References

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
Unpublished.

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.