General Papers in Econometrics

General

Peter Kennedy, The 10 Commandments of Applied Econometrics, Journal of  Economic Surveys 16(4) (2002) 569-89.

Peter Kennedy, Sinning in the Basement, Journal of Economic Surveys

Peter Kennedy, Applied Econometrics without Sinning

Comment  by Peter Kennedy about Sinning in the Basement

Comment 2 by Peter Kennedy

Grayham E Mizon, A simple message for autocorrelation correctors: Don't, J. Econometrics 69(1) (1995) 267-288.

Michael P. Murray, “Avoiding Invalid Instruments and Coping with Weak  Instruments” Journal of Economic Perspectives, vol. 20, n4 (Fall, 2006): 111-132.

Unit Roots

Charles R. Nelson and Charles I. Plosser, Trends and Random Walks in Macroeconomic Time Series:Some Evidence and Implications, J. Monetary Economics 10(1982) 139-162.

Determining the Order of Differencing in Autoregressive Processes - Dickey and Pantula (JBES, 1987).pdf

G. William Schwert, Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data, J. Monetary Economics 20(1987) 73-103.

Sastry G. Pantula, Asymptotic Distributions of Unit-Root Tests When the Process is Nearly Stationary, J. of Business & Economic Statistics 9(1) (January, 1991) 63-71.

Eric Zivot and Donald W. K. Andrews, Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, J. of Business & Economic Statistics 10(3) (July, 1992) 251-270.

Effects of data aggregation on the power of tests for a unit root - Choi (Economics Letters, 1992)

Testing the null hypothesis of stationarity against the alternative of a unit root - Kwiatkowski et al. (JEconometrics,1992)

Testing for unit roots in seasonal time series - Ghysels et al (JEconometrics, 1994)

Reconsidering trends and random walks in macroeconomic time series - DeJong and Whiteman (JME, 1991)

On DeJong and Whiteman's Bayesian inference for the unit root model - Sowell (JME, 1991)

On robustness - DeJong and Whiteman (JME, 1991)

Rethinking the Univariate Approach to Unit Root Testsing - Hansen (Econometric Theory, 1995)

Unit Root Testing with Covariates - Caporale and Pittis (Oxford Bulletin, 1999)

Efficient Tests for an Autoregressive Unit Root - Elliott et al (Econometrica, 1996)

Lag Length Selection and Unit Root tests with Good Size and Power - Ng and Perron (2000)

Cointegration

Michael P. Murray, A Drunk and Her Dog, The American Statistician 48(1) (February 1994) 37-39.

Robert F. Engle and C.W.J. Granger, Cointegration and Error Correction: Representation, Estimation, and Testing, Econometrica 55(2) (March, 1987) 251-276.

Robert F. Engle and B. Sam Yoo, Forecasting and Testing in Co-Integrated Systems, J.of Econometrics 35(1987) 143-159.

Soren Johansen, Estimation and Hypothesis Testsing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica 59(6) (November, 1991) 1551-1580.

James G. MacKinnon, Alfred A. Haug and Leo Michelis, Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration, Working Paper, Queen's University, September 1996.

James H. Stock and Mark W. Watson, A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems, Econometrica 61(4) (July, 1993) 783-820.

Structural VARs

Robert G. King, Charles I. Plosser, James H. Stock and Mark W. Watson, Stochastic Trends and Economic Fluctuations, American Economic Review 81(4) (September, 1991) 819-840.

Pierre-Daniel Sarte, On the Identification of Structural VARs, Economic Quarterly Federal Reserve Bank of Richmond 83(3) (Summer, 1997) 45-67.

GARCH Models

An Introduction to Univariate GARCH Models, by Timo Terasvirta