Appendix A. References

Time series analysis

  • G. E. P. Box and G. M. Jenkins (1976), Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco.
  • R. F. Engle (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation, Econometrica 50, 987-1007.
  • C. W. J. Granger (1981), Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics 16, 121-130.
  • R. F. Engle and C. W. J. Granger (1987), Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55, No. 2, 251-276.
  • R. F. Engle and B. S. Yoo (1987), Forecasting and Testing in Co-Integrated Systems, Journal of Econometrics 35, 143-159.

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