This folder holds the following references to publications, sorted by year and author.

There are 41 references in this bibliography folder.

Dees, S, di Mauro, F, Pesaran, M, and Smith, L (2007).
Exploring the International Linkages of the Euro Area: A Global VAR analysis
Journal of Applied Econometrics, 22:1-38.

Pesaran, M (2007).
A Pair-wise Approach to Testing for Output and Growth Convergence
Journal of Econometrics, 138:312-355.

Chang, Y, Park, J, and Song, K (2006).
Bootstrapping Cointegrating Regressions
Journal of Econometrics, 133:703-739.

Chudik, A (2006).
Macroeconomic Interdependence and Common Factors

Garratt, A, Lee, KP, and Shin, Y (2006).
Global and National Macroeconometric Modelling: A Long-run Structural Approach
Oxford University Press, Oxford.

Pesaran, M and Smith, R (2006).
Macroeconomic Modelling with a Global Perspective
The Manchester School, Supplement:24-49.

Gali, J and Monacelli, T (2005).
Monetary Policy and Exchange Rate Volatility in a Small Open Economy
Review of Economic Studies, 72:707-734.

Lothian, J and Wu, L (2005).
Uncovered Interest-Rate Parity over the Past Two Centuries
mimeo, New York: Fordham University.

Nelson, E (2005).
Monetary Policy Neglect and the Great Inflation in Canada, Australia and New Zealand
International Journal of Central Banking, 1:133-179.

Chang, Y and Park, J (2003).
A Sieve Bootstrap for the Test of a Unit Root
Journal of Time Series Analysis, 24:379-400.

Garratt, A, Lee, K, Pesaran, M, and Y., S (2003).
A Long Run Structural Model of the UK
Economic Journal, 113:412-455.

Juselius, K and MacDonald, R (2003).
International Parity Relationships between Germany and the United States: A Joint Modelling Approach
FRU, University of Copenhagen, Working Papers(2004/08).

Park, J (2002).
An Invariance Principle for Sieve Bootstrap in Time Series
Econometric Theory, 18:469-490.

Sarno, L and Taylor, MP (2002).
Purchasing Power Parity and the Real Exchange Rate
IMF Staff Papers, 49(1):5.

Choi, E and Hall, P (2000).
Bootstrap Confidence Regions Computed From Autoregressions of Arbitrary Order
Journal of the Royal Statistical Society, Series B, 62:461-477.

Obstfeld, M and Rogoff, K (2000).
The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?
NBER, Working Paper(7777).

Pesaran, M, Sin, Y, and Smith, R (2000).
Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables
Journal of Econometrics, 97:293-343.

Bickel, P and Bühlmann, P (1999).
A New Mixing Notion and Functional Central Limit Theorems for a Sieve Bootstrap in Time Series
Bernoulli, 5:413-446.

Harbo, I, Johansen, S, Nielsen, B, and Rahbek, A (1998).
Asymptotic Inference on Cointegrating Rank in Partial Systems
Journal of Business and Economic Statistics, 21:295-318.

Pesaran, M and Shin, Y (1998).
Generalized Impulse Response Analysis in Linear Multivariate Models
Economics Letters, 58:17-29.

Bühlmann, P (1997).
Sieve Bootstrap for Time Series
Bernoulli, 3:123-148.

Campbell, J, Lo, W, and MacKinlay, A (1997).
The Econometrics of Financial Markets
Princeton University Press, Princeton.

Li, H and Maddala, G (1997).
Bootstrapping Cointegrating Regressions
Journal of Econometrics, 80:297-318.

Koop, G, Pesaran, M, and Potter, S (1996).
Impulse Response Analysis in Nonlinear Multivariate Models
Journal of Econometrics, 74:119-147.

Paparoditis, E (1996).
Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes
Journal of Multivariate Analysis, 57:277-296.