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Time Series Reader

MLE：

（1）White, Halbert. 1982. “Maximum Likelihood Estimation of Misspecified Models.” Econometrica 50: 1-25.

GMM：

（2）Hansen, Lars P. 1982. “Large Sample Properties of Generalized Method of Moments Estimators.” Econometrica 50: 1029-54.

因果性：

（3）Granger, C.W. J. 1969. “Inverstigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37: 424-38.

一致估计：

（4）White, Halbert. 1980. A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity.” Econometrica 48: 817-38.

（5）Andrews. Donald W.K. 1991. “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation.” Econometrica 59: 817-58.

ARCH：

（6）Enger, Robert F. 1982, “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50: 987-1007.

非平稳：

（7）Hamilton, James D. 1989. “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica 57: 357-84.

（8）Nelson, Charles R.. and Charlcs I. Plosser. 1982. “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications.” Journal of Monetary Economics 10: 139-62.

结构突变问题：

（9）Perron, Pierre. 1989. “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica 57: 1361-1401.

（10）Zivot, E. and D.W.K. Andrews. Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Journal of Business and Economic Statistics, 1992, 10(3):251~271.

（11）Jushan, Bai. And P, Perron. Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 1998, 66(1): 47~78.

单位根及协整：

（12）Robert F. Engle and C.W. J. Granger. 1987. “Co-intergation and Error Correction: Representation, Estimation, and Testing.” Econometrica 55: 251-76

（13）P. C. B. Phillips. 1987. “Time series regression with a Unit Root.” Econometrica:277-301

（14）Johansen, Soren. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12: 231-54

（15）Sims, Christopher A,. James H. Stock, and Mark W. Watson. 1990. “Inference in Linear Time Series Models with Some Unit Roots.” Econometrica 58: 113-44.

（16）James D. Hamilton. 1990 “Analysis of time series subject to changes in regime.” Journal of Econometrics 45: 39-70

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[下载]时间序列经典文献

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