Literature collection of econometric methods

Using econometric method requires the reference to literature where the method was first introduced.  Here are some articles are provided available for download, by clicking on the article name.

Topic Article Author Year of Publish

Assessing wrong parameter signs

Oh No! I Got the Wrong Sign! What Should I Do?

Peter Kennedy

Dickey Fuller Unit Root Test

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

David A. Dickey

Wayne A. Fuller


KPSS Unit Root Test

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?

Denis Kwiatkowski

Peter C.B. Phillips

Peter Schmidt

Yongcheol Shin


Zivot Andrews Unit Root test allowing for structural break

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Eric Zivot

D. W.K. Andrews


Box Jenkins Approach to Forecasting

The Principles of the Box-Jenkins Approach

Paul Newbold


Spurious regression

Why do we Sometimes get Nonsense-Correlations between Time-Series?–A Study in Sampling and the Nature of Time-Series

G. Udny Yule


Engle Granger ECM approach

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle

C.W.J. Granger


Johanson VECM approach

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Soren Johanson

Katarina Juselius


ARDL with cointegrating bounds model

Bounds Testing Approaches to the Analysis of Long Run Relationships

M. Hashem Pesaran

Yongcheol Shin

Richard Smith


Ridge Regression Model

Multicollinearity Problems and Ridge Regression in Sociological Models

Robert Mason

William G Brown


Swamy Random Coefficient Model

Efficient Inference in a Random Coefficient Regression Model

P.A.V.B. Swamy


Hope you would like this collection, please share if you have more pioneer articles related to econometric statistical methods.

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