Gretl Manual: Gnu Regression, Econometrics and Time-series Library
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# Bibliography

Akaike, H. (1974) "A New Look at the Statistical Model Identification", IEEE Transactions on Automatic Control, AC-19, pp. 716–23.

Baiocchi, G. and Distaso, W. (2003) "GRETL: Econometric software for the GNU generation", Journal of Applied Econometrics, 18, pp. 105–10.

Baxter, M. and King, R. G. (1995) "Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series", National Bureau of Economic Research, Working Paper No. 5022.

Belsley, D., Kuh, E. and Welsch, R. (1980) Regression Diagnostics, New York: Wiley.

Berndt, E., Hall, B., Hall, R. and Hausman, J. (1974) "Estimation and Inference in Nonlinear Structural Models", Annals of Economic and Social Measurement, 3/4, pp. 653–65.

Box, G. E. P. and Muller, M. E. (1958) "A Note on the Generation of Random Normal Deviates", Annals of Mathematical Statistics, 29, pp. 610–11.

Davidson, R. and MacKinnon, J. G. (1993) Estimation and Inference in Econometrics, New York: Oxford University Press.

Davidson, R. and MacKinnon, J. G. (2004) Econometric Theory and Methods, New York: Oxford University Press.

Doornik, J. A. and Hansen, H. (1994) "An Omnibus Test for Univariate and Multivariate Normality", working paper, Nuffield College, Oxford.

Doornik, J. A. (1998) "Approximations to the Asymptotic Distribution of Cointegration Tests", Journal of Economic Surveys, 12, pp. 573–93. Reprinted with corrections in M. McAleer and L. Oxley (1999) Practical Issues in Cointegration Analysis, Oxford: Blackwell.

Fiorentini, G., Calzolari, G. and Panattoni, L. (1996) "Analytic Derivatives and the Computation of GARCH Etimates", Journal of Applied Econometrics, 11, pp. 399–417.

Greene, William H. (2000) Econometric Analysis, 4th edition, Upper Saddle River, NJ: Prentice-Hall.

Gujarati, Damodar N. (2003) Basic Econometrics, 4th edition, Boston, MA: McGraw-Hill.

Hamilton, James D. (1994) Time Series Analysis, Princeton, NJ: Princeton University Press.

Kiviet, J. F. (1986) "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships", Review of Economic Studies, 53, pp. 241–261.

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992) "Testing the Null 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, pp. 159–178.

Locke, C. (1976) "A Test for the Composite Hypothesis that a Population has a Gamma Distribution", Communications in Statistics — Theory and Methods, A5(4), pp. 351–364.

MacKinnon, J. G. (1996) "Numerical Distribution Functions for Unit Root and Cointegration Tests", Journal of Applied Econometrics, 11, pp. 601–618.

MacKinnon, J. G. and White, H. (1985) "Some Heteroskedasticity-Consistent Covariance Matrix Estimators with Improved Finite Sample Properties", Journal of Econometrics, 29, pp. 305–25.

Maddala, G. S. (1992) Introduction to Econometrics, 2nd edition, Englewood Cliffs, NJ: Prentice-Hall.

Matsumoto, M. and Nishimura, T. (1998) "Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator", ACM Transactions on Modeling and Computer Simulation, 8: 1.

Neter, J. Wasserman, W. and Kutner, M. H. (1990) Applied Linear Statistical Models, 3rd edition, Boston, MA: Irwin.

R Core Development Team (2000) An Introduction to R, version 1.1.1.

Ramanathan, Ramu (2002) Introductory Econometrics with Applications, 5th edition, Fort Worth: Harcourt.

Shapiro, S. and Chen, L. (2001) "Composite Tests for the Gamma Distribution", Journal of Quality Technology, 33, pp. 47–59.

Silverman, B. W. (1986) Density Estimation for Statistics and Data Analysis, London: Chapman and Hall.

Stock, James H. and Watson, Mark W. (2003) Introduction to Econometrics, Boston, MA: Addison-Wesley.

Wooldridge, Jeffrey M. (2002) Introductory Econometrics, A Modern Approach, 2nd edition, Mason, Ohio: South-Western.

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