1@Article{aalen78,
2  author =	 {Aalen, Odd},
3  year =	 1978,
4  title =	 {Nonparametric Inference for a Family of Counting Processes},
5  journal =	 {Annals of Statistics},
6  volume =	 6,
7  number =       4,
8  pages =	 {701--726}
9}
10
11@Misc{addons-bundles,
12  author =	 {Cottrell, Allin},
13  title =	 {Extending gretl: addons and bundles},
14  howpublished = {Presented at second gretl conference, Toru\'n},
15  year =	 2011,
16  url =	         {http://gretl.sourceforge.net/papers/addons.pdf}
17}
18
19@Misc{adkins15,
20  author =	 {Adkins, Lee C. and Waters, Melissa S. and Hill, R. Carter},
21  title =	 {Collinearity Diagnostics in gretl},
22  howpublished = {Presented at fourth gretl conference, Berlin},
23  year =	 2015,
24  url =	         {https://learneconometrics.com/pdf/Collin/collin_gretl.pdf}
25}
26
27@Article{agresti92,
28  author =	 {Agresti, A.},
29  year =	 1992,
30  title =	 {A Survey of Exact Inference for Contingency Tables},
31  journal =	 {Statistical Science},
32  volume =	 7,
33  pages =	 {131--153}
34}
35
36@Article{akaike74,
37  author =	 {Akaike, H.},
38  year =	 1974,
39  title =	 {A New Look at the Statistical Model Identification},
40  journal =	 {IEEE Transactions on Automatic Control},
41  volume =	 {AC-19},
42  pages =	 {716--723}
43}
44
45@Article{almon65,
46  author =	 {Almon, Shirley},
47  year =	 1965,
48  title =	 {The distributed lag between capital appropriations
49                  and expenditures},
50  journal =	 {Econometrica},
51  volume =	 {33},
52  number =       1,
53  pages =	 {178--196}
54}
55
56@Article{anderson-hsiao81,
57  author =	 {Anderson, T. W. and Hsiao, C.},
58  year =	 1981,
59  title =	 {Estimation of Dynamic Models with Error Components},
60  journal =	 {Journal of the American Statistical Association},
61  volume =	 76,
62  pages =	 {598--606}
63}
64
65@Book{anderson-moore79,
66  author =	 {Anderson, B. and Moore, J.},
67  year =	 1979,
68  title =	 {Optimal Filtering},
69  publisher =	 {Prentice-Hall},
70  address =	 {Upper Saddle River, NJ}
71}
72
73@Article{andrews91,
74  author =	 {Andrews, D. W. K.},
75  year =	 1991,
76  title =	 {Heteroskedasticity and autocorrelation consistent
77                  covariance matrix estimation},
78  journal =	 {Econometrica},
79  volume =	 59,
80  pages =	 {817--858}
81}
82
83@Article{andrews92,
84  author =	 {Andrews, D. W. K. and Monahan, J. C.},
85  year =	 1992,
86  title =	 {An Improved Heteroskedasticity and Autocorrelation
87                  Consistent Covariance Matrix Estimator},
88  journal =	 {Econometrica},
89  volume =	 60,
90  pages =	 {953--966}
91}
92
93@Book{arellano03,
94  author =	 {Arellano, M.},
95  year =	 2003,
96  title =	 {Panel Data Econometrics},
97  publisher =	 {Oxford University Press},
98  address =	 {Oxford}
99}
100
101@Article{arellano-bond91,
102  author =	 {Arellano, M. and Bond, S.},
103  year =	 1991,
104  title =	 {Some Tests of Specification for Panel Data: Monte
105                  Carlo Evidence and an Application to Employment
106                  Equations},
107  journal =	 {The Review of Economic Studies},
108  volume =	 58,
109  pages =	 {277--297}
110}
111
112@Article{armesto10,
113  author =	 {Armesto, Michelle T. and Kristie Engemann and
114                  Michael Owyang},
115  title =	 {Forecasting with mixed frequencies},
116  journal =	 {Federal Reserve Bank of St. Louis Review},
117  volume =	 92,
118  number =	 6,
119  year =	 2010,
120  pages =	 {521--536},
121  url =          {http://research.stlouisfed.org/publications/review/10/11/Armesto.pdf}
122}
123
124@Article{baiocchi03,
125  author =	 {Baiocchi, G. and Distaso, W.},
126  year =	 2003,
127  title =	 {{GRETL}: Econometric software for the {GNU}
128                  generation},
129  journal =	 {Journal of Applied Econometrics},
130  volume =	 18,
131  pages =	 {105--110}
132}
133
134@Book{baltagi95,
135  author =	 {Baltagi, B. H.},
136  year =	 1995,
137  title =	 {Econometric Analysis of Panel Data},
138  publisher =	 {Wiley},
139  address =	 {New York}
140}
141
142@Book{baltagi05,
143  author =	 {Baltagi, B. H.},
144  year =	 2005,
145  title =	 {Econometric Analysis of Panel Data, 3e},
146  publisher =	 {Wiley},
147  address =	 {Chichester}
148}
149
150@Article{baltagi-akom90,
151  author =	 {Baltagi, B. H. and Khanti-Akom, S.},
152  year =	 1990,
153  title =	 {On Efficient Estimation with Panel Data: An
154                  Empirical Comparison of Instrumental Variables
155                  Estimators},
156  journal =	 {Journal of Applied Econometrics},
157  volume =	 5,
158  pages =	 {401--406}
159}
160
161@Article{baltagi-chang94,
162  author =	 {Baltagi, B. H. and Chang, Y.-J.},
163  year =	 1994,
164  title =	 {Incomplete panels: A comparative study of
165                  alternative estimators for the unbalanced one-way
166                  error component regression model},
167  journal =	 {Journal of Econometrics},
168  volume =	 62,
169  pages =	 {67--89}
170}
171
172@Article{baltagi-li90,
173  author =	 {Baltagi, B. H. and Li, Q.},
174  year =	 1990,
175  title =	 {A lagrange multiplier test for the error components model
176		  with incomplete panels},
177  journal =	 {Econometric Reviews},
178  volume =	 9,
179  pages =	 {103--107}
180}
181
182@Article{baltagi-Wu99,
183  author =	 {Baltagi, B. H. and Wu, P. X.},
184  year =	 1999,
185  title =	 {Unequally Spaced Panel Data Regressions with {AR}(1)
186                  Disturbances},
187  journal =	 {Econometric Theory},
188  volume =	 15,
189  pages =	 {814--823}
190}
191
192@Article{BFN82,
193  author =	 {Bhargava, A. and Franzini, L. and Narendranathan, W.},
194  year =	 1982,
195  title =	 {Serial Correlation and the Fixed Effects Model},
196  journal =	 {Review of Economic Studies},
197  volume =	 49,
198  pages =	 {533--549}
199}
200
201@Article{barrodale74,
202  author =	 {Barrodale, I. and Roberts, F. D. K.},
203  year =	 1974,
204  title =	 {Solution of an overdetermined system of equations in
205                  the $\ell_l$ norm},
206  journal =	 {Communications of the ACM},
207  volume =	 17,
208  pages =	 {319--320}
209}
210
211@Article{baum07,
212  author =	 {Baum, Christopher F. and Schaffer, Mark E. and
213                  Stillman, Steven},
214  year =	 2007,
215  title =	 {Enhanced routines for instrumental
216                  variables/generalized method of moments estimation
217                  and testing},
218  journal =	 {The Stata Journal},
219  volume =	 7,
220  number =	 4,
221  pages =	 {465--506}
222}
223
224@Article{baxter-king99,
225  author =	 {Baxter, M. and King, R. G.},
226  year =	 1999,
227  title =	 {Measuring Business Cycles: Approximate Band-Pass
228                  Filters for Economic Time Series},
229  journal =	 {The Review of Economics and Statistics},
230  volume =	 81,
231  number =	 4,
232  pages =	 {575--593}
233}
234
235@Article{beck-katz95,
236  author =	 {Beck, N. and Katz, J. N.},
237  year =	 1995,
238  title =	 {What to do (and not to do) with Time-Series
239                  Cross-Section Data},
240  journal =	 {The American Political Science Review},
241  volume =	 89,
242  pages =	 {634--647}
243}
244
245@Book{belsley-etal80,
246  author =	 {Belsley, D. and Kuh, E. and Welsch, R.},
247  year =	 1980,
248  title =	 {Regression Diagnostics},
249  publisher =	 {Wiley},
250  address =	 {New York}
251}
252
253@Article{bhargava-etal82,
254  author =	{Bhargava, A. and Franzini, L. and Narendranathan, W.},
255  year =	1982,
256  title =	{Serial Correlation and the Fixed Effects Model},
257  journal =	{Review of Economic Studies},
258  volume =	49,
259  pages =	{533--549}
260}
261
262@Article{bhhh74,
263  author =	 {Berndt, E. and Hall, B. and Hall, R. and Hausman,
264                  J.},
265  year =	 1974,
266  title =	 {Estimation and Inference in Nonlinear Structural
267                  Models},
268  journal =	 {Annals of Economic and Social Measurement},
269  volume =	 3,
270  number =	 4,
271  pages =	 {653--665}
272}
273
274@Article{blundell-bond98,
275  author =	 {Blundell, R. and Bond, S.},
276  year =	 1998,
277  title =	 {Initial Conditions and Moment Restrictions in
278                  Dynamic Panel Data Models},
279  journal =	 {Journal of Econometrics},
280  volume =	 87,
281  pages =	 {115--143}
282}
283
284@Article{Bollerslev-86,
285  author = 	 {Bollerslev, Tim Peter},
286  title = 	 {Generalized Autoregressive Conditional Heteroskedasticity},
287  journal = 	 {Journal of Econometrics},
288  year = 	 {1986},
289  volume = 	 {31},
290  pages = 	 {307--327}
291}
292
293@Article{bollerslev96,
294  author =	 {Bollerslev, T. and Ghysels, E.},
295  year =	 1996,
296  title =	 {Periodic Autoregressive Conditional
297                  Heteroscedasticity},
298  journal =	 {Journal of Business and Economic Statistics},
299  volume =	 14,
300  pages =	 {139--151}
301}
302
303@Article{bolwoo92,
304  author = 	 {Bollerslev, Tim and Wooldridge, Jeffrey M.},
305  title = 	 {Quasi maximum likelihood estimation and inference in dynamic models
306                  with time varying covariances},
307  journal = 	 {Economic Review},
308  year = 	 {1992},
309  volume = 	 {11},
310  pages = 	 {143--172},
311}
312
313@Unpublished{Bond2001,
314  author =	 {Stephen Bond and Anke Hoeffler and Jonathan Temple},
315  title =	 {{GMM} Estimation of Empirical Growth Models},
316  year =	 2001,
317  note =	 {Economics Papers from Economics Group, Nuffield
318                  College, University of Oxford, No 2001-W21}
319}
320
321@Article{bournay79,
322  author =	 {Bournay, Jacques and Laroque, Guy},
323  title =	 {Réflexions sur la méthode d'élaboration des comptes trimestriels},
324  journal =      {Annales de l'inséé},
325  year =	 1979,
326  number =       36,
327  pages =        {3--30},
328  url =	         {http://www.jstor.com/stable/20075332}
329}
330
331@Misc{boswijk95,
332  author =	 {Boswijk, H. Peter},
333  title =	 {Identifiability of Cointegrated Systems},
334  howpublished = {Tinbergen Institute Discussion Paper 95-78},
335  year =	 1995,
336  url =		 {http://www.ase.uva.nl/pp/bin/258fulltext.pdf}
337}
338
339@Article{boswijk-doornik04,
340  author =	 {Boswijk, H. Peter and Doornik, Jurgen A.},
341  year =	 2004,
342  title =	 {Identifying, estimating and testing restricted
343                  cointegrated systems: An overview},
344  journal =	 {Statistica Neerlandica},
345  volume =	 58,
346  number =	 4,
347  pages =	 {440--465}
348}
349
350@Book{box-jenkins76,
351  author =	 {Box, G. E. P. and Jenkins, G.},
352  year =	 1976,
353  title =	 {Time Series Analysis: Forecasting and Control},
354  publisher =	 {Holden-Day},
355  address =	 {San Franciso}
356}
357
358@Article{box-muller58,
359  author =	 {Box, G. E. P. and Muller, M. E.},
360  year =	 1958,
361  title =	 {A Note on the Generation of Random Normal Deviates},
362  journal =	 {Annals of Mathematical Statistics},
363  volume =	 29,
364  pages =	 {610--611}
365}
366
367@Article{boyd2010,
368  author =	 {Stephen Boyd and Neal Parikh and Eric Chu and Borja
369                  Peleato and Jonathan Eckstein},
370  year =	 2010,
371  title =	 {Distributed Optimization and Statistical Learning
372                  via the {A}lternating {D}irection {M}ethod of
373                  {M}ultipliers},
374  journal =	 {Foundations and Trends in Machine Learning},
375  volume =	 3,
376  number =	 1,
377  pages =	 {1--122},
378  url =          {https://dl.acm.org/doi/10.1561/2200000016}
379}
380
381@Article{brand-cassola04,
382  author =	 {Brand, C. and Cassola, N.},
383  year =	 2004,
384  title =	 {A money demand system for euro area {M}3},
385  journal =	 {Applied Economics},
386  volume =	 36,
387  number =	 8,
388  pages =	 {817--838}
389}
390
391@Article{breusch-pagan79,
392  author =	 {Breusch, T. S. and Pagan, A. R.},
393  year =	 1979,
394  title =	 {A Simple Test for Heteroscedasticity and Random
395                  Coefficient Variation},
396  journal =	 {Econometrica},
397  volume =	 47,
398  pages =	 {1287--1294}
399}
400
401@Article{brock-etal96,
402  author =	 {Brock, W. A. and W. D. Dechert and J. A. Scheinkman
403                  and B. LeBaron},
404  year =	 1996,
405  title =	 {A Test for Independence Based on the Correlation
406                  Dimension},
407  journal =	 {Econometric Reviews},
408  volume =	 15,
409  number =	 3,
410  pages =	 {1287--1294}
411}
412
413@Article{butterworth30,
414  author =	 {Butterworth, S.},
415  year =	 1930,
416  title =	 {On the Theory of Filter Amplifiers},
417  journal =	 {Experimental Wireless \& The Wireless Engineer},
418  volume =       7,
419  pages =	 {536--541}
420}
421
422@Article{byrd-etal95,
423  author =	 {Byrd, R. H. and Lu, P. and Nocedal, J. and Zhu, C.},
424  year =	 1995,
425  title =	 {A Limited Memory Algorithm for Bound Constrained
426                  Optimization},
427  journal =	 {SIAM Journal on Scientific Computing},
428  volume =	 16,
429  number =       5,
430  pages =	 {1190--1208}
431}
432
433@Article{cameron-miller15,
434  author =	 {Cameron, A. Colin and Miller, Douglas L.},
435  title =	 {A Practitioner's Guide to Cluster-Robust Inference},
436  journal =	 {Journal of Human Resources},
437  volume =	 50,
438  number =	 2,
439  year =	 2015,
440  pages =	 {317--373}
441}
442
443@Article{cameron-trivedi86,
444  author =	 {Cameron, A. Colin and Trivedi, Pravin K.},
445  title =	 {Econometric models based on count data: comparisons
446                  and applications of some estimators and tests},
447  year =	 1986,
448  journal =	 {Journal of Applied Econometrics},
449  volume =	 1,
450  pages =	 {29--54}
451}
452
453@Book{cameron-trivedi98,
454  author =	 {Cameron, A. Colin and Trivedi, Pravin K.},
455  year =	 1998,
456  title =	 {Regression Analysis of Count Data},
457  publisher =	 {Cambridge University Press},
458  address =	 {Cambridge}
459}
460
461@Book{cameron-trivedi05,
462  author =	 {Cameron, A. Colin and Trivedi, Pravin K.},
463  year =	 2005,
464  title =	 {Microeconometrics, Methods and Applications},
465  publisher =	 {Cambridge University Press},
466  address =	 {Cambridge}
467}
468
469@Book{cameron-trivedi13,
470  author =       {Cameron, A. Colin and Trivedi, Pravin K.},
471  title =        {{Regression Analysis of Count Data}},
472  publisher =    {Cambridge University Press},
473  year =         2013,
474  month =        {November}
475}
476
477@Article{CEL96,
478  author =	 {Francesco Caselli and Gerardo Esquivel and Fernando
479                  Lefort},
480  title =	 {Reopening the Convergence Debate: A New Look at
481                  Cross-Country Growth Empirics},
482  journal =	 {Journal of Economic Growth},
483  year =	 1996,
484  volume =	 {1},
485  number =	 {3},
486  pages =	 {363--389}
487}
488
489@Article{chesher-irish87,
490  author =	 {Chesher, A. and Irish, M.},
491  year =	 1987,
492  title =	 {Residual Analysis in the Grouped and Censored Normal
493                  Linear Model},
494  journal =	 {Journal of Econometrics},
495  volume =	 34,
496  pages =	 {33--61}
497}
498
499@Article{choi01,
500  author =	 {Choi, In},
501  title =	 {Unit root tests for panel data},
502  journal =	 {Journal of International Money and Finance},
503  year =	 2001,
504  volume =	 20,
505  number =	 2,
506  pages =	 {249--272}
507}
508
509@Article{cholette84,
510  author =	 {Cholette, Pierre A.},
511  title =	 {Adjusting sub-annual series to yearly benchmarks},
512  journal =	 {Survey Methodology},
513  year =	 1984,
514  volume =	 10,
515  number =	 1,
516  pages =	 {35--49},
517  url =          {https://www150.statcan.gc.ca/n1/pub/12-001-x/1984001/article/14348-eng.pdf}
518}
519
520@Article{chowlin71,
521  author =	 {Chow, Gregory C. and Lin, An-loh},
522  title =	 {Best Linear Unbiased Interpolation, Distribution,
523                  and Extrapolation of Time Series by Related Series},
524  journal =	 {The Review of Economics and Statistics},
525  year =	 1971,
526  volume =	 53,
527  number =	 4,
528  pages =	 {372--375},
529  url =          {https://www.jstor.org/stable/1928739}
530}
531
532@Article{cleveland79,
533  author =	 {Cleveland, William S.},
534  title =	 {Robust Locally Weighted Regression and Smoothing Scatterplots},
535  journal =	 {Journal of the American Statistical Association},
536  year =	 1979,
537  volume =	 74,
538  number =	 368,
539  pages =	 {829--836}
540}
541
542@Article{commandeur-etal11,
543  author =	 {Commandeur, Jacques J. F. and Koopman, Siem Jan and Ooms, Marius},
544  title =	 {Statistical Software for State Space Methods},
545  journal =	 {Journal of Statistical Software},
546  year =	 2011,
547  volume =	 41,
548  number =	 1,
549  pages =	 {1--18}
550}
551
552@Article{cornwell88,
553  author =	 {Cornwell, C. and Rupert, P.},
554  title =	 {Efficient Estimation with Panel Data: An Empirical
555                  Comparison of Instrumental Variables Estimators},
556  journal =	 {Journal of Applied Econometrics},
557  year =	 1988,
558  volume =	 3,
559  pages =	 {149--155}
560}
561
562@Article{cornwell94,
563  author =	 {Cornwell, C. and Trumbull, W.},
564  title =	 {Estimating the Economic Model of Crime with Panel Data},
565  journal =	 {Review of Economics and Statistics},
566  year =	 1994,
567  volume =	 76,
568  pages =	 {360--366}
569}
570
571@Misc{cottrell15,
572  author =	  {Cottrell, Allin},
573  title =	  {Response surfaces for {DF}-{GLS} p-values},
574  howpublished  = {Working paper},
575  year =	  2015,
576  url =	          {http://gretl.sourceforge.net/papers/df-gls-pvals.pdf}
577}
578
579@Misc{cottrell17,
580  author =	  {Cottrell, Allin},
581  title =	  {Random effects estimators for unbalanced panel data:
582                   a {M}onte {C}arlo analysis},
583  howpublished  = {gretl working papers, number 4},
584  year =	  2017,
585  url =	          {https://ideas.repec.org/p/anc/wgretl/4.html}
586}
587
588@Article{cribari-neto03,
589  author =	 {Cribari-Neto, F. and Zarkos, S. G.},
590  year =	 2003,
591  title =	 {Econometric and Statistical Computing Using {O}x},
592  journal =	 {Computational Economics},
593  volume =	 21,
594  pages =	 {277--295}
595}
596
597@Misc{plm165,
598  author =	 {Croissant, Y.},
599  title =	 {Package `plm'},
600  howpublished = {R package documentation},
601  year =	 2016,
602  url =          {https://cran.r-project.org/package=plm}
603}
604
605@Article{cureton67,
606  author =	 {Cureton, E.},
607  year =	 1967,
608  title =	 {The Normal Approximation to the Signed-Rank Sampling
609                  Distribution when Zero Differences are Present},
610  journal =	 {Journal of the American Statistical Association},
611  volume =	 62,
612  pages =	 {1068--1069}
613}
614
615@Misc{davidson-flachaire01,
616  author =	 {Davidson, R. and Flachaire, E.},
617  title =	 {The Wild Bootstrap, Tamed at Last},
618  howpublished = {GREQAM Document de Travail 99A32},
619  year =	 2001,
620  url =          {http://russell.vcharite.univ-mrs.fr/GMMboot/wild5-euro.pdf}
621}
622
623@Book{davidson-mackinnon93,
624  author =	 {Davidson, R. and MacKinnon, J. G.},
625  year =	 1993,
626  title =	 {Estimation and Inference in Econometrics},
627  publisher =	 {Oxford University Press},
628  address =	 {New York}
629}
630
631@Book{davidson-mackinnon04,
632  author =	 {Davidson, R. and MacKinnon, J. G.},
633  year =	 2004,
634  title =	 {Econometric Theory and Methods},
635  publisher =	 {Oxford University Press},
636  address =	 {New York}
637}
638
639@InCollection{DCMT00,
640  author =	 {Matsumoto, Makoto and Nishimura, Takuji},
641  year =	 2000,
642  title =	 {Dynamic Creation of Pseudorandom Number Generators},
643  booktitle =	 {Monte-Carlo and Quasi-Monte Carlo Methods 1998},
644  publisher =	 {Springer},
645}
646
647@Article{dejong91,
648  author =	 {de Jong, P.},
649  year =	 1991,
650  title =	 {The Diffuse {K}alman Filter},
651  journal =	 {The Annals of Statistics},
652  volume =	 19,
653  pages =	 {1073--1083}
654}
655
656@Article{dejong-penzer98,
657  author =	 {de Jong, P. and Penzer, J.},
658  year =	 1998,
659  title =	 {Diagnosing Shocks in Time Series},
660  journal =	 {Journal of the American Statistical Association},
661  volume =	 93,
662  number =       442,
663  pages =	 {796--806}
664}
665
666@Article{denton71,
667  author =	 {Denton, Frank T.},
668  year =	 1971,
669  title =	 {Adjustment of Monthly or Quarterly Series to Annual
670                  Totals: An Approach Based on Quadratic Minimization},
671  journal =	 {Journal of the American Statistical Association},
672  volume =	 66,
673  number =	 333,
674  pages =	 {99--102},
675  url =          {http://www.jstor.com/stable/2284856}
676}
677
678@Misc{difonzo2003,
679  author =	 {Di Fonzo, Tommaso},
680  title =	 {Benchmarking di serie storiche economiche. {N}ota
681                  tecnica ed estensioni},
682  howpublished = {Working paper, Università degli Studi di Padova},
683  year =	 2003,
684  url = 	 {http://paduaresearch.cab.unipd.it/7302/1/WP_2003_10.pdf}
685}
686
687@Misc{difonzo2012,
688  author =	 {Di Fonzo, Tommaso and Marini, Marco},
689  title =	 {On the Extrapolation with the {D}enton Proportional Benchmarking Method},
690  howpublished = {IMF Working Paper WP/12/169},
691  year =	 2012,
692  url = 	 {https://www.imf.org/external/pubs/ft/wp/2012/wp12169.pdf}
693}
694
695@Misc{doornik95,
696  author =	 {Doornik, J. A.},
697  title =	 {Testing general restrictions on the cointegrating
698                  space},
699  howpublished = {Discussion Paper, Nuffield College},
700  year =	 1995,
701  url = 	 {http://www.doornik.com/research/coigen.pdf}
702}
703
704@Misc{doornik05,
705  author =	 {Doornik, J. A.},
706  title =	 {An Improved Ziggurat Method to Generate Normal
707                  Random Samples},
708  howpublished = {Discussion Paper, University of Oxford},
709  year =	 2005,
710  url =	         {http://www.doornik.com/research/ziggurat.pdf}
711}
712
713@TechReport{DPBwp,
714  author =	 {Riccardo Lucchetti and Claudia Pigini},
715  title =	 {{DPB}: Dynamic Panel Binary data models in Gretl},
716  year =	 2015,
717  month =	 Apr,
718  institution =	 {Universit{\`a} Politecnica delle Marche (I),
719                  Dipartimento di Scienze Economiche e Sociali},
720  type =	 {gretl working papers},
721  url =		 {http://ideas.repec.org/p/anc/wgretl/1.html},
722  number =	 {1}
723}
724
725@Manual{DPDmanual,
726  title =	 {Panel Data estimation using {DPD} for {O}x},
727  author =	 {Jurgen A. Doornik and Manuel Arellano and Stephen Bond},
728  year =	 2006
729}
730
731@Book{mcaleer-oxley99,
732  author =	 {M. McAleer and L. Oxley},
733  year =	 1999,
734  title =	 {Practical Issues in Cointegration Analysis},
735  publisher =	 {Blackwell},
736  address =	 {Oxford}
737}
738
739@Article{doornik98,
740  author =	 {Jurgen A. Doornik},
741  year =	 1998,
742  title =	 {Approximations to the Asymptotic Distribution of
743                  Cointegration Tests},
744  journal =	 {Journal of Economic Surveys},
745  volume =	 12,
746  pages =	 {573--593},
747  note =	 {Reprinted with corrections in
748                  \cite{mcaleer-oxley99}}
749}
750
751@Book{doornik07,
752  author =	 {Doornik, J. A.},
753  year =	 2007,
754  title =	 {Object-Oriented Matrix Programming Using Ox},
755  publisher =	 {Timberlake Consultants Press},
756  edition =	 {Third},
757  address =	 {London},
758  url =	         {http://www.doornik.com}
759}
760
761@Misc{doornik-hansen94,
762  author =	 {Doornik, J. A. and Hansen, H.},
763  year =	 1994,
764  title =	 {An Omnibus Test for Univariate and Multivariate
765                  Normality},
766  howpublished = {Working paper, Nuffield College, Oxford}
767}
768
769@Book{durbin-koopman12,
770  author =	 {Durbin, J. and Koopman, Siem Jan},
771  year =	 2012,
772  title =	 {Time Series Analysis by State Space Methods},
773  edition =	 {Second},
774  publisher =	 {Oxford University Press},
775  address =	 {Oxford}
776}
777
778@Article{edgerton94,
779  author =	 {Edgerton, D. and Wells, C.},
780  year =	 1994,
781  title =	 {Critical Values for the Cusumsq Statistic in Medium
782                  and Large Sized Samples},
783  journal =	 {Oxford Bulletin of Economics and Statistics},
784  volume =	 56,
785  pages =	 {355--365}
786}
787
788@Article{ERS96,
789  author =	 {Elliott, G. and Rothenberg, T. J. and Stock,
790                  J. H.},
791  year =	 1996,
792  title =	 {Efficient Tests for an Autoregressive Unit Root},
793  journal =	 {Econometrica},
794  volume =	 64,
795  pages =	 {813--836}
796}
797
798@Article{engle-granger87,
799  author =	 {Engle, Robert F. and Granger, Clive W. J.},
800  year =	 1987,
801  title =	 {Co-integration and Error Correction: Representation,
802                  Estimation, and Testing},
803  journal =	 {Econometrica},
804  volume =	 55,
805  pages =	 {251--276}
806}
807
808@Article{estrella98,
809  author =	 {Estrella, Arturo},
810  year =	 1998,
811  title =	 {A New Measure of Fit for Equations With Dichotomous
812                  Dependent Variables},
813  journal =	 {Journal of Business \& Economic Statistics},
814  volume =	 16,
815  number =	 2,
816  pages =	 {198--205},
817  url =		 {https://doi.org/10.1080/07350015.1998.10524753}
818}
819
820@Article{fernandez81,
821  author =	 {Fernández, Roque B.},
822  year =	 1981,
823  title =	 {A Methodological Note on the Estimation of Time Series},
824  journal =	 {The Review of Economics and Statistics},
825  volume =	 63,
826  number =       3,
827  pages =	 {471--476},
828  url =          {https://www.jstor.org/stable/1924371}
829}
830
831@Article{ferrier-lovell90,
832  author =	 {Ferrier, Gary D. and Lovell, C. A. Knox},
833  year =	 1990,
834  title =	 {Measuring cost efficiency in banking: Econometric
835                  and linear programming evidence},
836  journal =	 {Journal of Econometrics},
837  volume =	 46,
838  pages =	 {229--245},
839  url =          {https://doi.org/10.1016/0304-4076(90)90057-Z}
840}
841
842@Article{fiorentini96,
843  author =	 {Fiorentini, G. and Calzolari, G. and Panattoni, L.},
844  year =	 1996,
845  title =	 {Analytic Derivatives and the Computation of {GARCH}
846                  Estimates},
847  journal =	 {Journal of Applied Econometrics},
848  volume =	 11,
849  pages =	 {399--417}
850}
851
852@Article{fisher22,
853  author =	 {Fisher, R. A.},
854  year =	 1922,
855  title =	 {On the mathematical foundations of theoretical
856                  statistics},
857  journal =	 {Philosophical Transactions of the Royal Society of
858                  London, Series A},
859  volume =	 222,
860  pages =	 {309--368}
861}
862
863@Article{glmnet10,
864  author =	 {Friedman, J. and Hastie, T. and Tibshirani, R.},
865  year =	 2010,
866  title =	 {Regularization Paths for Generalized Linear Models
867                  via Coordinate Descent},
868  journal =	 {Journal of Statistical Software},
869  volume =	 33,
870  number =	 1,
871  pages =	 {1--22},
872  url =          {https://www.jstatsoft.org/article/view/v033i01/v33i01.pdf}
873}
874
875@Article{frigo05,
876  author =	 {Frigo, M. and Johnson, S. G.},
877  year =	 2005,
878  title =	 {The Design and Implementation of {FFTW3}},
879  journal =	 {Proceedings of the IEEE 93},
880  volume =	 2,
881  pages =	 {216--231}
882}
883
884@Article{gardner80,
885  author =	 {Gardner, G. and Harvey, A. C. and Phillips, G. D. A.},
886  year =	 1980,
887  title =	 {An Algorithm for Exact Maximum Likelihood Estimation
888                  of Autoregressive--Moving Average Models by Means of
889                  {K}alman filtering},
890  journal =	 {Journal of the Royal Statistical Society, Series C
891                  (Applied Statistics)},
892  volume =	 29,
893  number =	 3,
894  pages =	 {311--322}
895}
896
897@InCollection{geweke91,
898  author =	 {Geweke, J.},
899  year =	 1991,
900  title =	 {Efficient simulation from the multivariate normal
901                  and student-t distributions subject to linear
902                  constraints},
903  pages =	 {571--578},
904  booktitle =	 {Computer Science and Statistics: Proceedings of the
905                  Twenty-third symposium on the Interface},
906  publisher =	 {American Statistical Association},
907  address =	 {Alexandria, VA}
908}
909
910@Misc{ghysels04,
911  author = 	 {Ghysels, Eric and Santa-Clara, Pedro and Valkanov, Rossen},
912  title = 	 {The {MIDAS} Touch: Mixed Data Sampling Regression Models},
913  howpublished = {S\'erie Scientifique, CIRANO, Montr\'eal},
914  year = 	 2004,
915  url =          {http://www.cirano.qc.ca/files/publications/2004s-20.pdf}
916}
917
918@Misc{ghysels15,
919  author = 	 {Ghysels, Eric},
920  title = 	 {{MIDAS} {M}atlab {T}oolbox},
921  howpublished = {University of North Carolina, Chapel Hill},
922  year = 	 2015,
923  url =          {http://www.unc.edu/~eghysels/papers/MIDAS_Usersguide_V1.0.pdf}
924}
925
926@Misc{ghysels-qian16,
927  author = 	 {Ghysels, Eric and Qian, Hang},
928  title = 	 {Estimating {MIDAS} Regressions via {OLS} with
929                  Polynomial Parameter Profiling},
930  howpublished = {University of North Carolina, Chapel Hill, and MathWorks},
931  year = 	 2016,
932  url =          {http://dx.doi.org/10.2139/ssrn.2837798}
933}
934
935@Article{GPH83,
936  author = 	 {Geweke, J. and Porter-Hudak, S.},
937  title = 	 {The estimation and application of long memory
938                  time series models},
939  journal = 	 {Journal of Time Series Analysis},
940  year = 	 1983,
941  volume =	 4,
942  pages =	 {221--238}
943}
944
945@Article{godfrey94,
946  author =	 {Godfrey, L. G.},
947  title =	 {Testing for Serial Correlation by Variable Addition
948                  in Dynamic Models Estimated by Instrumental
949                  Variables},
950  journal =	 {The Review of Economics and Statistics},
951  year =	 1994,
952  volume =	 76,
953  number =	 3,
954  pages =	 {550--559}
955}
956
957@Article{golub69,
958  author =	 {Golub, G. H. and Welsch, John H.},
959  title =	 {Calculation of {G}auss quadrature rules},
960  journal =	 {Mathematics of Computation},
961  year =	 1969,
962  volume =	 23,
963  pages =	 {221--230}
964}
965
966@Book{golub96,
967  author =	 {Golub, G. H. and Van Loan, C. F.},
968  year =	 1996,
969  title =	 {Matrix Computations},
970  publisher =	 {The John Hopkins University Press},
971  edition =	 {Third},
972  address =	 {Baltimore and London}
973}
974
975@Book{goossens04,
976  author =	 {Goossens, M. and Mittelbach, F. and Samarin, A.},
977  year =	 2004,
978  title =	 {The \LaTeX\ Companion},
979  publisher =	 {Addison-Wesley},
980  edition =	 {Second},
981  address =	 {Boston}
982}
983
984@Misc{gould13,
985  author =       {Gould, William},
986  year =         2013,
987  title =        {Interpreting the intercept in the fixed-effects model},
988  publisher =    {StataCorp},
989  url =	         {http://www.stata.com/support/faqs/statistics/intercept-in-fixed-effects-model/}
990}
991
992@Book{gourieroux96,
993  author =	 {Gourieroux, C. and Monfort, A.},
994  year =	 1996,
995  title =	 {Simulation-Based Econometric Methods},
996  publisher =	 {Oxford University Press},
997  address =	 {Oxford}
998}
999
1000@Article{gourieroux87,
1001  author =	 {Gourieroux, C. and Monfort, A. and Renault, E. and
1002                  Trognon, A.},
1003  year =	 1987,
1004  title =	 {Generalized Residuals},
1005  journal =	 {Journal of Econometrics},
1006  volume =	 34,
1007  pages =	 {5--32}
1008}
1009
1010@Book{greene00,
1011  author =	 {Greene, William H.},
1012  year =	 2000,
1013  title =	 {Econometric Analysis},
1014  publisher =	 {Prentice-Hall},
1015  edition =	 {Fourth},
1016  address =	 {Upper Saddle River, NJ}
1017}
1018
1019@Book{greene03,
1020  author =	 {Greene, William H.},
1021  year =	 2003,
1022  title =	 {Econometric Analysis},
1023  publisher =	 {Prentice-Hall},
1024  edition =	 {Fifth},
1025  address =	 {Upper Saddle River, NJ}
1026}
1027
1028@Article{greenwood26,
1029  author =	 {Greenwood, M.},
1030  year =	 1926,
1031  title =	 {The Natural Duration of Cancer},
1032  journal =	 {Ministry of Health Reports on Public Health and Medical Subjects},
1033  volume =	 33,
1034  pages =	 {1--26}
1035}
1036
1037@Article{griliches76,
1038  author =	 {Griliches, Zvi},
1039  year =	 1976,
1040  title =	 {Wages of Very Young Men},
1041  journal =	 {Journal of Political Economy},
1042  volume =	 84,
1043  number =       4,
1044  pages =	 {S69--S85}
1045}
1046
1047@Book{GCR,
1048  author =	 {Cottrell, Allin and Lucchetti, Riccardo},
1049  year =	 2017,
1050  title =	 {Gretl {C}ommand {R}eference},
1051  publisher =    {gretl documentation},
1052  url =          {http://sourceforge.net/projects/gretl/files/manual/}
1053}
1054
1055@Book{GFPG,
1056  author =	 {Cottrell, Allin and Lucchetti, Riccardo},
1057  year =	 2016,
1058  title =	 {Gretl {F}unction {P}ackage {G}uide},
1059  publisher =    {gretl documentation},
1060  url =          {http://sourceforge.net/projects/gretl/files/manual/}
1061}
1062
1063@Misc{gretl-mpi,
1064  author =	 {Cottrell, Allin and Lucchetti, Riccardo},
1065  year =	 2017,
1066  title =	 {Gretl + {MPI}},
1067  publisher =    {gretl documentation},
1068  url =          {http://sourceforge.net/projects/gretl/files/manual/gretl-mpi.pdf}
1069}
1070
1071@Book{GUG,
1072  author =	 {Cottrell, Allin and Lucchetti, Riccardo},
1073  year =	 2017,
1074  title =	 {Gretl {U}ser's {G}uide},
1075  publisher =    {gretl documentation},
1076  url =          {http://sourceforge.net/projects/gretl/files/manual/}
1077}
1078
1079@Book{gujarati03,
1080  author =	 {Gujarati, Damodar N.},
1081  year =	 2003,
1082  title =	 {Basic Econometrics},
1083  publisher =	 {McGraw-Hill},
1084  edition =	 {Fourth},
1085  address =	 {Boston}
1086}
1087
1088@Article{haavelmo44,
1089  author =	 {Haavelmo, Trygve},
1090  year =	 1944,
1091  title =	 {The Probability Approach in Econometrics},
1092  journal =	 {Econometrica},
1093  volume =	 {12, Supplement},
1094  pages =	 {1--115}
1095}
1096
1097@Book{hall05,
1098  author =	 {Hall, Alastair D.},
1099  year =	 2005,
1100  title =	 {Generalized Method of Moments},
1101  publisher =	 {Oxford University Press},
1102  address =	 {Oxford}
1103}
1104
1105@Article{halton64,
1106  author =	 {Halton, J. H. and Smith, G. B.},
1107  year =	 1964,
1108  title =	 {Algorithm 247: Radical-inverse quasi-random point
1109                  sequence},
1110  journal =	 {Communications of the ACM},
1111  volume =	 7,
1112  pages =	 {701--702}
1113}
1114
1115@Book{hamilton94,
1116  author =	 {Hamilton, James D.},
1117  year =	 1994,
1118  title =	 {Time Series Analysis},
1119  publisher =	 {Princeton University Press},
1120  address =	 {Princeton, NJ}
1121}
1122
1123@Article{hannan-quinn79,
1124  author =	 {Hannan, E. J. and Quinn, B. G.},
1125  year =	 1979,
1126  title =	 {The Determination of the Order of an Autoregression},
1127  journal =	 {Journal of the Royal Statistical Society, B},
1128  volume =	 41,
1129  pages =	 {190--195}
1130}
1131
1132@Article{hansen82,
1133  author =	 {Hansen, L. P.},
1134  year =	 1982,
1135  title =	 {Large Sample Properties of Generalized Method of
1136                  Moments Estimation},
1137  journal =	 {Econometrica},
1138  volume =	 50,
1139  pages =	 {1029--1054}
1140}
1141
1142@Article{hansen97,
1143  author =	 {Hansen, B. E.},
1144  year =	 1997,
1145  title =	 {Approximate Asymptotic P Values for Structural-Change Tests},
1146  journal =	 {Journal of Business \& Economic Statistics},
1147  volume =	 15,
1148  pages =	 {60--67}
1149}
1150
1151@Article{hansen-singleton82,
1152  author =	 {Hansen, L. P. and Singleton, K. J.},
1153  year =	 1982,
1154  title =	 {Generalized Instrumental Variables Estimation of
1155                  Nonlinear Rational Expectations Models},
1156  journal =	 {Econometrica},
1157  volume =	 50,
1158  pages =	 {1269--1286}
1159}
1160
1161@book{hansen-sargent2013,
1162  title =	 {Recursive models of dynamic linear economies},
1163  author =	 {Hansen, Lars Peter and Sargent, Thomas J},
1164  year =	 {2013},
1165  publisher =	 {Princeton University Press}
1166}
1167
1168@Book{hansl-primer,
1169  author =	 {Cottrell, Allin and Lucchetti, Riccardo},
1170  year =	 2016,
1171  title =	 {A {H}ansl {P}rimer},
1172  publisher =    {gretl documentation},
1173  url =          {http://sourceforge.net/projects/gretl/files/manual/}
1174}
1175
1176@Book{harvey89,
1177  author =	 {Harvey, Andrew C.},
1178  year =	 1989,
1179  title =	 {Forecasting, Structural Time Series Models and the
1180                  Kalman Filter},
1181  publisher =	 {Cambridge University Press},
1182  address =	 {Cambridge}
1183}
1184
1185@article{harvey1993detrending,
1186  title =	 {Detrending, stylized facts and the business cycle},
1187  author =	 {Harvey, Andrew C. and Jaeger, Albert},
1188  journal =	 {Journal of Applied Econometrics},
1189  volume =	 8,
1190  number =	 3,
1191  pages =	 {231--247},
1192  year =	 1993,
1193  publisher =	 {Wiley Online Library}
1194}
1195
1196@Article{harvey-koopman92,
1197  author =	 {Harvey, Andrew C. and Koopman, Siem Jan},
1198  year =	 1992,
1199  title =	 {Diagnostic Checking of Unobserved-Components Time
1200                  Series Models},
1201  journal =	 {Journal of Business \& Economic Statistics},
1202  volume =	 10,
1203  number =	 4,
1204  pages =	 {377--389}
1205}
1206
1207@Article{harvey-pierse84,
1208  author =	 {Harvey, Andrew C. and Pierse, R. G.},
1209  year =	 1984,
1210  title =	 {Estimating Missing Observations in Economic Time Series},
1211  journal =	 {Journal of the American Statistical Association},
1212  volume =	 79,
1213  number =	 385,
1214  pages =	 {125--131}
1215}
1216
1217@Misc{HCL16,
1218  author =	 {Hsu, Chih-Wei and Chang, Chih-Chung and Lin, Chih-Jen},
1219  title =	 {A Practical Guide to Support Vector Classification},
1220  howpublished = {Department of Computer Science, National Taiwan University},
1221  year =	 2016,
1222  url =	         {http://www.csie.ntu.edu.tw/~cjlin/papers/guide/guide.pdf}
1223}
1224
1225@Incollection{HKP98,
1226  author =	 {Harvey, Andrew C. and Koopman, Siem Jan and Penzer, Jeremy},
1227  title =	 {Messy Time Series: A Unified Approach},
1228  editor =       {Fomby, Thomas B. and Hill, R. Carter},
1229  booktitle =    {Advances in Econometrics, Volume 13},
1230  year =	 1998,
1231  publisher =    {JAI Press},
1232  address =      {Greenwich, CT},
1233  pages =	 {103--143}
1234}
1235
1236@Book{harvey-proietti05,
1237  author =	 {Harvey, Andrew C. and Proietti, T.},
1238  year =	 2005,
1239  title =	 {Readings in Unobserved Component Models},
1240  publisher =	 {Oxford University Press},
1241  address =	 {Oxford}
1242}
1243
1244@Article{hausman78,
1245  author =	 {Hausman, J. A.},
1246  year =	 1978,
1247  title =	 {Specification Tests in Econometrics},
1248  journal =	 {Econometrica},
1249  volume =	 46,
1250  pages =	 {1251--1271}
1251}
1252
1253@Article{hausman-taylor81,
1254  author =	 {Hausman, J. A. and Taylor, W. E.},
1255  year =	 1981,
1256  title =	 {Panel data and unobservable individual effects},
1257  journal =	 {Econometrica},
1258  volume =	 49,
1259  pages =	 {1377--1398}
1260}
1261
1262@Article{heckman79,
1263  author =	 {Heckman, J.},
1264  year =	 1979,
1265  title =	 {Sample Selection Bias as a Specification Error},
1266  journal =	 {Econometrica},
1267  volume =	 47,
1268  pages =	 {153--161}
1269}
1270
1271@Article{hyndman96,
1272  author =	 {Hyndman, Rob and Fan, Yanan},
1273  year =	 1996,
1274  title =	 {Sample Quantiles in Statistical Packages},
1275  journal =	 {The American Statistician},
1276  volume =	 50,
1277  number =       4,
1278  pages =	 {361--365}
1279}
1280
1281@Article{hodrick97,
1282  author =	 {Hodrick, Robert and Prescott, Edward C.},
1283  year =	 1997,
1284  title =	 {Postwar {U.S.} Business Cycles: An Empirical
1285                  Investigation},
1286  journal =	 {Journal of Money, Credit and Banking},
1287  volume =	 29,
1288  pages =	 {1--16}
1289}
1290
1291@Article{Ignacio-HEGY,
1292  author =	 {D\'iaz-Emparanza, Ignacio},
1293  year =	 2014,
1294  title =	 {Numerical distribution functions for seasonal unit
1295                  root tests},
1296  journal =	 {Computational Statistics and Data Analysis},
1297  volume =	 76,
1298  pages =	 {237--247}
1299}
1300
1301@Article{IPS03,
1302  author =	 {Im, K. S. and Pesaran, M. H. and Shin, Y.},
1303  title =	 {Testing for unit roots in heterogeneous panels},
1304  journal =	 {Journal of Econometrics},
1305  year =	 2003,
1306  volume =	 115,
1307  pages =	 {53--74}
1308}
1309
1310@Article{imhof61,
1311  author =	 {Imhof, J. P.},
1312  year =	 1961,
1313  title =	 {Computing the Distribution of Quadratic Forms in
1314                  Normal Variables},
1315  journal =	 {Biometrika},
1316  volume =	 48,
1317  pages =	 {419--426}
1318}
1319
1320@article{Islam1995,
1321  title =	{{Growth Empirics: A Panel Data Approach}},
1322  author =	{Islam, Nazrul},
1323  year =	{1995},
1324  journal =	{The Quarterly Journal of Economics},
1325  volume =	{110},
1326  number =	{4},
1327  pages =	{1127--1170}
1328}
1329
1330@Article{JBL84,
1331  author =	 {Bera, A. K. and Jarque, C. M. and Lee, L. F.},
1332  year =	 1984,
1333  title =	 {Testing the normality assumption in limited
1334                  dependent variable models},
1335  journal =	 {International Economic Review},
1336  volume =	 25,
1337  pages =	 {563--578}
1338}
1339
1340@Book{johansen95,
1341  author =	 {Johansen, S\o{}ren},
1342  year =	 1995,
1343  title =	 {Likelihood-Based Inference in Cointegrated Vector
1344                  Autoregressive Models},
1345  publisher =	 {Oxford University Press},
1346  address =	 {Oxford}
1347}
1348
1349@Book{kalbfleisch02,
1350  author =	 {Kalbfleisch, Jack D. and Prentice, Ross L.},
1351  year =	 2002,
1352  title =	 {The Statistical Analysis of Failure Time Data},
1353  publisher =	 {Wiley},
1354  edition =	 {Second},
1355  address =	 {New York}
1356}
1357
1358@article{kalman60,
1359  author =	 {Kalman, Rudolph Emil},
1360  title =	 {A New Approach to Linear Filtering and Prediction
1361                  Problems},
1362  journal =	 {Transactions of the ASME--Journal of Basic
1363                  Engineering},
1364  volume =	 82,
1365  number =	 {Series D},
1366  pages =	 {35--45},
1367  year =	 1960
1368}
1369
1370@article{kantorovich60,
1371  author =	 {Kantorovich, Leonid V.},
1372  title =	 {Mathematical Methods of Organizing and Planning
1373                  Production},
1374  journal =	 {Management Science},
1375  volume =	 6,
1376  number =	 4,
1377  pages =	 {363--505},
1378  year =	 1960
1379}
1380
1381@Misc{kanzler99,
1382  author =	 {Kanzler, Ludwig},
1383  title =	 {Very Fast and Correctly Sized Estimation of the
1384                  {BDS} Statistic},
1385  howpublished = {Working paper},
1386  year =	 1999,
1387  url =		 {http://dx.doi.org/10.2139/ssrn.151669}
1388}
1389
1390@article{kaplan-meier,
1391  author =	 {Kaplan, E. L. and Meier, Paul},
1392  title =	 {Nonparametric Estimation from Incomplete Observations},
1393  journal =	 {Journal of the American Statistical Association},
1394  volume =	 53,
1395  number =	 {282},
1396  pages =	 {457--481},
1397  month =        {June},
1398  year =	 1958
1399}
1400
1401@Misc{karibzhanov,
1402  author =	 {Karibzhanov, Iskander},
1403  title =	 {Fixed-interval Smoothing},
1404  year = 	 {n.d.},
1405  url =	         {http://karibzhanov.com/help/kalcvs.htm}
1406}
1407
1408@Article{keane97,
1409  author =	 {Keane, Michael P. and Wolpin, Kenneth I.},
1410  year =	 1997,
1411  title =	 {The Career Decisions of Young Men},
1412  journal =	 {Journal of Political Economy},
1413  volume =	 105,
1414  pages =	 {473--522}
1415}
1416
1417@article{KingRebelo1993,
1418  title =        {Low frequency filtering and real business cycles},
1419  author =       {King, Robert G and Rebelo, Sergio T},
1420  journal =      {Journal of Economic dynamics and Control},
1421  volume =       {17},
1422  number =       {1-2},
1423  pages =        {207--231},
1424  year =         {1993}
1425}
1426
1427@Article{kiviet86,
1428  author =	 {Kiviet, J. F.},
1429  year =	 1986,
1430  title =	 {On the Rigour of Some Misspecification Tests for
1431                  Modelling Dynamic Relationships},
1432  journal =	 {Review of Economic Studies},
1433  volume =	 53,
1434  pages =	 {241--261}
1435}
1436
1437@article{klein2000,
1438  title={{Using the generalized Schur form to solve a multivariate linear rational expectations model}},
1439  author={Klein, Paul},
1440  journal={{Journal of Economic Dynamics and Control}},
1441  volume={24},
1442  number={10},
1443  pages={1405--1423},
1444  year={2000},
1445  publisher={Elsevier}
1446}
1447
1448@Article{koenker81,
1449  author =	 {Koenker, R.},
1450  year =	 1981,
1451  title =	 {A Note on Studentizing a Test for
1452                  Heteroscedasticity},
1453  journal =	 {Journal of Econometrics},
1454  volume =	 17,
1455  pages =	 {107--112}
1456}
1457
1458@InCollection{koenker94,
1459  author =	 {Koenker, R.},
1460  year =	 1994,
1461  title =	 {Confidence Intervals for regression quantiles},
1462  booktitle =	 {Asymptotic Statistics},
1463  pages =	 {349--359},
1464  crossref =	 {mandl-huskova94}
1465}
1466
1467@Article{koenker-bassett78,
1468  author =	 {Koenker, R. and Bassett, G.},
1469  year =	 1978,
1470  title =	 {Regression quantiles},
1471  journal =	 {Econometrica},
1472  volume =	 46,
1473  pages =	 {33--50}
1474}
1475
1476@Article{koenker-hallock01,
1477  author =	 {Koenker, R. and Hallock, K.},
1478  year =	 2001,
1479  title =	 {Quantile Regression},
1480  journal =	 {Journal of Economic Perspectives},
1481  volume =	 15,
1482  number =	 4,
1483  pages =	 {143--156}
1484}
1485
1486@Article{koenker-machado99,
1487  author =	 {Koenker, R. and Machado, J.},
1488  year =	 1999,
1489  title =	 {Goodness of fit and related inference processes for
1490                  quantile regression},
1491  journal =	 {Journal of the American Statistical Association},
1492  volume =	 94,
1493  pages =	 {1296--1310}
1494}
1495
1496@Article{koenker-zhao94,
1497  author =	 {Koenker, R. and Zhao, Q.},
1498  year =	 1994,
1499  title =	 {L-estimation for linear heteroscedastic models},
1500  journal =	 {Journal of Nonparametric Statistics},
1501  volume =	 3,
1502  pages =	 {223--235}
1503}
1504
1505@Article{koopman93,
1506  author =	 {Koopman, Siem Jan},
1507  year =	 1993,
1508  title =	 {Disturbance Smoother for State Space Models},
1509  journal =	 {Biometrika},
1510  volume =	 80,
1511  pages =	 {117--126}
1512}
1513
1514@Article{koopman97,
1515  author =	 {Koopman, Siem Jan},
1516  year =	 1997,
1517  title =	 {Exact Initial {K}alman Filtering and Smoothing for
1518                  Nonstationary Time Series Models},
1519  journal =	 {Journal of the American Statistical Association},
1520  volume =	 92,
1521  pages =	 {1630--1638}
1522}
1523
1524@Article{koopman-etal99,
1525  author =	 {Koopman, Siem Jan and Shephard, N. and Doornik, J. A.},
1526  year =	 1999,
1527  title =	 {Statistical Algorithms for Models in State Space
1528                  using {SsfPack} 2.2},
1529  journal =	 {Econometrics Journal},
1530  volume =	 2,
1531  pages =	 {107--160}
1532}
1533
1534@Article{KPSS92,
1535  author =	 {Kwiatkowski, D. and Phillips, P. C. B. and Schmidt,
1536                  P. and Shin, Y.},
1537  year =	 1992,
1538  title =	 {Testing the Null of Stationarity Against the
1539                  Alternative of a Unit Root: How Sure Are We That
1540                  Economic Time Series Have a Unit Root?},
1541  journal =	 {Journal of Econometrics},
1542  volume =	 54,
1543  pages =	 {159--178}
1544}
1545
1546@Article{LLC2002,
1547  author =	 {Levin, Andrew and Lin, Chien-Fu and Chu, James},
1548  year =	 2002,
1549  title =	 {Unit root tests in panel data: asymptotic and
1550                  finite-sample properties},
1551  journal =	 {Journal of Econometrics},
1552  volume =	 {108},
1553  pages =	 {1--24}
1554}
1555
1556@Article{locke76,
1557  author =	 {Locke, C.},
1558  year =	 1976,
1559  title =	 {A Test for the Composite Hypothesis that a
1560                  Population has a Gamma Distribution},
1561  journal =	 {Communications in Statistics --- Theory and Methods},
1562  volume =	 {A5},
1563  pages =	 {351--364}
1564}
1565
1566@Article{lucchetti01,
1567  author =	 {Lucchetti, R. and Papi, L. and Zazzaro, A.},
1568  year =	 2001,
1569  title =	 {Banks' Inefficiency and Economic Growth: A Micro
1570                  Macro Approach},
1571  journal =	 {Scottish Journal of Political Economy},
1572  volume =	 48,
1573  pages =	 {400--424}
1574}
1575
1576@Article{lucchetti11,
1577  author =	 {Lucchetti, R.},
1578  year =	 2011,
1579  title =	 {State Space Methods in Gretl},
1580  journal =	 {Journal of Statistical Software},
1581  volume =	 41,
1582  number =       11,
1583  pages =	 {1--22}
1584}
1585
1586@Book{Lutkepohl05,
1587  author =       {L\"utkepohl, Helmut},
1588  title =        {New Intoduction to Multiple Time Series Analysis},
1589  publisher =    {Springer},
1590  address =      {Berlin},
1591  year =         2005
1592}
1593
1594@Article{mccullough98,
1595  author =	 {McCullough, B. D. and Renfro, Charles G.},
1596  year =	 1998,
1597  title =	 {Benchmarks and software standards: A case study of
1598                  {GARCH} procedures},
1599  journal =	 {Journal of Economic and Social Measurement},
1600  volume =	 25,
1601  pages =	 {59--71}
1602}
1603
1604@Incollection{mcfadden74,
1605  author =	 {McFadden, Daniel},
1606  title =	 {Conditional logit analysis of qualitative choice behavior},
1607  editor =       {Zarembka, Paul},
1608  booktitle =    {Frontiers in econometrics},
1609  year =	 1974,
1610  publisher =    {Academic Press},
1611  address =      {New York},
1612  pages =	 {105--142}
1613}
1614
1615@Article{mackinnon96,
1616  author =	 {MacKinnon, J. G.},
1617  year =	 1996,
1618  title =	 {Numerical Distribution Functions for Unit Root and
1619                  Cointegration Tests},
1620  journal =	 {Journal of Applied Econometrics},
1621  volume =	 11,
1622  pages =	 {601--618}
1623}
1624
1625@Article{mackinnon-white85,
1626  author =	 {MacKinnon, J. G. and White, H.},
1627  title =	 {Some Heteroskedasticity-Consistent Covariance Matrix
1628                  Estimators with Improved Finite Sample Properties},
1629  journal =	 {Journal of Econometrics},
1630  year =	 1985,
1631  volume =	 29,
1632  pages =	 {305--325}
1633}
1634
1635@Book{maddala92,
1636  author =	 {Maddala, G. S.},
1637  title =	 {Introduction to Econometrics},
1638  publisher =	 {Prentice-Hall},
1639  year =	 1992,
1640  address =	 {Englewood Cliffs, NJ}
1641}
1642
1643@Book{magneu88,
1644  author =	 {Magnus, Jan R. and Neudecker, Heinz},
1645  title =	 {Matrix Differential Calculus with Applications in
1646                  Statistics and Econometrics},
1647  publisher =	 {John Wiley \& Sons},
1648  year =	 {1988}
1649}
1650
1651@book{mandelbrot83,
1652  author =	 {Mandelbrot, Benoit B.},
1653  title =	 {The Fractal Geometry of Nature},
1654  publisher =	 {W. H. Freeman},
1655  year =	 1983,
1656  address =	 {New York}
1657}
1658
1659@Article{marsaglia00,
1660  author =	 {Marsaglia, G. and Tsang, W. W.},
1661  year =	 2000,
1662  title =	 {The Ziggurat Method for Generating Random Variables},
1663  journal =	 {Journal of Statistical Software},
1664  volume =	 5,
1665  pages =	 {3--30}
1666}
1667
1668@Article{matsumoto98,
1669  author =	 {Matsumoto, M. and Nishimura, T.},
1670  title =	 {Mersenne twister: a 623-dimensionally
1671                  equidistributed uniform pseudo-random number
1672                  generator},
1673  journal =	 {ACM Transactions on Modeling and Computer
1674                  Simulation},
1675  year =	 1998,
1676  volume =	 8,
1677  pages =	 {3--30}
1678}
1679
1680@Book{mccullagh-nelder83,
1681  author =	 {McCullagh, P. and Nelder, J. A.},
1682  title =	 {Generalized linear models},
1683  publisher =	 {Chapman and Hall},
1684  year =	 1983,
1685  address =	 {London and New York}
1686}
1687
1688@Article{melard84,
1689  author =	 {Melard, G.},
1690  title =	 {{Algorithm AS 197: A Fast Algorithm for the Exact
1691                  Maximum Likelihood of Autoregressive-Moving Average
1692                  Models}},
1693  journal =      {Journal of the Royal Statistical Society. Series C
1694                  (Applied Statistics},
1695  year =	 1984,
1696  volume =	 33,
1697  number =	 1,
1698  pages =	 {104--114}
1699}
1700
1701@Article{morales11,
1702  author =	 {Morales, J. L. and Nocedal, J.},
1703  title =	 {Remark on {A}lgorithm 778: {L-BFGS-B}: {F}ortran
1704                  routines for large-scale bound constrained
1705                  optimization},
1706  journal =	 {ACM Transactions on Mathematical Software},
1707  year =	 2011,
1708  volume =	 38,
1709  number =	 1,
1710  pages =	 {1--4}
1711}
1712
1713@Article{mroz87,
1714  author =	 {Mroz, T.},
1715  year =	 1987,
1716  title =	 {The Sensitivity of an Empirical Model of Married
1717                  Women's Hours of Work to Economic and Statistical
1718                  Assumptions},
1719  journal =	 {Econometrica},
1720  volume =	 5,
1721  pages =	 {765--799}
1722}
1723
1724@Article{mull-spiess17,
1725  author =	 {Mullainathan, Sendhil and Spiess, Jann},
1726  year =	 2017,
1727  title =	 {Machine Learning: An Applied Econometric Approach},
1728  journal =	 {Journal of Economic Perspectives},
1729  volume =	 31,
1730  number =	 2,
1731  pages =	 {87--106},
1732  url =		 {https://doi.org/10.1257/jep.31.2.87}
1733}
1734
1735@Misc{mull-spiess-17a,
1736  author =	 {Mullainathan, Sendhil and Spiess, Jann},
1737  year =	 2017,
1738  title =	 {Machine Learning: An Applied Econometric Approach
1739                  Online Appendix},
1740  url =		 {https://www.aeaweb.org/articles?id=10.1257/jep.31.2.87}
1741}
1742
1743@Article{nadaraya64,
1744  author =	 {Nadaraya, E. A.},
1745  year =	 1964,
1746  title =	 {On estimating regression},
1747  journal =	 {Theory of Probability and its Applications},
1748  volume =	 9,
1749  pages =	 {141--142}
1750}
1751
1752@Book{nash90,
1753  author =	 {Nash, J. C.},
1754  year =	 1990,
1755  title =	 {Compact Numerical Methods for Computers: Linear
1756                  Algebra and Function Minimisation},
1757  publisher =	 {Adam Hilger},
1758  edition =	 {Second},
1759  address =	 {Bristol}
1760}
1761
1762@Article{nerlove71,
1763  author =	 {Nerlove, M.},
1764  year =	 1971,
1765  title =	 {Further Evidence on the Estimation of Dynamic Economic
1766                  Relations from a Time Series of Cross Sections},
1767  journal =	 {Econometrica},
1768  volume =	 39,
1769  pages =	 {359--382}
1770}
1771
1772@InCollection{nerlove99,
1773  author =	 {Nerlove, M.},
1774  year =	 1999,
1775  title =	 {Properties of Alternative Estimators of Dynamic
1776                  Panel Models: An Empirical Analysis of Cross-Country
1777                  Data for the Study of Economic Growth},
1778  booktitle =	 {Analysis of Panels and Limited Dependent Variable
1779                  Models},
1780  crossref =	 {hsiao-etal99}
1781}
1782
1783@Book{neter-etal90,
1784  author =	 {Neter, J. and Wasserman, W. and Kutner, M. H.},
1785  title =	 {Applied Linear Statistical Models},
1786  publisher =	 {Irwin},
1787  year =	 1990,
1788  address =	 {Boston},
1789  edition =	 {Third}
1790}
1791
1792@Article{newey-west87,
1793  author =	 {Newey, W. K. and West, K. D.},
1794  year =	 1987,
1795  title =	 {A Simple, Positive Semi-Definite, Heteroskedasticity
1796                  and Autocorrelation Consistent Covariance Matrix},
1797  journal =	 {Econometrica},
1798  volume =	 55,
1799  pages =	 {703--708}
1800}
1801
1802@Article{newey-west94,
1803  author =	 {Newey, W. K. and West, K. D.},
1804  year =	 1994,
1805  title =	 {Automatic Lag Selection in Covariance Matrix
1806                  Estimation},
1807  journal =	 {Review of Economic Studies},
1808  volume =	 61,
1809  pages =	 {631--653}
1810}
1811
1812@Article{ng-perron01,
1813  author =	 {Ng, S. and Perron, P.},
1814  year =	 2001,
1815  title =	 {Lag Length Selection and the Construction of Unit
1816                  Root Tests with Good Size and Power},
1817  journal =	 {Econometrica},
1818  volume =	 69,
1819  number =       6,
1820  pages =	 {1519--1554}
1821}
1822
1823@Article{nelson72,
1824  author =	 {Nelson, Waynes},
1825  year =	 1972,
1826  title =	 {Theory and Applications of Hazard Plotting for Censored Failure Data},
1827  journal =	 {Technometrics},
1828  volume =	 14,
1829  number =       4,
1830  pages =	 {945--966}
1831}
1832
1833@Article{odell-feiveson66,
1834  author =	 {Odell, P. L. and Feiveson, A. H.},
1835  title =	 {A Numerical Procedure to Generate a Sample Covariance Matrix},
1836  journal =	 {Journal of the American Statistical Association},
1837  year =	 1966,
1838  volume =	 {61},
1839  pages =	 {199--203},
1840  month =        {March}
1841}
1842
1843@Article{OkuiJoE2009,
1844  author =	 {Okui, Ryo},
1845  title =	 {The optimal choice of moments in dynamic panel data
1846                  models},
1847  journal =	 {Journal of Econometrics},
1848  year =	 2009,
1849  volume =	 {151},
1850  number =	 {1},
1851  pages =	 {1--16},
1852  month =	 {July}
1853}
1854
1855@Article{pelagatti11,
1856  author =	 {Pelagatti, Matteo},
1857  year =	 2011,
1858  title =	 {State Space Methods in {O}x/{SsfPack}},
1859  journal =	 {Journal of Statistical Software},
1860  volume =	 41,
1861  number =	 3,
1862  pages =	 {1--25}
1863}
1864
1865@Book{pelagatti15,
1866  author =	 {Pelagatti, Matteo},
1867  year =	 2015,
1868  title =	 {Time Series Modelling with Unobserved Components},
1869  publisher =	 {Chapman and Hall/CRC},
1870  address =      {Boca Raton}
1871}
1872
1873@Article{peng-aston11,
1874  author =	 {Peng, Jhy-Ying and Aston, John},
1875  year =	 2011,
1876  title =	 {The {S}tate {S}pace {M}odels {T}oolbox for {MATLAB}},
1877  journal =	 {Journal of Statistical Software},
1878  volume =	 41,
1879  number =	 6,
1880  pages =	 {1--26}
1881}
1882
1883@Article{perron-qu07,
1884  author =	 {Perron, P. and Qu, Z.},
1885  year =	 2007,
1886  title =	 {A simple modification to improve the finite sample
1887                  properties of {N}g and {P}erron's unit root tests},
1888  journal =	 {Economics Letters},
1889  volume =	 94,
1890  number =	 1,
1891  pages =	 {12--19}
1892}
1893
1894@Article{pesaran99,
1895  author =	 {Pesaran, M. H. and Taylor, L. W.},
1896  year =	 1999,
1897  title =	 {Diagnostics for {IV} Regressions},
1898  journal =	 {Oxford Bulletin of Economics and Statistics},
1899  volume =	 61,
1900  number =	 2,
1901  pages =	 {255--281}
1902}
1903
1904@Misc{pesaran04,
1905  author =	 {Pesaran, M. H.},
1906  year =	 2004,
1907  title =	 {General Diagnostic Tests for Cross Section
1908                  Dependence in Panels},
1909  howpublished = {Cambridge Working Papers in Economics (CWPE 0435)},
1910  url =		 {https://www.repository.cam.ac.uk/handle/1810/446}
1911}
1912
1913@Article{petris-petrone11,
1914  author =	 {Petris, Giovanni and Petrone, Sonia},
1915  year =	 2011,
1916  title =	 {{S}tate {S}pace {M}odels in {R}},
1917  journal =	 {Journal of Statistical Software},
1918  volume =	 41,
1919  number =	 6,
1920  pages =	 {1--25}
1921}
1922
1923@Book{petty1889,
1924  author =	 {Petty, William},
1925  year =	 1899,
1926  title =	 {The Economic Writings of {S}ir {W}illiam {P}etty},
1927  volume =	 1,
1928  note =	 {Edited by Charles Henry Hull},
1929  publisher =	 {Cambridge University Press},
1930  address =	 {Cambridge}
1931}
1932
1933@Article{phillips04,
1934  author =	 {Phillips, P. C. B. and Shimotsu, K.},
1935  year =	 2004,
1936  title =	 {Local {W}hittle estimation in nonstationary and
1937                  unit root cases},
1938  journal =	 {The Annals of Statistics},
1939  volume =	 32,
1940  number =	 2,
1941  pages =	 {659--692},
1942  url =          {http://arxiv.org/pdf/math/0406462}
1943}
1944
1945@Book{pollock99,
1946  author =	 {Pollock, D. S. G.},
1947  year =	 1999,
1948  title =	 {A Handbook of Time-Series Analysis, Signal
1949                  Processing and Dynamics},
1950  publisher =	 {Academic Press},
1951  address =	 {New York}
1952}
1953
1954@Article{pollock2000,
1955  author =	 {Pollock, D. S. G.},
1956  year =	 2000,
1957  title =	 {Trend estimation and de-trending via rational
1958                  square-wave filters},
1959  journal =	 {Journal of Econometrics},
1960  volume =	 99,
1961  number =       2,
1962  pages =	 {317--334}
1963}
1964
1965@book{pressetal2007,
1966  author =       {Press, W.H. and Teukolsky, S.A. and Vetterling, W.T. and Flannery, B.P.},
1967  edition =      3,
1968  publisher =    {Cambridge University Press},
1969  title =        {Numerical Recipes: The Art of Scientific Computing},
1970  year =         2007
1971}
1972
1973@Article{portnoy97,
1974  author =	 {Portnoy, S. and Koenker, R.},
1975  year =	 1997,
1976  title =	 {The {G}aussian hare and the {L}aplacian tortoise:
1977                  computability of squared-error versus absolute-error
1978                  estimators},
1979  journal =	 {Statistical Science},
1980  volume =	 12,
1981  number =	 4,
1982  pages =	 {279--300}
1983}
1984
1985@Manual{Rmanual,
1986  title =	 {An Introduction to R},
1987  author =	 {R Core Development Team},
1988  edition =	 {1.1.1},
1989  year =	 2000
1990}
1991
1992@Book{ramanathan02,
1993  author =	 {Ramanathan, Ramu},
1994  year =	 2002,
1995  title =	 {Introductory Econometrics with Applications},
1996  publisher =	 {Harcourt},
1997  edition =	 {Fifth},
1998  address =	 {Fort Worth}
1999}
2000
2001@Book{Rao73,
2002  author =	 {Rao, C. Radakrishna},
2003  year =	 1973,
2004  title =	 {Linear Statistical Inference and its Applications},
2005  publisher =	 {Wiley},
2006  edition =	 {Second},
2007  address =	 {New York}
2008}
2009
2010@Article{ridders79,
2011  author = 	 {Ridders, C.},
2012  title = 	 {A new algorithm for computing a single root of a real continuous function},
2013  journal = 	 {IEEE Transactions on Circuits and Systems},
2014  year = 	 1979,
2015  volume =	 26,
2016  number =       11,
2017  pages =	 {979--980}
2018}
2019
2020@Article{roberts59,
2021  author = 	 {Roberts, S. W.},
2022  title = 	 {Control Chart Tests Based on Geometric Moving Averages},
2023  journal = 	 {Technometrics},
2024  year = 	 1959,
2025  volume =	 1,
2026  number =       3,
2027  pages =	 {239--250}
2028}
2029
2030@Article{robinson95,
2031  author = 	 {Robinson, P.},
2032  title = 	 {Gaussian semiparametric estimation of long range
2033                  dependence},
2034  journal = 	 {Annals of Statistics},
2035  year = 	 1995,
2036  volume =	 22,
2037  pages =	 {1630--1661}
2038}
2039
2040@Unpublished{Roodman2006,
2041  author = 	 {Roodman, David},
2042  title = 	 {How to Do xtabond2: An Introduction to ``Difference'' and
2043                  ``System'' {GMM} in {S}tata},
2044  note = 	 {Center for Global Development, Working Paper Number 103},
2045  year = 	 {2006}
2046}
2047
2048@InCollection{saito_matsumoto08,
2049  author =	 {Saito, Mutsuo and Matsumoto, Makoto},
2050  year =	 2008,
2051  title =	 {{SIMD}-oriented {F}ast {M}ersenne {T}wister: a 128-bit
2052                  Pseudorandom Number Generator},
2053  booktitle =	 {Monte Carlo and Quasi-Monte Carlo Methods 2006},
2054  editor =       {Keller, Alexander and Heinrich, Stefan and Niederreiter, Harald},
2055  pages =	 {607--622},
2056  publisher =    {Springer},
2057  address =      {Berlin},
2058}
2059
2060@Article{satter46,
2061  author =	 {Satterthwaite, F. E.},
2062  year =	 1946,
2063  title =	 {An Approximate Distribution of Estimates of
2064                  Variance Components},
2065  journal =	 {Biometrics Bulletin},
2066  volume =	 2,
2067  number =	 6,
2068  pages =	 {110--114}
2069}
2070
2071@Article{schwarz78,
2072  author =	 {Schwarz, G.},
2073  year =	 1978,
2074  title =	 {Estimating the dimension of a model},
2075  journal =	 {Annals of Statistics},
2076  volume =	 6,
2077  pages =	 {461--464}
2078}
2079
2080@Article{schwert89,
2081  author =	 {Schwert, G. W.},
2082  year =	 1989,
2083  title =	 {Tests for Unit Roots: A {M}onte {C}arlo Investigation},
2084  journal =	 {Journal of Business and Economic Statistics},
2085  volume =	 7,
2086  number =       2,
2087  pages =	 {5--17}
2088}
2089
2090@book{shumwaystoffer2017,
2091  title =        {{Time series analysis and its applications: with R
2092                  examples}},
2093  author =       {Shumway, Robert H and Stoffer, David S},
2094  year =         {2017},
2095  edition =      {4th},
2096  publisher =    {Springer}
2097}
2098
2099@Article{sephton95,
2100  author =	 {Sephton, Peter S.},
2101  title =	 {Response surface estimates of the {KPSS}
2102                  stationarity test},
2103  journal =	 {Economics Letters},
2104  year =	 1995,
2105  volume =	 47,
2106  pages =	 {255--261},
2107}
2108
2109@Article{sephton21,
2110  author =	 {Sephton, Peter S.},
2111  title =	 {Finite Sample Lag Adjusted Critical Values of the
2112                  {ADF}-{GLS} Test},
2113  journal =	 {Computational Economics},
2114  year =	 2021,
2115  url =          {https://doi.org/10.1007/s10614-020-10082-6}
2116}
2117
2118@Article{shapiro-chen01,
2119  author =	 {Shapiro, S. and Chen, L.},
2120  title =	 {Composite Tests for the Gamma Distribution},
2121  journal =	 {Journal of Quality Technology},
2122  year =	 2001,
2123  volume =	 33,
2124  pages =	 {47--59}
2125}
2126
2127@Book{silverman86,
2128  author =	 {Silverman, B. W.},
2129  title =	 {Density Estimation for Statistics and Data Analysis},
2130  year =	 1986,
2131  publisher =	 {Chapman and Hall},
2132  address =	 {London}
2133}
2134
2135@article{sims80,
2136  author =       {Sims, Christopher A.},
2137  title =        {Macroeconomics and Reality},
2138  journal =      {Econometrica},
2139  year =         1980,
2140  volume =       48,
2141  pages =        {1--48}
2142}
2143
2144@article{smola04,
2145  author =	 {Smola, Alex J. and Sch\"olkopf, Bernhard},
2146  title =	 {A tutorial on support vector regression},
2147  journal =	 {Statistics and Computing},
2148  year =	 2004,
2149  volume =	 14,
2150  pages =	 {199--222},
2151  url =		 {https://alex.smola.org/papers/2004/SmoSch04.pdf}
2152}
2153
2154@Misc{steinhaus99,
2155  author =	 {Steinhaus, Stefan},
2156  year =	 1999,
2157  title =	 {Comparison of mathematical programs for data
2158                  analysis (edition 3)},
2159  howpublished = {University of Frankfurt},
2160  url =          {http://www.informatik.uni-frankfurt.de/~stst/ncrunch/}
2161}
2162
2163@Book{stock-watson03,
2164  author =	 {Stock, James H. and Watson, Mark W.},
2165  title =	 {Introduction to Econometrics},
2166  publisher =	 {Addison-Wesley},
2167  year =	 2003,
2168  address =	 {Boston}
2169}
2170
2171@Article{stock-watson08,
2172  author =	 {Stock, James H. and Watson, Mark W.},
2173  year =	 2008,
2174  title =	 {Heteroskedasticity-Robust Standard Errors for
2175                  Fixed Effects Panel Data Regression},
2176  journal =      {Econometrica},
2177  volume =       76,
2178  number =       1,
2179  pages =        {155--174}
2180}
2181
2182@Article{stock-wright-yogo02,
2183  author =	 {Stock, James H. and Wright, Jonathan H. and Yogo,
2184                  Motohiro},
2185  year =	 2002,
2186  title =	 {A Survey of Weak Instruments and Weak Identification
2187                  in Generalized Method of Moments},
2188  journal =	 {Journal of Business \& Economic Statistics},
2189  volume =	 20,
2190  number =	 4,
2191  pages =	 {518--529}
2192}
2193
2194@article{stock-watson1999,
2195  title =	 {Forecasting inflation},
2196  author =	 {Stock, James H. and Watson, Mark W.},
2197  journal =	 {Journal of Monetary Economics},
2198  volume =	 {44},
2199  number =	 {2},
2200  pages =	 {293--335},
2201  year =	 {1999},
2202  publisher =	 {Elsevier}
2203}
2204
2205@Misc{stock-yogo03,
2206  author =	 {Stock, James H. and Yogo, Motohiro},
2207  year =	 2003,
2208  title =	 {Testing for Weak Instruments in Linear {IV}
2209                  Regression},
2210  howpublished = {NBER Technical Working Paper 284},
2211  url =          {https://www.nber.org/papers/t0284}
2212}
2213
2214@Article{stoffer-wall91,
2215  author =	 {Stoffer, D. S. and Wall, D. K.},
2216  year =	 1991,
2217  title =	 {Bootstrapping state-space models: {G}aussian maximum
2218                  likelihood estimation and the {K}alman filter},
2219  journal =	 {Journal of the American Statistical Association},
2220  volume =	 86,
2221  pages =	 {1024--1033}
2222}
2223
2224@Article{stokes04,
2225  author =	 {Stokes, Houston H.},
2226  year =	 2004,
2227  title =	 {On the advantage of using two or more econometric
2228                  software systems to solve the same problem},
2229  journal =	 {Journal of Economic and Social Measurement},
2230  volume =	 29,
2231  pages =	 {307--320}
2232}
2233
2234@Article{swamy72,
2235  author =	 {Swamy, P. A. V. B. and Arora, S. S.},
2236  year =	 1972,
2237  title =	 {The Exact Finite Sample Properties of the Estimators
2238                  of Coefficients in the Error Components Regression
2239                  Models},
2240  journal =	 {Econometrica},
2241  volume =	 40,
2242  pages =	 {261--275}
2243}
2244
2245@Book{theil61,
2246  author =	 {Theil, H.},
2247  year =	 1961,
2248  title =	 {Economic Forecasting and Policy},
2249  publisher =	 {North-Holland},
2250  address =	 {Amsterdam}
2251}
2252
2253@Book{theil66,
2254  author =	 {Theil, H.},
2255  year =	 1966,
2256  title =	 {Applied Economic Forecasting},
2257  publisher =	 {North-Holland},
2258  address =	 {Amsterdam}
2259}
2260
2261@Article{tibshirani96,
2262  author =	 {Robert Tibshirani},
2263  year =	 1996,
2264  title =	 {Regression Shrinkage and Selection via the Lasso},
2265  journal =	 {Journal of the Royal Statistical Society, Series B},
2266  volume =	 58,
2267  number =       1,
2268  pages =	 {267--288},
2269  url =          {https://www.jstor.org/stable/2346178}
2270}
2271
2272@Book{verbeek04,
2273  author =	 {Verbeek, Marno},
2274  year =	 2004,
2275  title =	 {A Guide to Modern Econometrics},
2276  publisher =	 {Wiley},
2277  edition =	 {Second},
2278  address =	 {New York}
2279}
2280
2281@Article{watson64,
2282  author =	 {Watson, G. S.},
2283  year =	 1964,
2284  title =	 {Smooth regression analysis},
2285  journal =	 {Shankya Series A},
2286  volume =	 26,
2287  pages =	 {359--372}
2288}
2289
2290@Article{welch51,
2291  author =	 {Welch, B. L.},
2292  year =	 1951,
2293  title =	 {On the Comparison of Several Mean Values: An
2294                  Alternative Approach},
2295  journal =	 {Biometrika},
2296  volume =	 38,
2297  pages =	 {330--336}
2298}
2299
2300@Article{white80,
2301  author =	 {White, H.},
2302  year =	 1980,
2303  title =	 {A Heteroskedasticity-Consistent Covariance Matrix
2304                  Astimator and a Direct Test for Heteroskedasticity},
2305  journal =	 {Econometrica},
2306  volume =	 48,
2307  pages =	 {817--838}
2308}
2309
2310@Article{windmeijer05,
2311  author =	 {Windmeijer, F.},
2312  year =	 2005,
2313  title =	 {A Finite Sample Correction for the Variance of
2314                  Linear Efficient Two-step {GMM} Estimators},
2315  journal =	 {Journal of Econometrics},
2316  volume =	 126,
2317  pages =	 {25--51}
2318}
2319
2320@Article{wooldridge90,
2321  author =	 {Wooldridge, Jeffrey M.},
2322  year =	 1990,
2323  title =	 {A note on the {L}agrange multiplier and {F}-statistics
2324                  for two stage least squares regressions},
2325  journal =	 {Economics Letters},
2326  volume =	 34,
2327  pages =	 {151--155}
2328}
2329
2330@Book{wooldridge-panel,
2331  author =	 {Wooldridge, Jeffrey M.},
2332  year =	 2002,
2333  title =	 {Econometric Analysis of Cross Section and Panel
2334                  Data},
2335  publisher =	 {MIT Press},
2336  address =	 {Cambridge, MA}
2337}
2338
2339@Book{wooldridge-intro,
2340  author =	 {Wooldridge, Jeffrey M.},
2341  year =	 2002,
2342  title =	 {Introductory Econometrics, A Modern Approach},
2343  publisher =	 {South-Western},
2344  edition =	 {Second},
2345  address =	 {Mason, OH}
2346}
2347
2348@Article{yalta07,
2349  author =	 {Yalta, A. Talha and Yalta, A. Yasemin},
2350  year =	 2007,
2351  title =	 {{GRETL} 1.6.0 and its numerical accuracy},
2352  journal =	 {Journal of Applied Econometrics},
2353  volume =	 22,
2354  pages =	 {849--854}
2355}
2356
2357@Article{zhu-etal97,
2358  author =	 {Zhu, C. and Byrd, R. H. and Nocedal, J.},
2359  year =	 1997,
2360  title =	 {{A}lgorithm 778: {L-BFGS-B}: {F}ortran routines for
2361                  large-scale bound-constrained optimization},
2362  journal =	 {ACM Transactions on Mathematical Software},
2363  volume =	 23,
2364  number =	 4,
2365  pages =	 {550--560}
2366}
2367
2368@Misc{zou-hastie05,
2369  author =	 {Zou, Hui and Hastie, Trevor},
2370  year =	 2005,
2371  title =	 {Regularization and Variable Selection via the Elastic Net},
2372  howpublished = {Department of Statistics, Stanford University},
2373  url =          {https://web.stanford.edu/~hastie/TALKS/enet_talk.pdf}
2374}
2375
2376%% Cross-referenced entries: must remain at end of listing
2377
2378@Book{hsiao-etal99,
2379  editor =	 {Hsiao, C. and Lahiri, K. and Lee, L.-F. and Pesaran,
2380                  M. H.},
2381  year =	 1999,
2382  title =	 {Analysis of Panels and Limited Dependent Variable
2383                  Models},
2384  publisher =	 {Cambridge University Press},
2385  address =	 {Cambridge}
2386}
2387
2388@Book{keller_etal08}
2389  author =	 {Keller, Alexander and Heinrich, Stefan and Niederreiter, Harald},
2390  year =	 2008,
2391  title =	 {{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2006},
2392  publisher =	 {Springer},
2393  address =	 {Berlin}
2394}
2395
2396@Book{mandl-huskova94,
2397  editor =	 {P. Mandl and M. Huskova},
2398  title =	 {Asymptotic Statistics},
2399  publisher =	 {Springer-Verlag},
2400  year =	 1994,
2401  address =	 {New York}
2402}
2403