User’s Guide : Advanced Single Equation Analysis : Cointegrating Regression : References
  
References
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Hamilton, James D. (1994). Time Series Analysis, Princeton: Princeton University Press.
Hansen, Bruce E. (1992a). “Efficient Estimation and Testing of Cointegrating Vectors in the Presence of Deterministic Trends,” Journal of Econometrics, 53, 87-121.
Hansen, Bruce E. (1992b). “Tests for Parameter Instability in Regressions with I(1) Processes,” Journal of Business and Economic Statistics, 10, 321-335.
Hayashi, Fumio (2000). Econometrics, Princeton: Princeton University Press.
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Park, Joon Y. and Masao Ogaki (1991). “Inferences in Cointegrated Models Using VAR Prewhitening to Estimate Short-run Dynamics,” Rochester Center for Economic Research Working Paper No. 281.
Phillips, Peter C. B. and Bruce E. Hansen (1990). “Statistical Inference in Instrumental Variables Regression with I(1) Processes,” Review of Economics Studies, 57, 99-125.
Phillips, Peter C. B. and Hyungsik R. Moon (1999). “Linear Regression Limit Theory for Nonstationary Panel Data,” Econometrica, 67, 1057-1111.
 
Phillips, Peter C. B. and Mico Loretan (1991). “Estimating Long-run Economic Equilibria,” Review of Economic Studies, 59, 407-436.
Saikkonen, Pentti (1992). “Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation,” Econometric Theory, 8, 1-27.
 
Stock, James H. (1994). “Unit Roots, Structural Breaks and Trends,” Chapter 46 in Handbook of Econometrics, Volume 4, R. F. Engle & D. McFadden (eds.), 2739-2841, Amsterdam: Elsevier Science Publishers B.V.
Stock, James H. and Mark Watson (1993). “A Simple Estimator Of Cointegrating Vectors In Higher Order Integrated Systems,” Econometrica, 61, 783-820.