulation and the asymptotics of optimization estimators. Econometrica, 57, 1027–1058.
245. Pearl J. (2000). Causality: models, reasoning, and inference. Cambridge University Press, New York.
246. Peguin-Feissolle A. (1994). Bayesian estimation and forecasting in nonlinear models: application to an LSTAR model. Economics Letters, 46, 187–194.
247. Peguin-Feissolle A. (1999). A comparison of the power of some tests for conditional heteroscedasticity. Economics Letters, 63, 1, 5–17.
248. Perron P. (1988).Trends and randomwalks in macroeconomic time series: further evidence from a new approach. Journal of Economics Dynamics and Control, 12, 297–332.
249. Perron P. (1989). The great crash, the oil price and the unit root hypothesis. Econometrica, 57, 1361–1402.
250. Perron P. (1990). Testing the unit root in a time series with a changing mean. Journal of Business and Economics Statistics. Vol. 8(2), 153–162.
251. Pesaran M.H., Smith R. (1995). Estimating long run relationships from dynamic heterogeneous panels. Journal of Econometrics, 68, 79–113.
252. Pesaran M.H., Shin Y., Smith R. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of American Statistical Association, 94, 621–634.
253. Pham-Dinh T. (1975). Estimation et tests dans les modèles paramétriques des processus stationnaires. PhD thesis, The University of Grenoble, France.
254. Phillips P.C.B. (1987). Time series regression with a unit root. Econometrica, 55, 277–301.
255. Phillips P.C.B. (1991). Optimal inference in cointegrated system. Econometrica, 59, 283–306.
256. Phillips P.C.B. (2001). Descriptive econometrics for non stationary time series with empirical application. Journal of Applied Econometrics, 389–413.
257. Phillips P.C.B., Hansen B. (1990). Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies, 57, 99–125.
258. Phillips P.C.B., Moon H.R. (1999). Linear regression limit theory for non stationary panel data. Econometrica, 67, 1057–1111.
259. Phillips P.C.B., Moon H.R. (2000). Non stationary panel data analysis: an overview and some recents developments. Econometric Reviews, 263–286.
260. Phillips P.C.B., Park J. (2000). Non stationary binary choices. Econometrica, 68, 1249–1280.
261. Phillips P.C.B., Park J. (2001). Non linear regressions with integrated time series. Econometrica, 69, 21–27.
262. Phillips P.C.B., Perron P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346.
263. Phillips P.C.B., Sul D. (2003). Dynamic panel estimation and homogeneity testing under cross section dependance. Econometrics Journal, 6, 217–259.
264. Phillips P.C.B., Xiao Z. (1998). A primer on unit root testing. Journal of Economics Survey, 612, 5, 423–469.
265. Pitman E.J.G. (1949). Notes on non-parametric statistical inference. Miméo, Columbia University, New York.
266. Priestley M.B. (1991). Non-linear and non-stationary time series analysis. Academic Press.
267. Quah D. (1994). Exploiting cross section variation for unit root inference in dynamic data. Economics Letters, 44, 9–19.
268. Rao C.R. (1948). Large sample tests of statistical hypotheses concerning several parameters with applications to problems of estimation. Proceedings of the Cambridge Philosophical Society, 44, 50–57.
269. Raoult J.P. (1975). Structures statistiques. PUF, Paris.
270. Reiersol O. (1941). Confluence analysis of lag moments and other methods of confluence analysis, Econometrica, 9, 1–24.
271. Reiersol O. (1945). Confluence analysis by means of instrumental sets of variables. Arkiv for Mathematik, Astronomie och Fysik, 32.
272. Reiersol O. (1950a). Identifiability of a linear relation between variables which are subject to error. Econometrica, 18, 4, 375–389.
273. Reiersol O. (1950b). On the identifiability of parameters in Thurstone’s multiple factor analysis. Psychometrika, 15, 121–149.
274. Reinsel G.C. (1993). Elements of multivariate analysis. Springer Series in Statistics, Springer-Verlag, New York.
275. Richard J.F. (1996). Simulation techniques in the econometrics of panel data. In Matyas L. and Sevestre P. (Eds.). The econometrics of panel data, 3rd edition. Kluwer Academic Publishers, Dordrecht.
276. Richard J.F., Zhang W. (1996). Econometric modelling of UK house prices using accelerated importance sampling. The Oxford Bulletin of Economics and Statistics, 58, 601–613.
277. Richard J.F., Zhang W. (2000). Accelerated Monte-Carlo integration: an application to dynamic latent variable models. In Mariano R., Schuermann T. and Weeks M.J. (Eds.). Simulation-based inference in econometrics, Cambridge University Press, New York.
278. Rieder H. (1994). Robust asymptotic statistics. Springer-Verlag, New York.
279. Said S.E, Dickey D.A. (1984). Testing for unit roots in autoregressive moving average of unknown order. Biometrika, 71, 599–607.
280. Said S.E. (1991). Unit root test for time series data with a linear trend. Journal of Econometrics, 47, 285–303.
281. Samorodnitsky G., Taqqu M. (1995). Stable non gaussian random processes stochastic models with infinite variance. Chapman and Hall, New York.
282. Sargan J.D. (1958). The estimation of economic relationships using instrumental variables. Econometrica, 26, 393–415.
283. Schmidt P., Phillips P.C.B. (1992). LM tests for a unit root in the presence of deterministic trends. Oxford Bulletin of Economics and Statistics, 54, 257–287.
284. Schwarz G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461–464
285. Schwartz L. (1992). Analyse. Calcul différentiel et équations différentielles. Hermann, Paris.
286. Serfling R.J. (1980). Approximation theorems of mathematical statistics. John Wiley & Sons, New York.
287. Sevestre P. (2002). économétrie des donneés de panel. Dunod, Paris.
288. Silverman B.W. (1986). Density estimation for statistics and data analysis. Chapman and Hall, London.
289. Sims C.A. (1972). Money, income and causality. American Economic Review, 62, 540–552.
290. Sims C.A. (1980). Macroeconomics and reality. Econometrica, 48, 1–48.
291. Sims C.A., Stock J.H., Watson M.W. (1990). Inference in linear time series models with some unit roots. Econometrica, 58, 113–144.
292. Spanos A. (1986). Statistical foundations of econometric modelling. Cambridge University Press, Cambridge.
293. Stock J.H., Watson M.W. (1988) Testing for common trends. Journal of the American Statistical Association, 83, 1097–1107.
294. Stocker T.M. (1991). Lectures on semiparametric econometrics. Core Lecture Series, Oxford University Press, Oxford.
295. Tauchen G.E. (1986). Statistical properties of generalized method of moments estimators of structural parameters obtained from financial market data (with discussion and response). Journal of Business and Economic Statistics, 4, 397–424.
296. Tauchen G.E., Pitts M. (1983). The price variability-volume relationship on speculative markets. Econometrica, 51, 485–505.
297. Terasvirta T. (1994). Specification, estimation and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89, 208–218.
298. Terasvirta T., Anderson H.M. (1992). Characterizing nonlinearities in business cycles using smooth transition autoregressive models. Journal of Applied Econometrics, 7, S119–S136.
299. Theil H. (1953). Repeated least squares applied to complete equations systems; Central Planning Bureau (mimeo), The Hague.
300. Toda H.Y., McKenzie C.R. (1999). LM tests for unit roots in the presence of missing observations: small sample evidence. Mathematics and Computers in Simulation, 48, 4–6, 457–468.
301. Tong H. (1990). Nonlinear time series. A dynamical system approach. Clarendon Press, Oxford.
302. Tsybakov A.B. (2004). Introduction à l’estimation non paramétrique. Springer- Verlag, New York.
303. Van Der Vaart A.W., Wellner J.A. (1996). Weak convergence of the empirical processes with application to statistics. Springer-Verlag, New York.
304. Wald A. (1943). Tests of statistical hypothesis concerning several parameters when the number of observations is large. Transactions of the American Mathematical Society, 54, 426–482.
305. Wand M.P., Jones M.C. (1995). Kernel smoothing. Chapman and Hall, London.
306. White J.S. (1958). The limiting distribution of the serial correlation coefficient in the explosive case. Annals of Mathematical Statistics, 29, 1188–1197.
307. White H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48, 817–838.
308. White H. (1982). Maximum likelihood estimation of misspecified models. Econometrica, 50, 1–26.
309. White H. (1994). Estimation, inference and specification analysis. Cambridge University Press, New York.
310. Working H. (1925). The statistical determination of demand curves. The Quarterly Journal of Economics, Vol 39, N.4., 503–543.
311. Working E.J. (1927). What do statistical demand curves show? The Quarterly Journal of Economics, Vol 41, N. 2, 212–235.
312. Wu D.M. (1973). Alternative tests of independence between stochastic regressors and disturbances. Econometrica, 41, 733–750.
313. Zellner A. (1962). An efficient method of estimating seemingly unrelated regressions, and tests for aggregation bias. Journal of the American Statistical Association, 57, 348–368.
314. Zellner A., Palm F. (1974). Time series analysis and simultaneous equation econometric models. Journal of Econometrics, 2, 17–54.