New developments in time series econometrics: An overview Jean-Marie DufourBaldev Raj OriginalPaper Pages: 557 - 564
Usefulness of linear transformations in multivariate time-series analysis George C. TiaoRuey S. TsayTaychang Wang Modelling of Multivariate Economic Time Series Pages: 567 - 593
VAR modelling and Haavelmo's probability approach to macroeconomic modelling Katarina Juselius Modelling of Multivariate Economic Time Series Pages: 595 - 622
Inference in expectations models of the term structure: A non-parametric approach Bryan CampbellJohn W. Galbraith Modelling of Multivariate Economic Time Series Pages: 623 - 638
Adjustment costs and time-to-build in factor demand in the U.S. manufacturing industry Franz C. PalmH. M. M. PeetersG. A. Pfann Modelling of Multivariate Economic Time Series Pages: 639 - 671
Parameter constancy in cointegrating regressions Carmela E. QuintosPeter C. B. Phillips Structural Change Analysis Pages: 675 - 706
The HUMP-shaped behavior of macroeconomic fluctuations Pierre Perron Structural Change Analysis Pages: 707 - 727
The sources of the U.S. money demand instability Helmut Lütkepohl Structural Change Analysis Pages: 729 - 743
On the (mis)specification of seasonality and its consequences: An empirical investigation with US data Eric GhyselsHahn S. LeePierre L. Siklos Seasonality, Cointegration and Fractional Integration Pages: 747 - 760
Seasonal cointegration, common seasonals, and forecasting seasonal series Robert M. Kunst Seasonality, Cointegration and Fractional Integration Pages: 761 - 776
A note on Johansen's cointegration procedure when trends are present Pierre PerronJohn Y. Campbell Seasonality, Cointegration and Fractional Integration Pages: 777 - 789
Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models Ching-Fan ChungRichard T. Baillie Seasonality, Cointegration and Fractional Integration Pages: 791 - 806