gretl-common 1.9.14-2 / usr / share / gretl / gretlhelp.refs

<@hd1="References">

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<@key="maddala92">Maddala, G. S. (1992) <@itl="Introduction to Econometrics">, Englewood Cliffs, NJ: Prentice-Hall.

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<@key="mcaleer-oxley99">McAleer, M. and L. Oxley (1999) <@itl="Practical Issues in Cointegration Analysis">, Oxford: Blackwell.

<@key="nerlove71">Nerlove, M. (1971) "Further evidence on the estimation of dynamic economic relations from a time series of cross sections", <@itl="Econometrica"> 39: 359-382.

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<@key="ng-perron01">Ng, S. and P. Perron (2001) "Lag length selection and the construction of unit root tests with good size and power", <@itl="Econometrica"> 69(6): 1519-1554.

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<@key="pesaran99">Pesaran, M. H. and L. W. Taylor (1999) "Diagnostics for IV regressions", <@itl="Oxford Bulletin of Economics and Statistics"> 61(2): 255-281.

<@key="phillips04">Phillips, P. C. B. and K. Shimotsu (2004) "Local Whittle estimation in nonstationary and unit root cases", <@itl="The Annals of Statistics"> 32(2): 659-692.  http://arxiv.org/pdf/math/0406462.

<@key="ramanathan02">Ramanathan, R. (2002) <@itl="Introductory Econometrics with Applications">, Fort Worth: Harcourt, fifth edn.

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<@key="saito_matsumoto08">Saito, M. and M. Matsumoto (2008) "SIMD-oriented Fast Mersenne Twister: a 128-bit pseudorandom number generator".  In A. Keller, S. Heinrich and H. Niederreiter (eds.), <@itl="Monte Carlo and Quasi-Monte Carlo Methods 2006">, pp. 607-622. Berlin: Springer.

<@key="schwert89">Schwert, G. W. (1989) "Tests for unit roots: A Monte Carlo investigation", <@itl="Journal of Business and Economic Statistics"> 7(2): 5-17.

<@key="sephton95">Sephton, P. S. (1995) "Response surface estimates of the KPSS stationarity test", <@itl="Economics Letters"> 47: 255-261.

<@key="shapiro-chen01">Shapiro, S. and L. Chen (2001) "Composite tests for the gamma distribution", <@itl="Journal of Quality Technology"> 33: 47-59.

<@key="stock-wright-yogo02">Stock, J. H., J. H. Wright and M. Yogo (2002) "A survey of weak instruments and weak identification in generalized method of moments", <@itl="Journal of Business & Economic Statistics"> 20(4): 518-529.

<@key="stock-yogo03">Stock, J. H. and M. Yogo (2003) "Testing for weak instruments in linear IV regression".  NBER Technical Working Paper 284.  http://www.nber.org/ myogo/papers/published/RothenbergCh5.pdf.

<@key="swamy72">Swamy, P. A. V. B. and S. S. Arora (1972) "The exact finite sample properties of the estimators of coefficients in the error components regression models", <@itl="Econometrica"> 40: 261-275.

<@key="windmeijer05">Windmeijer, F. (2005) "A finite sample correction for the variance of linear efficient two-step GMM estimators", <@itl="Journal of Econometrics"> 126: 25-51.