References

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

There are 24 references in this bibliography folder.

Doornik, JA and Hendry, DF (2007).
Modelling Dynamic Systems Using PcGive 12: Volume II
London: Timberlake Consultants Press.

Dennis, JG (2006).
CATS in RATS - Cointegration Analysis of Time Series, Version 2
Evanston, Illinois: Estima.

Dewachter, H and Lyrio, M (2006).
Macro factors and the term structure of interest rates
Journal of Money, Credit and Banking, 38:119-140.

Diebold, FX, Rudebusch, GD, and Aruoba, SB (2006).
The macroeconomy and the yield curve: a dynamic latent factor approach
Journal of Econometrics, 131:309-338.

Giese, JV (2006).
Characterising the Yield Curve's Derivatives in a Regime-Changing Cointegrated VAR Model
Unpublished.

Juselius, K (2006).
The Cointegrated VAR Model: Econometric Methodology and Macroeconomic Applications
Oxford: Oxford University Press.

Nielsen, B (2006).
Order determination in general vector autoregressions
In: Time Series and Related Topics: In Memory of Ching-Zong Wei, ed. by H.-C. Ho and C.-K. Ing and T.L. Lai, IMS Lecture Notes and Monograph Series, 52.

Carstensen, K (2003).
Nonstationary term premia and cointegration of the term structure
Economic Letters, 80:409-413.

Duffee, G (2002).
Term premia and interest rate forecasts in affine models
Journal of Finance, 57:405-443.

Hendry, DF and Mizon, GE (2000).
Reformulating empirical macro-econometric modelling
Oxford Review of Economic Policy, 16:138-159.

Hansen, H and Johansen, S (1999).
Some tests for parameter constancy in the cointegrated VAR
Econometrics Journal, 2:306-333.

Bliss, RR (1997).
Testing term structure estimation methods
Advances in Futures and Options Research, 9:197-231.

Johansen, S (1996).
Likelihood-based Inference in Cointegrated Vector Auto-regressive Models
Oxford: Oxford University Press.

Gonzalo, J (1994).
Five alternative methods of estimating long-run equilibrium relationships
Journal of Econometrics, 60:203-233.

Knez, PK, Litterman, R, and Scheinkman, JA (1994).
Explorations into factors explaining money market returns
Journal of Finance, 49:1861-1882.

Zhang, H (1993).
Treasury yield curves and cointegration
Applied Economics, 25:361-367.

Baba, Y, Hendry, DF, and Starr, RM (1992).
The demand for M1 in the U.S.A., 1960-1988
Review of Economic Studies, 59:25-61.

Hall, AD, Anderson, HM, and Granger, CW (1992).
A cointegration analysis of Treasury bill yields
The Review of Economics and Statistics, 74:117-126.

Shea, GS (1992).
Benchmarking the expectations hypothesis of the interest-rate term structure: an analysis of cointegration vectors
Journal of Business and Economic Statistics, 10:347-366.

Litterman, R and Scheinkman, JA (1991).
Common factors affecting bond returns
Journal of Fixed Income, 1:51-61.

Campbell, JY and Shiller, RJ (1987).
Cointegration and tests of present value models
Journal of Political Economy, 95:1062-1088.

Engle, RF and Granger, CW (1987).
Co-integration and error correction: representation, estimation and testing
Econometrica, 55:251-276.

Fama, EF and Bliss, RR (1987).
The information in the term structure
American Economic Review, 77:680-692.

Nelson, CR and Siegel, AF (1987).
Parsimonious modeling of yield curves
Journal of Business, 60:473-489.