References
Abadir, Karim M. 1993. “OLS Bias in a Nonstationary Autoregression.” Econometric Theory 9 (1): 81–93. http://www.jstor.org/stable/3532005.
Anderson, T. W. 1971. The Statistical Analysis of Time Series. Wiley. https://onlinelibrary.wiley.com/doi/book/10.1002/9781118186428.
Bernanke, Ben S. 1986. “Alternative Explanations of the Money-Income Correlation.” Carnegie-Rochester Conference Series on Public Policy 25: 49–99. https://doi.org/https://doi.org/10.1016/0167-2231(86)90037-0.
Blanchard, Olivier Jean, and Danny Quah. 1989. “The Dynamic Effects of Aggregate Demand and Supply Disturbances.” American Economic Review 79 (4): 655–73. https://ideas.repec.org/a/aea/aecrev/v79y1989i4p655-73.html.
Box, George.E. P., and Gwilym M. Jenkins. 1976. Time Series Analysis: Forecasting and Control. Holden-Day.
Christiano, Lawrence J., Martin Eichenbaum, and Charles Evans. 1996. “The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds.” The Review of Economics and Statistics 78 (1): 16–34. http://www.jstor.org/stable/2109845.
Christiano, Lawrence J., Martin Eichenbaum, and Robert Vigfusson. 2007. “Assessing Structural VARs.” Book. In NBER Macroeconomics Annual 2006, Volume 21, by Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, 1–106. National Bureau of Economic Research; MIT Press. http://www.nber.org/chapters/c11177.
De Gooijer, Jan G., and Rob J. Hyndman. 2006. “25 Years of Time Series Forecasting.” International Journal of Forecasting 22 (3): 443–73. https://doi.org/https://doi.org/10.1016/j.ijforecast.2006.01.001.
Dedola, Luca, and Francesco Lippi. 2005. “The Monetary Transmission Mechanism: Evidence from the Industries of Five OECD Countries.” European Economic Review 49 (6): 1543–69. https://www.sciencedirect.com/science/article/pii/S0014292103001569.
Dickey, David A., and Wayne A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74 (366a): 427–31. https://doi.org/10.1080/01621459.1979.10482531.
Diebold, Francis, and Roberto Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Business & Economic Statistics 13 (3): 253–63. https://EconPapers.repec.org/RePEc:bes:jnlbes:v:13:y:1995:i:3:p:253-63.
Engle, Robert F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50 (4): 987–1007. http://www.jstor.org/stable/1912773.
Engle, Robert F., and C. W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55 (2): 251–76. http://www.jstor.org/stable/1913236.
Erceg, Christopher J., Luca Guerrieri, and Christopher Gust. 2005. “Can Long-Run Restrictions Identify Technology Shocks?” Journal of the European Economic Association 3 (6): 1237–78. https://doi.org/10.1162/154247605775012860.
Faust, Jon, and Eric M. Leeper. 1997. “When Do Long-Run Identifying Restrictions Give Reliable Results?” Journal of Business & Economic Statistics 15 (3): 345–53. https://www.tandfonline.com/doi/abs/10.1080/07350015.1997.10524712.
Fischer, Stanley. 1977. “Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule.” Journal of Political Economy 85 (1): 191–205. https://EconPapers.repec.org/RePEc:ucp:jpolec:v:85:y:1977:i:1:p:191-205.
Galí, Jordi. 1992. “How Well Does the IS-LM Model Fit Postwar u.s. Data?” The Quarterly Journal of Economics 107 (2): 709–38. http://www.jstor.org/stable/2118487.
———. 1999. “Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?” American Economic Review 89 (1): 249–71. https://doi.org/10.1257/aer.89.1.249.
Gerlach, Stefan, and Frank Smets. 1995. “The Monetary Transmission Mechanism: Evidence from the G-7 Countries.” CEPR Discussion Papers 1219. C.E.P.R. Discussion Papers. https://ideas.repec.org/p/cpr/ceprdp/1219.html.
Gertler, Mark, and Peter Karadi. 2015. “Monetary Policy Surprises, Credit Costs, and Economic Activity.” American Economic Journal: Macroeconomics 7 (1): 44–76. https://ideas.repec.org/a/aea/aejmac/v7y2015i1p44-76.html.
Gouriéroux, Christian, Alain Monfort, and Jean-Paul Renne. 2017. “Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.” Journal of Econometrics 196 (1): 111–26. https://doi.org/https://doi.org/10.1016/j.jeconom.2016.09.007.
———. 2020. “Identification and Estimation in Non-Fundamental Structural VARMA Models.” Review of Economic Studies 87 (4): 1915–53. https://ideas.repec.org/a/oup/restud/v87y2020i4p1915-1953..html.
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37 (3): 424–38. http://www.jstor.org/stable/1912791.
Hamilton, James Douglas. 1994. Time Series Analysis. Princeton University Press. https://www.worldcat.org/title/time-series-analysis/oclc/1194970663&referer=brief_results.
Johansen, Søren. 1991. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” Econometrica 59 (6): 1551–80. http://www.jstor.org/stable/2938278.
Jordà, Òscar. 2005. “Estimation and Inference of Impulse Responses by Local Projections.” American Economic Review 95 (1): 161–82. https://ideas.repec.org/a/aea/aecrev/v95y2005i1p161-182.html.
Jordà, Òscar, Moritz Schularick, and Alan M. Taylor. 2017. “Macrofinancial History and the New Business Cycle Facts.” NBER Macroeconomics Annual 31 (1): 213–63. https://ideas.repec.org/a/ucp/macann/doi10.1086-690241.html.
Kwiatkowski, Denis, Peter C. B. Phillips, Peter Schmidt, and Yongcheol Shin. 1992. “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?” Journal of Econometrics 54 (1): 159–78. https://www.sciencedirect.com/science/article/pii/030440769290104Y.
Litterman, Robert, and Jose Scheinkman. 1991. “Common Factors Affecting Bond Returns.” Journal of Fixed Income, no. 1: 54–61. https://www.math.nyu.edu/~avellane/Litterman1991.pdf.
Lütkepohl, Helmut. 1990. “Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models.” The Review of Economics and Statistics 72 (1): 116–25. https://EconPapers.repec.org/RePEc:tpr:restat:v:72:y:1990:i:1:p:116-25.
Mandelbrot, Benoit. 1963. “The Variation of Certain Speculative Prices.” The Journal of Business 36. https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:36:y:1963:p:394.
Newey, Whitney K., and Kenneth D. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–8. http://www.jstor.org/stable/1913610.
Phillips, P. C. B. 1987. “Time Series Regression with a Unit Root.” Econometrica 55 (2): 277–301. http://www.jstor.org/stable/1913237.
Phillips, P. C. B., and S. Ouliaris. 1990. “Asymptotic Properties of Residual Based Tests for Cointegration.” Econometrica 58 (1): 165–93. http://www.jstor.org/stable/2938339.
Phillips, Peter, and Pierre Perron. 1988. “Testing for a unit root in time series regression.” Biometrika 75 (2): 335–46. https://doi.org/10.1093/biomet/75.2.335.
Ramey, Valerie A. 2016. “Macroeconomic Shocks and Their Propagation.” NBER Working Papers 21978. National Bureau of Economic Research, Inc. https://ideas.repec.org/p/nbr/nberwo/21978.html.
Ruibio-Ramírez, Juan F., Daniel F. Waggoner, and Tao Zha. 2010. “Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference.” The Review of Economic Studies 77 (2): 665–96. http://www.jstor.org/stable/40587642.
Schwert, G. William. 1989. “Tests for Unit Roots: A Monte Carlo Investigation.” Journal of Business & Economic Statistics 7 (2): 147–59. http://www.jstor.org/stable/1391432.
Sims, Christopher A. 1980. “Macroeconomics and Reality.” Econometrica 48 (1): 1–48. http://www.jstor.org/stable/1912017.
———. 1986. “Are forecasting models usable for policy analysis?” Quarterly Review 10 (Win): 2–16. https://ideas.repec.org/a/fip/fedmqr/y1986iwinp2-16nv.10no.1.html.
Stock, J. H., and M. W. Watson. 2016. “Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics.” In Handbook of Macroeconomics, edited by J. B. Taylor and Harald Uhlig, 2:415–525. Handbook of Macroeconomics. Elsevier. https://doi.org/10.1016/bs.hesmac.2016.04.
Stock, James, and Mark W. Watson. 2003. Introduction to Econometrics. New York: Prentice Hall; Prentice Hall.