Introducción a Series de Tiempo Univariadas - Centro Microdatos

Introducción a Series de Tiempo UnivariadasDecember 31, 2010Durbin, J. and G. S. Watson. 1971. Testing for serial correlation in least squares regression III.Biometrika, 58, 1-19.Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. Efficient tests for an autoregressive unit root.Econometrica, 64, 813-836.Engle, R. F. 1982. Autoregressive conditional heteroskedasticity with estimates of the variance ofUK inflation. Econometrica, 50, 987-1008.Engle, R. F. 2001. GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal ofEconomic Perspectives, 15(4), 157-168.Engle, R. F. and C. W. J. Granger. 1987. Co-integration and error correction: representation,estimation, and testing. Econometrica, 55, 251-276.Evans, G. B. A. and N. E. Savin. 1981. Testing for unit roots: 1. Econometrica, 49, 753-779.Godfrey, G. L. 1978. Testing against general autoregressive and moving average error modelswhen the regressors include lagged dependent variables. Econometrica, 46, 1293-1302.Granger, C. W. J. and P. Newbold. 1974. Spurious regressions in econometrics. Journal ofEconometrics, 2, 111-120.Hamilton, J. D. 1994. Time Series Analysis. Princeton, NJ: Princeton University Press.Harvey, A. C. 1989. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge:Cambridge University Press.Johnston, J. and J. DiNardo. 1997. Econometric Methods, 3rd ed. New York: McGraw-Hill.MacKinnon, J. G. 1994. Approximate asymptotic distribution functions for unit-root andcointegration tests. Journal of Business and Economic Statistics, 12, 167-176.McCullagh, P. and J. A. Nelder. 1989. Generalized Linear Models, 2nd ed. London: Chapman & Hall.McCullough, B. D. 1998. Algorithm choice for (partial) autocorrelation functions. Journal ofEconomic and Social Measurement, 24, 265-278.Montgomery, D. C., L. A. Johnson, and J. S. Gardiner. 1990. Forecasting and Time Series Analysis,2nd ed. New York: McGraw-Hill.Newey, W. K. and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity andautocorrelation consistent covariance matrix. Econometrica, 55, 703-708.Newton, H. J. 1988. Timeslab: A Time Series Analysis Laboratory. Pacific Grove, CA: Wadsworth& Brooks/Cole Publishing.102