Эконометрика: Введение в регрессионный анализ временных рядов. Носко В.П. - 264 стр.

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4. Хеннан Э. (1974) Многомерные временные ряды.(пер. с англ.) – М., Мир.
5.
Эконометрический анализ динамических рядов основных
макроэкономических показателей (2001). Научные труды ИЭПП №34Р. М., ИЭПП.
6.
Akaike (1973) “Information Theory and an Extension of the Maximum Likelihood
Principle”, in Petrov B.N. and Csáki F. (Eds),
Proceedings, 2
nd
International Symposium on
Information Theory
, 267-281. Akadémia Kiado, Budapest.
7.
Andrews D.W.K. (1991) “Heteroskedasticity and Autocorrelation Consistent
Covariance Matrix Estimation,”
Econometrica, 59, 817–858.
8.
Ardeni P.G., D. Lubian (1991) “Is There Trend Reversion in Purchaising Power
Parity”,
Europian Economic Review, 35, 1035-1055.
9.
Bartlett M.S. (1946) “On the Theoretical Specification of sampling properties of
Autocorrelated Time Series”,
Journal of the Royal Statistical Society, Series B, 8, 27-41.
10.
Bierens H.J. (1997) “Testing the Unit Root with Drift Hypothesis Against Nonlinear
Trend Stationarity, with an Application to the US Price Level and Interest Rate”,
Journal of
Econometrics
, 81, 29-64.
11.
Box G.E.P., Pierce D.A. (1970) “Distribution of Residual Autocorrelations in
Autoregressive Integrated Moving Average Time Series Models”,
Journal of the American
Statistical Association
, 65, 1509-1526.
12.
Chan K.H, J.C.Hayya, J.K.Ord (1977) “A Note on Trend Removal Methods: The
Case of polynomial versus vatiate differencing”,
Econometrica, 45, 737-744.
13.
Cheung Y.-W., M.D. Chinn (1996) “Deterministic, Stochastic, and Segmented
Trends in Aggregate Output: a Cross-country Analysis”,
Oxford Economic Papers, 48, №1,
134-162.
14.
Cheung Y.-W., K.S. Lay (1995) “Lag Order and Critical Values of a Modified
Dickey-Fuller Test”,
Oxford Bulletin of Economics and Statistics, 57, №3, 411-419.
15.
Christiano L.J., M. Eichenbaum (1990) “Unit Roots in Real GDP: Do We Know,
and Do We Care?”,
Carnegie-Rochester Conference Series on Public Policy , 32, 7-62.
16.
Clark P.K. (1989) “Trend Reversion in Real Output and Unemployment”, Journal of
Econometrics
, 40,15-32.
17.
Clements M. P., D. F. Hendry (1998) Forecasting Economic Time series, Cambridge
University Press, Cambridge.
18.
Clements M. P., D. F. Hendry (1999) Forecasting Non-stationary Economic Time
series
, MIT Press, Cambridge, Massachusetts, London.
19.
Cochrane J.H. (1998) “How Big is the Random Walk in GNP?”, Journal of Political
Economy
, 96, 893-920.
20.
Cogley T. (1990) “International Evidence on the Size of the Random Walk in
Output”,
Journal of Political Economy, 98, 501-518.
21.
Copeland L.S. (1991) “Cointegration Tests with Daily Exchange Rate Data”, Oxford
Bulletin of Economics and Statistics
, 53, 185-198. 
4.            Хеннан Э. (1974) Многомерные временные ряды.(пер. с англ.) – М., Мир.
5.            Эконометрический           анализ        динамических          рядов        основных
    макроэкономических показателей (2001). Научные труды ИЭПП №34Р. М., ИЭПП.
6.            Akaike (1973) “Information Theory and an Extension of the Maximum Likelihood
    Principle”, in Petrov B.N. and Csáki F. (Eds), Proceedings, 2nd International Symposium on
    Information Theory, 267-281. Akadémia Kiado, Budapest.
7.            Andrews D.W.K. (1991) “Heteroskedasticity and Autocorrelation Consistent
    Covariance Matrix Estimation,” Econometrica, 59, 817–858.
8.            Ardeni P.G., D. Lubian (1991) “Is There Trend Reversion in Purchaising Power
    Parity”, Europian Economic Review, 35, 1035-1055.
9.            Bartlett M.S. (1946) “On the Theoretical Specification of sampling properties of
    Autocorrelated Time Series”, Journal of the Royal Statistical Society, Series B, 8, 27-41.
10.           Bierens H.J. (1997) “Testing the Unit Root with Drift Hypothesis Against Nonlinear
    Trend Stationarity, with an Application to the US Price Level and Interest Rate”, Journal of
    Econometrics, 81, 29-64.
11.           Box G.E.P., Pierce D.A. (1970) “Distribution of Residual Autocorrelations in
    Autoregressive Integrated Moving Average Time Series Models”, Journal of the American
    Statistical Association, 65, 1509-1526.
12.           Chan K.H, J.C.Hayya, J.K.Ord (1977) “A Note on Trend Removal Methods: The
    Case of polynomial versus vatiate differencing”, Econometrica, 45, 737-744.
13.           Cheung Y.-W., M.D. Chinn (1996) “Deterministic, Stochastic, and Segmented
    Trends in Aggregate Output: a Cross-country Analysis”, Oxford Economic Papers, 48, №1,
    134-162.
14.           Cheung Y.-W., K.S. Lay (1995) “Lag Order and Critical Values of a Modified
    Dickey-Fuller Test”, Oxford Bulletin of Economics and Statistics, 57, №3, 411-419.
15.           Christiano L.J., M. Eichenbaum (1990) “Unit Roots in Real GDP: Do We Know,
    and Do We Care?”, Carnegie-Rochester Conference Series on Public Policy , 32, 7-62.
16.           Clark P.K. (1989) “Trend Reversion in Real Output and Unemployment”, Journal of
    Econometrics, 40,15-32.
17.           Clements M. P., D. F. Hendry (1998) Forecasting Economic Time series, Cambridge
    University Press, Cambridge.
18.           Clements M. P., D. F. Hendry (1999) Forecasting Non-stationary Economic Time
    series, MIT Press, Cambridge, Massachusetts, London.
19.           Cochrane J.H. (1998) “How Big is the Random Walk in GNP?”, Journal of Political
    Economy, 96, 893-920.
20.           Cogley T. (1990) “International Evidence on the Size of the Random Walk in
    Output”, Journal of Political Economy, 98, 501-518.
21.           Copeland L.S. (1991) “Cointegration Tests with Daily Exchange Rate Data”, Oxford
    Bulletin of Economics and Statistics, 53, 185-198.

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