References for Journalarticle economics

Please note: the authoritative source for references in this article is the according PDF file.

Number of references: 24

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

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

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

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

Dennis, J. (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, F., Rudebusch, G., and Aruoba, S. (2006). The macroeconomy and the yield curve: a dynamic latent factor approach. Journal of Econometrics, 131:309-338.

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

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

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

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

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 Unpublished.

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

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

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

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

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

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

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

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

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

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.

Shea, G. (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.

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