Bibliography

Bibliography#

Every work cited anywhere in this book. Individual chapters close with their own reference lists; this page collects them all in one place.

All entries are drawn from the single shared BibTeX file references.bib at the root of the repository. To cite a work in the text, use {cite:t}`key` for a textual citation (“Sims (1972)”) or {cite:p}`key` for a parenthetical one (“(Sims, 1972)”).

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Nathan S. Balke and Robert J. Gordon. Appendix b: historical data. The American Business Cycle: Continuity and Change, pages 781–850, 1986. R. J. Gordon (ed.), University of Chicago Press.

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Milton Friedman. A Theory of the Consumption Function. Princeton University Press, Princeton, NJ, 1957.

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Clive W. J. Granger and Allan P. Andersen. An Introduction to Bilinear Time Series Models. Vandenhoeck and Ruprecht, Göttingen, 1978.

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Lars Peter Hansen and Thomas J. Sargent. Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control, 2(1):7–46, 1980.

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Lars Peter Hansen and Thomas J. Sargent. Linear rational expectations models for dynamically interrelated variables. In Jr. Lucas, Robert E. and Thomas J. Sargent, editors, Rational Expectations and Econometric Practice. University of Minnesota Press, Minneapolis, 1981.

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Lars Peter Hansen and Thomas J. Sargent. Instrumental variables procedures for estimating linear rational expectations models. Journal of Monetary Economics, 9(3):263–296, 1982.

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Lars Peter Hansen and Thomas J. Sargent. Exact linear rational expectations models: specification and estimation. In Rational Expectations Econometrics, chapter 3. Westview Press, Boulder, CO, 1991.

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Lars Peter Hansen and Thomas J. Sargent. Two difficulties in interpreting vector autoregressions. In Rational Expectations Econometrics, chapter 4. Westview Press, Boulder, CO, 1991.

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Melvin J. Hinich. Testing for gaussianity and linearity of a stationary time series. Journal of Time Series Analysis, 3(3):169–176, 1982.

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Melvin J. Hinich and Clarence S. Clay. The application of the discrete fourier transform in the estimation of power spectra, coherence, and bispectra of geophysical data. Reviews of Geophysics, 6(3):347–363, 1968.

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Charles C. Holt, Franco Modigliani, John F. Muth, and Herbert A. Simon. Planning Production, Inventories, and Work Force. Prentice-Hall, Englewood Cliffs, NJ, 1960.

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E. Philip Howrey. A spectrum analysis of the long-swing hypothesis. International Economic Review, 9(2):228–252, 1968.

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E. Philip Howrey. Stochastic properties of the klein-goldberger model. Econometrica, 39(1):73–87, 1971.

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Peter N. Ireland. Technology shocks in the new keynesian model. The Review of Economics and Statistics, 86(4):923–936, 2004.

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Kiyosi Itô. Multiple wiener integral. Journal of the Mathematical Society of Japan, 3(1):157–169, 1951.

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Gwilym M. Jenkins. Cross-spectral analysis and the estimation of linear open-loop transfer functions. In Murray Rosenblatt, editor, Time Series Analysis. John Wiley & Sons, New York, 1963.

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Gwilym M. Jenkins and Donald G. Watts. Spectral Analysis and Its Applications. Holden-Day, San Francisco, 1968.

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John Johnston. Econometric Methods. McGraw-Hill, New York, 1963.

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John Kennan. The estimation of partial adjustment models with rational expectations. Econometrica, 47(6):1441–1455, 1979.

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Tjalling C. Koopmans. Measurement without theory. The Review of Economics and Statistics, 29(3):161–172, 1947.

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Huibert Kwakernaak and Raphael Sivan. Linear Optimal Control Systems. Wiley-Interscience, New York, 1972.

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Finn E. Kydland and Edward C. Prescott. Time to build and aggregate fluctuations. Econometrica, 50(6):1345–1370, 1982.

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Keh-Shin Lii and Murray Rosenblatt. Deconvolution and estimation of transfer function phase and coefficients for non-gaussian linear processes. The Annals of Statistics, 10(4):1195–1208, 1982.

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Jr. Lucas, Robert E. Expectations and the neutrality of money. Journal of Economic Theory, 4(2):103–124, 1972.

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Jr. Lucas, Robert E. An equilibrium model of the business cycle. Journal of Political Economy, 83(6):1113–1144, 1975.

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Jr. Lucas, Robert E. Econometric policy evaluation: a critique. In Karl Brunner and Allan H. Meltzer, editors, The Phillips Curve and Labor Markets, volume 1 of Carnegie-Rochester Conference Series on Public Policy, pages 19–46. North-Holland, Amsterdam, 1976.

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Jr. Lucas, Robert E. Two illustrations of the quantity theory of money. The American Economic Review, 70(5):1005–1014, 1980.

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Jr. Lucas, Robert E. and Edward C. Prescott. Investment under uncertainty. Econometrica, 39(5):659–681, 1971.

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David G. Luenberger. Optimization by Vector Space Methods. John Wiley & Sons, New York, 1969.

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Frederick R. Macaulay. The Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856. National Bureau of Economic Research, New York, 1938.

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B. P. M. McCabe and A. R. Tremayne. On the representations of explosive autoregressions. Journal of Time Series Analysis, 10(4):353–362, 1989.

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Bennett T. McCallum. On low-frequency estimates of \textquoteleft long-run\textquoteright relationships in macroeconomics. Journal of Monetary Economics, 14(1):3–14, 1984.

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Richard Meese. Testing for bubbles in exchange markets: a case of sparkling rates? Journal of Political Economy, 94(2):345–373, 1986.

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David Meiselman. The Term Structure of Interest Rates. Prentice-Hall, Englewood Cliffs, NJ, 1962.

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Terence C. Mills. Signal extraction and two illustrations of the quantity theory. The American Economic Review, 72(5):1162–1168, 1982.

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John F. Monahan. A note on enforcing stationarity in autoregressive-moving average models. Biometrika, 71(2):403–404, 1984.

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Robert A. Mundell. Inflation and real interest. Journal of Political Economy, 71(3):280–283, 1963.

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John F. Muth. Optimal properties of exponentially weighted forecasts. Journal of the American Statistical Association, 55(290):299–306, 1960.

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John F. Muth. Rational expectations and the theory of price movements. Econometrica, 29(3):315–335, 1961.

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M. Ishaq Nadiri and Sherwin Rosen. A Disequilibrium Model of Demand for Factors of Production. Columbia University Press for the NBER, New York, 1973.

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Arch W. Naylor and George R. Sell. Linear Operator Theory in Engineering and Science. Holt, Rinehart and Winston, New York, 1971.

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Arch W. Naylor and George R. Sell. Linear Operator Theory in Engineering and Science. Springer-Verlag, New York, 2 edition, 1982.

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Marc Nerlove. Distributed lags and unobserved components in economic time series. In William Fellner, editor, Ten Economic Studies in the Tradition of Irving Fisher. John Wiley & Sons, New York, 1967.

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Chrysostomos L. Nikias and Athina P. Petropulu. Higher-Order Spectra Analysis: A Nonlinear Signal Processing Framework. Prentice Hall, Englewood Cliffs, NJ, 1993.

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Donald S. Ornstein. Ergodic Theory, Randomness, and Dynamical Systems. Yale University Press, New Haven, 1974.

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Athanasios Papoulis. The Fourier Integral and Its Applications. McGraw-Hill, New York, 1962.

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M. B. Priestley. Non-linear and Non-stationary Time Series Analysis. Academic Press, London, 1988.

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Paul M. Romer. Externalities and increasing returns in dynamic competitive analysis. Working Paper, University of Rochester, 1983.

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Murray Rosenblatt. Stationary Sequences and Random Fields. Birkhäuser, Boston, 1985.

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Murray Rosenblatt and John W. Van Ness. Estimation of the bispectrum. The Annals of Mathematical Statistics, 36(4):1120–1136, 1965.

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Paul A. Samuelson. Interactions between the multiplier analysis and the principle of acceleration. In Readings in Business Cycle Theory. McGraw-Hill for the American Economic Association, New York, 1944.

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Paul A. Samuelson. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2):41–49, 1965.

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Rüşdü Saracoglu and Thomas J. Sargent. Seasonality and portfolio balance under rational expectations. Journal of Monetary Economics, 4(3):435–458, 1978.

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Thomas J. Sargent. Interest rates in the nineteen-fifties. The Review of Economics and Statistics, 50(2):164–172, 1968.

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Thomas J. Sargent. The demand for money during hyperinflations under rational expectations: i. International Economic Review, 18(1):59–82, 1977.

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Thomas J. Sargent. Estimation of dynamic labor demand schedules under rational expectations. Journal of Political Economy, 86(6):1009–1044, 1978.

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Thomas J. Sargent. A note on maximum likelihood estimation of the rational expectations model of the term structure. Journal of Monetary Economics, 5(1):133–143, 1979.

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Thomas J. Sargent and Neil Wallace. Rational expectations and the dynamics of hyperinflation. International Economic Review, 14(2):328–350, 1973.

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Martin Schetzen. The Volterra and Wiener Theories of Nonlinear Systems. John Wiley & Sons, New York, 1980.

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Robert J. Shiller. Rational expectations and the structure of interest rates. Ph.D. dissertation, Massachusetts Institute of Technology, 1972.

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Christopher A. Sims. Approximate specification in distributed lag models. Manuscript, 1971.

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Christopher A. Sims. Discrete approximations to continuous time distributed lags in econometrics. Econometrica, 39(3):545–563, 1971.

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Christopher A. Sims. Money, income, and causality. The American Economic Review, 62(4):540–552, 1972.

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Christopher A. Sims. The role of approximate prior restrictions in distributed lag estimation. Journal of the American Statistical Association, 67(337):169–175, 1972.

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Christopher A. Sims. Seasonality in regression. Journal of the American Statistical Association, 69(347):618–626, 1974.

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Christopher A. Sims. Exogeneity and causal ordering in macroeconomic models. In New Methods in Business Cycle Research. Federal Reserve Bank of Minneapolis, Minneapolis, 1977.

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