# (p.819) References

# (p.819) References

Bibliography references:

Abadir, K. M. (1994). The joint density of two functionals of a Brownian motion, Discussion paper 94‐03, University of Exeter.

Adby, P. R. and Dempster, M. A. H. (1974). *Introduction to Optimization Methods*. London: Chapman and Hall.

Aigner, D. J. (1984). The welfare econometrics of peak‐load pricing for electricity, *Journal of Econometrics*, **26**, 84–83.

Aigner, D. J., Hsiao, C., Kapteyn, A. and Wansbeek, T. (1984). Latent variables models in econometrics, in Griliches and Intriligator (1984), Ch. 23.

Aitchison, J. and Silvey, S. D. (1960). Maximum likelihood estimation and associated tests of significance, *Journal of the Royal Statistical Society B*, **22**, 154–171.

Akerlof, G. A. (1973). The demand for money: A general equilibrium inventory‐theoretic approach, *Review of Economic Studies*, **40**, 115–130.

Akerlof, G. A. (1979). Irving Fisher on his head: The consequences of constant target‐threshold monitoring of money holdings, *Quarterly Journal of Economics*, **93**, 169–188.

Aldrich, J. (1989). Autonomy, *Oxford Economic Papers*, **41**, 15–34.

Anderson, G. J. and Hendry, D. F. (1984). An econometric model of United Kingdom building societies, *Oxford Bulletin of Economics and Statistics*, **46**, 185–210.

Anderson, T. W. (1958). *An Introduction to Multivariate Statistical Analysis*. New York: John Wiley & Sons.

Anderson, T. W. (1971). *The Statistical Analysis of Time Series*. New York: John Wiley & Sons.

Anderson, T. W. (1976). Estimation of linear functional relationships: Approximate distributions and connections with simultaneous equations in econometrics, *Journal of the Royal Statistical Society B*, **38**, 1–36.

Anderson, T. W. (1984). *An Introduction to Multivariate Statistical Analysis*, 2nd edition. New York: John Wiley & Sons.

Anderson, T. W. and Rubin, H. (1949). Estimation of the parameters of a single equation in a complete system of stochastic equations, *Annals of Mathematical Statistics*, **20**, 46–63.

Ando, A. and Shell, K. (1975). Demand for money in a general portfolio model in the presence of an asset that dominates money, In Fromm, G. and Klein, L. R. (eds.), *The Brooking Model: Perspective and Recent Developments*, pp. 560–583. New York: North Holland.

Andrews, D. W. K. (1989). An empirical process central limit theorem for dependent non‐identically distributed random variables, Cowles Foundation discussion paper 907, Yale University.

Artis, M. J., Bladen‐Hovell, R. C., Osborn, D. R., Smith, G. W. and Zhang, W. (1995). Turning point prediction in the UK using CSO leading indicators, *Oxford Economic Papers*, **47**, 397–417.

(p.820)
Baba, Y., Hendry, D. F. and Starr, R. M. (1992). The demand for M1 in the U.S.A., 1960–1988, *Review of Economic Studies*, **59**, 25–61.

Bacharach, M. (1970). *Biproportional Matrices and Input‐Output Change*. Cambridge: Cambridge University Press.

Backhouse, R. E. (1992). The significance of replication in econometrics, Discussion paper 92–23, Birmingham University.

Banerjee, A., Dolado, J. J., Galbraith, J. W. and Hendry, D. F. (1993). *Co‐integration, Error Correction and the Econometric Analysis of Non‐Stationary Data*. Oxford: Oxford University Press.

Banerjee, A., Dolado, J. J., Hendry, D. F. and Smith, G. W. (1986). Exploring equilibrium relationships in econometrics through static models: Some Monte Carlo evidence, *Oxford Bulletin of Economics and Statistics*, **48**, 253–277.

Banerjee, A. and Hendry, D. F. (1992). Testing integration and cointegration: An overview, *Oxford Bulletin of Economics and Statistics*, **54**, 225–255.

Bårdsen, G. (1989). The estimation of long run coefficients from error correction models, *Oxford Bulletin of Economics and Statistics*, **50**.

Bårdsen, G. and Fisher, P. G. (1993). The importance of being structured, Discussion paper, Norwegian School of Economics, Bergen.

Barndorff‐Nielsen, O. E. (1978). *Information and Exponential Families in Statistical Theory*. Chichester: John Wiley.

Barndorff‐Nielsen, O. E. and Cox, D. R. (1989). *Asymptotic Techniques for use in Statistics*. London: Chapman and Hall.

Barnett, W. A. (1980). Economic monetary aggregates: An application of index number and aggregation theory, *Journal of Econometrics*, **14**, 11–48.

Barro, R. J. (1987). *Macroeconomics*, 2nd edition. New York: John Wiley.

Bartelsman, E. and Cleveland, W. P. (1993). Joint seasonal adjustment of economic time series, Mimeo, Board of Governors of the Federal Reserve System, Washington, DC.

Basmann, R. L. (1957). A generalized classical method of linear estimation of coefficients in a structural equation, *Econometrica*, **25**, 77–83.

Baumol, W. J. (1952). The transactions demand for cash: An inventory theoretic approach, *Quarterly Journal of Economics*, **66**, 545–556.

Beaulieu, J. J. and Miron, J. A. (1993). Seasonal unit roots in aggregate U.S. data, *Journal of Econometrics*, **55**, 305–328.

Benassy, J.‐P. (1986). *Macroeconomics: An Introduction to the Non‐Walrasian Approach*. New York: Academic Press.

Bernal, J. D. (1971). *Science in History*, Vol. 1–4. Cambridge, MA: MIT Press.

Berndt, E. K., Hall, B. H., Hall, R. E. and Hausman, J. A. (1974). Estimation and inference in nonlinear structural models, *Annals of Economic and Social Measurement*, **3**, 653–665.

Berndt, E. K. and Savin, N. E. (1977). Conflict among criteria for testing hypotheses in the multivariate linear regression model, *Econometrica*, **45**, 1263–1278.

Bewley, T. F. (ed.)(1987). *Advances in Econometrics*. Cambridge: Cambridge University Press.

Bhargava, A. (1986). On the theory of testing for unit roots in observed time series, *Review of Economic Studies*, **53**, 369–384.
(p.821)

Bhargava, A. (1989). Testing covariance restrictions in systems of simultaneous equations with vector autoregressive errors, *International Economic Review*, **30**, 357–372.

Binmore, K. G. (1983). *Calculus*. Cambridge: Cambridge University Press.

Birchenhall, C. R., Bladen‐Hovell, R. C., Chui, A. P. L., Osborn, D. R. and Smith, J. P. (1989). A seasonal model of consumption, *Economic Journal*, **99**, 837–843.

Blalock, H. M. J. (1961). *Causal Inferences in Nonexperimental Research*. Chapel Hill: University of North Carolina Press.

Blanchard, O. and Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances, *American Economic Review*, **79**, 655–673.

Blaug, M. (1980). *The Methodology of Economics*. Cambridge: Cambridge University Press.

Boland, L. A. (1982). *Foundations of Economic Method*. London: Allen and Unwin.

Boland, L. A. (1989). *The Methodology of Economic Model Building*. London: Routledge.

Bollerslev, T., Chou, R. S. and Kroner, K. F. (1992). ARCH modelling in finance – A review of the theory and empirical evidence, *Journal of Econometrics*, **52**, 5–59.

Boswijk, H. P. (1992). *Cointegration, Identification and Exogeneity*, Vol. 37 of *Tinbergen Institute Research Series*. Amsterdam: Thesis Publishers.

Box, G. E. P. and Jenkins, G. M. (1976). *Time Series Analysis, Forecasting and Control*. San Francisco: Holden‐Day.

Box, G. E. P. and Pierce, D. A. (1970). Distribution of residual autocorrelations in autoregressive‐integrated moving average time series models, *Journal of the American Statistical Association*, **65**, 1509–1526.

Box, M. J., Davies, D. and Swann, W. H. (1969). *Non‐Linear Optimization Techniques*. ICI Monograph no. 5. Edinburgh: Oliver and Boyd.

Breusch, T. S. (1986). Hypothesis testing in unidentified models, *Review of Economic Studies*, **53**, 635–651.

Breusch, T. S. (1990). Simplified extreme bounds, in Granger (1990), pp. 72–81.

Breusch, T. S. and Pagan, A. R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics, *Review of Economic Studies*, **47**, 239–253.

Brown, R. L., Durbin, J. and Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time (with discussion), *Journal of the Royal Statistical Society B*, **37**, 149–192.

Brundy, J. M. and Jorgenson, D. W. (1971). Efficient estimation of simultaneous equations by instrumental variables, *Review of Economics and Statistics*, **53**, 207–224.

Burridge, P. and Wallis, K. F. (1984). Unobserved‐components models for seasonal adjustment filters, *Journal of Business and Economic Statistics*, **2**, 350–359.

Cagan, R. (1956). The monetary dynamics of hyperinflation, in Friedman (1956), pp. 25–117.

Caldwell, B. (1982). *Beyond Positivism: Economic Methodology in the Twentieth Century*. London: George Allen and Unwin.

Calzolari, G. (1981). A note on the variance of ex post forecasts in econometric models, *Econometrica*, **49**, 1593–1596.

Campbell, J. Y. and Mankiw, N. G. (1991). The response of consumption to income. A cross‐country investigation, *European Economic Review*, **35**, 723–767.
(p.822)

Campos, J. and Ericsson, N. R. (1988). Econometric modeling of consumers' expenditure in Venezuela, International Finance discussion paper 325, Federal Reserve Board of Governors, Washington, DC.

Campos, J., Ericsson, N. R. and Hendry, D. F. (1996). Cointegration tests in the presence of structural breaks, *Journal of Econometrics*, **70**, 187–220.

Canova, F., Finn, M. and Pagan, A. R. (1992). Evaluating a real business cycle model, Discussion paper, Australian National University.

Cartwright, N. (1983). *How the Laws of Physics Lie*. Oxford: Clarendon Press.

Cartwright, N. (1989). *Nature's Capacities and their Measurement*. Oxford: Clarendon Press.

Chalmers, A. F. (1982). *What is this Thing Called Science?* Milton Keynes: Open University Press.

Chan, N. H. and Wei, C. Z. (1988). Limiting distributions of least squares estimates of unstable autoregressive processes, *Annals of Statistics*, **16**, 367–401.

Charemza, W. and Kiraly, J. (1986). A simple test for conditional super exogeneity, Mimeo, University of Birmingham.

Chong, Y. Y. and Hendry, D. F. (1986). Econometric evaluation of linear macro‐economic models, *Review of Economic Studies*, **53**, 671–690. Reprinted in Granger (1990).

Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions, *Econometrica*, **28**, 591–605.

Chow, G. C. and Corsi, P. (eds.) (1982). *Evaluating the Reliability of Macro‐Economic Models*. New York: John Wiley.

Chow, Y. S. and Teicher, H. (1988). *Probability Theory*. New York: Springer‐Verlag.

Christ, C. F. (1966). *Econometric Models and Methods*. New York: John Wiley.

Clarke, L. E. (1975). *Random Variables*. London: Longmans Group.

Clements, M. P. and Hendry, D. F. (1993). On the limitations of comparing mean squared forecast errors, *Journal of Forecasting*, **12**, 617–637. With discussion.

Clements, M. P. and Hendry, D. F. (1994). Towards a theory of economic forecasting, in Hargreaves (1994), pp. 9–52.

Clements, M. P. and Hendry, D. F. (1997). *The Marshall Lectures on Economic Forecasting*. Cambridge: Cambridge University Press. Forthcoming.

Clements, M. P. and Mizon, G. E. (1991). Empirical analysis of macroeconomic time series: VAR and structural models, *European Economic Review*, **35**, 887–932.

Cleveland, W. P. and Tiao, G. C. (1976). Decomposition of seasonal time series: A model for the census X–11 program, *Journal of the American Statistical Association*, **71**, 581–587.

Clower, R. (1967). A reconsideration of the microfoundations of monetary theory, *Western Economic Journal* (now *Economic Inquiry*), **6**, 1–8.

Cochrane, D. and Orcutt, G. H. (1949). Application of least squares regression to relationships containing auto‐correlated error terms, *Journal of the American Statistical Association*, **44**, 32–61.

Coen, P. G., Gomme, E. D. and Kendall, M. G. (1969). Lagged relationships in economic forecasting, *Journal of the Royal Statistical Society A*, **132**, 133–163.

Coghlan, R. T. (1978). A transactions demand for money, *Bank of England Quarterly Bulletin*, **18**, 48–60.
(p.823)

Cook, S. and Hendry, D. F. (1993). The theory of reduction in econometrics, *Poznań Studies in the Philosophy of the Sciences and the Humanities*, **38**, 71–100.

Cooper, R. L. (1972). The predictive performance of quarterly econometric models of the United States, In Hickman, B. G. (ed.), *Econometric Models of Cyclical Behaviour*, No. 36 in National Bureau of Economic Research Studies in Income and Wealth, pp. 813–947. New York: Columbia University Press.

Courakis, A. S. (1978). Serial correlation and a Bank of England study of the demand for money: An exercise in measurement without theory, *Economic Journal*, **88**, 537–548.

Cox, D. R. (1961). Tests of separate families of hypotheses, In *Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability*, Vol. 1, pp. 105–123 Berkeley: University of California Press.

Cox, D. R. (1962). Further results on tests of separate families of hypotheses, *Journal of the Royal Statistical Society B*, **24**, 406–424.

Cox, D. R. and Hinkley, D. V. (1974). *Theoretical Statistics*: Chapman and Hall.

Cramér, H. (1946). *Mathematical Methods of Statistics*. Princeton: Princeton University Press.

Cramer, J. S. (1986). *Econometric Applications of Maximum Likelihood Methods*. Cambridge: Cambridge University Press.

Cross, R. (1982). The Duhem‐Quine thesis, Lakatos and the appraisal of theories in macroeconomics, *Economic Journal*, **92**, 320–340.

Crowder, M. J. (1976). Maximum likelihood estimation for dependent observations, *Journal of the Royal Statistical Society B*, **38**, 45–53.

Cuthbertson, K. (1988). The demand for M1: A forward looking buffer stock model, *Oxford Economic Papers*, **40**, 110–131.

Davidson, J. E. H. (1994). *Stochastic Limit Theory*. Oxford: Oxford University Press.

Davidson, J. E. H. and Hall, S. (1991). Cointegration in recursive systems, *Economic Journal*, **101**, 239–251.

Davidson, J. E. H. and Hendry, D. F. (1981). Interpreting econometric evidence: Consumers' expenditure in the UK, *European Economic Review*, **16**, 177–192. Reprinted in Hendry (1993a).

Davidson, J. E. H., Hendry, D. F., Srba, F. and Yeo, J. S. (1978). Econometric modelling of the aggregate time‐series relationship between consumers' expenditure and income in the United Kingdom, *Economic Journal*, **88**, 661–692. Reprinted in Hendry, (1993a).

Davidson, R. and MacKinnon, J. G. (1981). Several tests for model specification in the presence of alternative hypotheses, *Econometrica*, **49**, 781–793.

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

Davies, G. (1979). The effects of government policy on the rise in unemployment, Discussion paper 95/16, Centre for Labour Economics, London School of Economics.

Deaton, A. S. (1992). *Understanding Consumption*. Oxford: Oxford University Press.

Desai, M. J. (1981). *Testing Monetarism*. London: Francis Pinter.

Desai, M. J. and Low, W. (1987). Financial innovations: Measuring the opportunity for product innovations, In De Cecco, M. (ed.), *Changing Money: Financial Innovations in Developed Countries*. Oxford: Basil Blackwell.

Dhrymes, P. J. (1984). *Mathematics for Econometrics*, 2nd edition. New York: Springer‐Verlag.
(p.824)

Dhrymes, P. J. (1989). *Topics in Advanced Econometrics*. New York: Springer‐Verlag.

Dickey, D. A. and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root, *Journal of the American Statistical Association*, **74**, 427–431.

Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root, *Econometrica*, **49**, 1057–1072.

Dickey, D. A., Hasza, D. P. and Fuller, W. A. (1984). Testing for unit roots in seasonal time series, *Journal of the American Statistical Association*, **79**, 355–367.

Diebold, F. X. and Rudebusch, G. D. (1991). Forecasting output with the composite leading index: An ex ante analysis, *Journal of the American Statistical Association*, **86**, 603–610.

Diewert, W. E. (1988). *The Early History of Price Index Research*. Cambridge, MA: NBER.

Dijkstra, T. K. (1995). Pyrrho's lemma, or have it your way, *Metrika*, **42**, 119–125.

Ding, Z., Granger, C. W. J. and Engle, R. F. (1993). A long memory property of stock market returns and a new model, *Journal of Empirical Finance*, **1**, 83–106.

Dixon, L. W. C. (1972). *Nonlinear Optimization*. London: English Universities Press.

Doan, T., Litterman, R. and Sims, C. A. (1984). Forecasting and conditional projection using realistic prior distributions, *Econometric Reviews*, **3**, 1–100.

Dolado, J. J. (1992). A note on weak exogeneity in VAR cointegrated systems, *Economics Letters*, **38**, 139–143.

Domowitz, I. and White, H. (1982). Mis‐specified models with dependent observations, *Journal of Econometrics*, **20**, 35–58.

Doornik, J. A. and Hansen, H. (1994). A practical test for univariate and multivariate normality, Discussion paper, Nuffield College.

Doornik, J. A. and Hendry, D. F. (1994a). *PcFiml 8: An Interactive Program for Modelling Econometric Systems*. London: International Thomson Publishing.

Doornik, J. A. and Hendry, D. F. (1994b). *PcGive 8: An Interactive Econometric Modelling System*. London: International Thomson Publishing, and Belmont, CA: Duxbury Press.

Drake, S. (1980). *Galileo*. Oxford: Oxford University Press.

Duffie, D. and Singleton, K. J. (1989). Simulated moments estimation of Markov models of asset prices, Mimeo, Stanford University.

Durbin, J. (1954). Errors in variables, *Review of the Institute of International Statistics*, **22**, 23–54.

Durbin, J. (1960). Estimation of parameters in time‐series regression models, *Journal of the Royal Statistical Society B*, **22**, 139–153.

Durbin, J. (1963). Maximum likelihood estimation of the parameters of a system of simultaneous regression equations, Paper presented to the Copenhagen meeting of the Econometric Society. Published in *Econometric Theory* (1988), **4**, pp. 159–170.

Durbin, J. (1970). Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables, *Econometrica*, **38**, 410–421.

Durbin, J. (1988). Maximum likelihood estimation of the parameters of a system of simultaneous regression equations, *Econometric Theory*, **4**, 159–170. Paper presented to the Copenhagen Meeting of the Econometric Society, 1963.

Durbin, J. and Watson, G. S. (1950). Testing for serial correlation in least squares regression I, *Biometrika*, **37**, 409–428.
(p.825)

Durbin, J. and Watson, G. S. (1951). Testing for serial correlation in least squares regression II, *Biometrika*, **38**, 159–178.

Durlauf, S. N. and Phillips, P. C. B. (1986). Trends versus random walks in time series analysis, Cowles Foundation discussion paper 788, Yale University.

Edison, H. J., Marquez, J. R. and Tryon, R. W. (1987). The structure and properties of the Federal Reserve Board multicountry model, *Economic Modelling*, **4**, 115–315.

Eicker, F. (1967). Limit theorems for regressions with unequal and dependent errors, In *Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability*, Vol. 1, pp. 59–82 Berkeley: University of California.

Eisner, R. and Strotz, R. H. (1963). *Determinants of Business Investment*. Englewood Cliffs, NJ: Prentice‐Hall.

Emerson, R. A. and Hendry, D. F. (1996). An evaluation of forecasting using leading indicators, *Journal of Forecasting*, **15**, 271–291.

Engle, R. F. (1982a). Autoregressive conditional heteroscedasticity, with estimates of the variance of United Kingdom inflations, *Econometrica*, **50**, 987–1007.

Engle, R. F. (1982b). A general approach to Lagrange multiplier model diagnostics, *Annals of Applied Econometrics*, **20**, 83–104.

Engle, R. F. (1984). Wald, likelihood ratio, and Lagrange multiplier tests in econometrics, in Griliches and Intriligator (1984), Ch. 13.

Engle, R. F. and Bollerslev, T. (1987). Modelling the persistence of conditional variances, *Econometric Reviews*, **5**, 1–50.

Engle, R. F. and Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing, *Econometrica*, **55**, 251–276.

Engle, R. F. and Granger, C. W. J. (eds.) (1991). *Long‐Run Economic Relationships*. Oxford: Oxford University Press.

Engle, R. F. and Hendry, D. F. (1993). Testing super exogeneity and invariance in regression models, *Journal of Econometrics*, **56**, 119–139.

Engle, R. F., Hendry, D. F. and Richard, J.‐F. (1983). Exogeneity, *Econometrica*, **51**, 277–304. Reprinted in Hendry (1993a).

Engle, R. F., Hendry, D. F. and Trumbull, D. (1985). Small sample properties of ARCH estimators and tests, *Canadian Journal of Economics*, **43**, 66–93.

Engle, R. F. and Yoo, B. S. (1987). Forecasting and testing in co‐integrated systems, *Journal of Econometrics*, **35**, 143–159.

Ericsson, N. R. (1983). Asymptotic properties of instrumental variables statistics for testing non‐nested hypotheses, *Review of Economic Studies*, **50**, 287–303.

Ericsson, N. R. (1992a). Cointegration, exogeneity and policy analysis: An overview, *Journal of Policy Modeling*, **14**, 251–280.

Ericsson, N. R. (1992b). Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration, *Journal of Policy Modeling*, **14**, 465–495.

Ericsson, N. R. (1993a). Comment on ‘On the limitations of comparing mean squared forecast errors’, by M.P. Clements and D.F. Hendry, *Journal of Forecasting*, **12**, 644–651.

Ericsson, N. R. (1993b). The fragility of sensitivity analysis: An encompassing perspective, mimeo, Federal Reserve Board. (p.826)

Ericsson, N. R., Campos, J. and Tran, H.‐A. (1990). PC‐GIVE and David Hendry's econometric methodology, *Revista De Econometria*, **10**, 7–117.

Ericsson, N. R. and Hendry, D. F. (1989). Encompassing and rational expectations: How sequential corroboration can imply refutation, Discussion paper 354, Board of Governors of the Federal Reserve System.

Ericsson, N. R., Hendry, D. F. and Tran, H.‐A. (1994). Cointegration, seasonality, encompassing and the demand for money in the United Kingdom, in Hargreaves (1994), pp. 179–224.

Ericsson, N. R. and Irons, J. S. (1995). The Lucas critique in practice: Theory without measurement, In Hoover, K. D. (ed.), *Macroeconometrics: Developments, Tensions and Prospects*. Dordrecht: Kluwer Academic Press.

Ermini, L. and Hendry, D. F. (1991). Log income versus linear income: An application of the encompassing principle, Mimeo, University of Hawaii at Manoa.

Fair, R. C. (1984). *Specification, Estimation, and Analysis of Macroeconometric Models*. Cambridge, MA: Harvard University Press.

Favero, C. (1989). Testing for super exogeneity: The case of the term structure of interest rates, Discussion paper 67, Institute of Economics and Statistics, Oxford.

Favero, C. and Hendry, D. F. (1992). Testing the Lucas critique: A review, *Econometric Reviews*, **11**, 265–306.

Feige, E. L. and Pearce, D. K. (1976). Economically rational expectations, *Journal of Political Economy*, **84**, 499–522.

Feller, W. (1971). *An Introduction to Probability Theory and its Applications*, Vol. 1. Chichester: John Wiley.

Feyerabend, P. (1975). *Against Method: Outline of an Anarchistic Theory of Knowledge*. London: New Left Books.

Fisher, F. M. (1965). Dynamic structure and estimation in economy‐wide econometric models, In Duesenberry, J. S., Klein, L. R., Fromm, G. and Kuh, E. (eds.), *Brookings Quarterly Econometric Model of the United States*. Amsterdam: North‐Holland Publishing Company.

Fisher, F. M. (1966). *The Identification Problem in Econometrics*. New York: McGraw Hill.

Fisher, R. A. (1922a). The goodness of fit of regression formulae, and the distribution of regression coefficients, *Journal of the Royal Statistical Society*, **85**, 597–612.

Fisher, R. A. (1922b). On the mathematical foundations of theoretical statistics, *Philosophical Transactions of the Royal Society, A*, **222**, 309–368.

Flemming, J. S. (1973). The consumption function when capital markets are imperfect: The permanent income hypothesis reconsidered, *Oxford Economic Papers*, **25**, 160–172.

Flemming, J. S. (1976). *Inflation*. Oxford: Oxford University Press.

Fletcher, R. (1987). *Practical Methods of Optimization*, 2nd edition. New York: John Wiley & Sons.

Florens, J.‐P., Hendry, D. F. and Richard, J.‐F. (1994). Encompassing and specificity, Discussion paper cahier 91c, GREMAQ, University of Toulouse.

Florens, J.‐P., Mouchart, M. and Rolin, J.‐M. (1990). *Elements of Bayesian Statistics*. New York: Marcel Dekker.

Friedman, M. (1953). *Essays in Positive Economics*. Chicago: University of Chicago Press.

Friedman, M. (ed.) (1956). *Studies in the Quantity Theory of Money*. Chicago: University of Chicago Press.
(p.827)

Friedman, M. (1957). *A Theory of the Consumption Function*. Princeton: Princeton University Press.

Friedman, M. and Schwartz, A. J. (1982). *Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867–1975*. Chicago: University of Chicago Press.

Frisch, R. (1933). Editorial, *Econometrica*, **1**, 1–4.

Frisch, R. (1934). *Statistical Confluence Analysis by means of Complete Regression Systems*. Oslo: University Institute of Economics.

Frisch, R. (1938). Statistical versus theoretical relations in economic macrodynamics, Mimeograph dated 17 July 1938, League of Nations Memorandum. Reproduced by University of Oslo in 1948 with Tinbergen's comments. Contained in Memorandum ‘Autonomy of Economic Relations’, 6 November 1948, Oslo, Universitets Økonomiske Institutt.

Reprinted inHendry D. F. and Morgan M. S. (1995), *The Foundations of Econometric Analysis*. Cambridge: Cambridge University Press.

Frisch, R. and Waugh, F. V. (1933). Partial time regression as compared with individual trends, *Econometrica*, **1**, 221–223.

Fuller, W. A. (1976). *Introduction to Statistical Time Series*. New York: John Wiley & Sons.

Galbraith, J. W. (1987). Modelling the formation of expectations, Oxford D.Phil. thesis, University of Oxford.

Gale, D. (1982). *Money: In Equilibrium*. Cambridge: Cambridge University Press.

Gale, D. (1983). *Money: In Disequilibrium*. Cambridge: Cambridge University Press.

Gantmacher, F. R. (1959). *The Theory of Matrices*, Vol. 1–2. Boston: Chelsea Publishing.

Geary, R. C. (1943). Relations between statistics: the general and the sampling problem when the samples are large, In *Proceedings of the Royal Irish Academy (Section A)*, Vol. 49, pp. 177–196.

Gel'fand, I. M. (1967). *Lectures on Linear Algebra*. New York: Interscience.

Geman, S. and Geman, D. (1984). Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images, *IEEE Transactions on Pattern Analysis and Machine Intelligence*, **6**, 721–741.

Geweke, J. B. (1988). Acceleration methods for Monte Carlo integration in Bayesian inference, In *Proceedings of the 20th Symposium on the Interface: Computing Science and Statistics*.

Ghysels, E., Lee, H. S. and Noh, J. (1991). Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation, Mimeo 89–55, Department of Economics, University of Montréal.

Ghysels, E. and Perron, P. (1993). The effect of seasonal adjustment filters on tests for a unit root, *Journal of Econometrics*, **55**, 57–98.

Gilbert, C. L. (1986). Professor Hendry's econometric methodology, *Oxford Bulletin of Economics and Statistics*, **48**, 283–307. Reprinted in Granger (1990).

Gilbert, C. L. (1989). LSE and the British approach to time‐series econometrics, *Oxford Review of Economic Policy*, **41**, 108–128.

Gill, P. E., Murray, W. and Wright, M. H. (1981). *Practical Optimization*. New York: Academic Press.

Godfrey, L. G. (1978). Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables, *Econometrica*, **46**, 1303–1313.
(p.828)

Godfrey, L. G. (1988). *Misspecification Tests in Econometrics*. Cambridge: Cambridge University Press.

Goldberger, A. S. (1964). *Econometric Theory*. New York: John Wiley.

Goldfeld, S. M. (1973). The demand for money revisited, *Brookings Papers in Economic Activity*, **3**, 577–646.

Goldfeld, S. M. (1976). The case of the missing money, *Brookings Papers on Economic Activity*, **6**, 683–730.

Goldfeld, S. M. and Quandt, R. E. (1972). *Non‐linear Methods in Econometrics*. Amsterdam: North‐Holland.

Goldfeld, S. M. and Quandt, R. E. (eds.)(1976). *Studies in Nonlinear Estimation*. Cambridge, MA: Bollinger Publishing Company.

Goldfeld, S. M. and Sichel, D. E. (1990). The demand for money, In Friedman, B. M. and Hahn, F. H. (eds.), *Handbook of Monetary Economics*, Vol. 1, pp. 299–356. Amsterdam: North‐Holland.

Gonzalo, J. (1989). Comparison of five alternative methods of estimating long run equilibrium relationships, Discussion paper 89–55, University of California at San Diego.

Goodhart, C. A. E. (1978). Problems of monetary management: the UK experience, In Courakis, A. S. (ed.), *Inflation, Depression and Economic Policy in the West: Lessons from the 1970s*. Oxford: Basil Blackwell.

Gordon, R. J. (1984). The short‐run demand for money: A reconsideration, *Journal of Money, Credit, and Banking*, **16**, 403–434.

Gould, S. J. (1989). *Wonderful Life*. London: Penguin.

Gourieroux, C. and Monfort, A. (1992). Testing, encompassing and simulating dynamic econometric models, Mimeo, INSEE.

Gourieroux, C. and Monfort, A. (1994). Testing non‐nested hypotheses, In Engle, R. F. and McFadden, D. L. (eds.), *Handbook of Econometrics*, pp. 2583–2637. Amsterdam: North–Holland.

Gourieroux, C., Monfort, A. and Trognon, A. (1984). Pseudo‐maximum likelihood methods: Theory, *Econometrica*, **52**, 681–700.

Govaerts, B. (1986). Application of the encompassing principle to linear dynamic models, Ph.D. dissertation, Universite Catholique de Louvain.

Govaerts, B., Hendry, D. F. and Richard, J.‐F. (1994). Encompassing in stationary linear dynamic models, *Journal of Econometrics*, **63**, 245–270.

Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross‐spectral methods, *Econometrica*, **37**, 424–438.

Granger, C. W. J. (1978). Seasonality: Causation, interpretation, and implications, in Zellner (1978).

Granger, C. W. J. (1986). Developments in the study of cointegrated economic variables, *Oxford Bulletin of Economics and Statistics*, **48**, 213–228.

Granger, C. W. J. (ed.)(1990). *Modelling Economic Series*. Oxford: Clarendon Press.

Granger, C. W. J. and Lee, T.‐H. (1991). Multicointegration, in Engle and Granger (1991), pp. 179–190.

Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics, *Journal of Econometrics*, **2**, 111–120.
(p.829)

Gregory, A. W. and Veale, M. R. (1985). Formulating Wald tests of non‐linear restrictions, *Econometrica*, **53**, 1465–1468.

Grether, D. M. and Nerlove, M. (1970). Some properties of ‘optimal’ seasonal adjustment, *Econometrica*, **38**, 682–703.

Griliches, Z. and Intriligator, M. D. (eds.)(1983). *Handbook of Econometrics*, Vol. 1. Amsterdam: North‐Holland.

Griliches, Z. and Intriligator, M. D. (eds.)(1984). *Handbook of Econometrics*, Vol. 2–3. Amsterdam: North‐Holland.

Grimmett, G. R. and Stirzaker, D. R. (1982). *Probability and Random Processes*. Oxford: Oxford University Press.

Grimmett, G. R. and Welsh, D. (1986). *Probability: An Introduction*. Oxford: Oxford University Press.

Haavelmo, T. (1943). The statistical implications of a system of simultaneous equations, *Econometrica*, **11**, 1–12.

Haavelmo, T. (1944). The probability approach in econometrics, *Econometrica*, **12**, 1–118. Supplement.

Hacche, G. (1974). The demand for money in the United Kingdom: Experience since 1971, *Bank of England Quarterly Bulletin*, **14**, 284–305.

Hahn, F. (1988). On monetary theory, *Economic Journal*, **98**, 957–973.

Hajivassiliou, V. A. (1989). Macroeconomic shocks in an aggregate disequilibrium model, Mimeo, Yale University.

Hajivassiliou, V. A. and McFadden, D. L. (1989). The method of simulated scores for the estimation of LDV models with an application to the problem of external debt crisis, Mimeo, Yale University.

Hall, P. and Heyde, C. C. (1980). *Martingale Limit Theory and its Applications*. London: Academic Press.

Hall, R. E. (1978). Stochastic implications of the life cycle‐permanent income hypothesis: Evidence, *Journal of Political Economy*, **86**, 971–987.

Hall, S. and Sola, M. (1993). Structural breaks and GARCH modelling, Mimeo, London Business School.

Hall, S. G., Henry, S. G. B. and Wilcox, J. B. (1990). The long‐run determination of UK monetary aggregates, In Henry, S. G. B. and Patterson, K. D. (eds.), *Economic Modelling at the Bank of England*. London: Chapman and Hall.

Halmos, P. R. (1950). *Lectures on Ergodic Theory*. New York: Chelsea Publishing Co.

Hannan, E. J. (1970). *Multiple Time Series*. John Wiley: New York.

Hannan, E. J. and Deistler, M. (1988). *The Statistical Theory of Linear Systems*. John Wiley & Sons: New York.

Hansen, B. E. (1992a). Testing for parameter instability in linear models, *Journal of Policy Modeling*, **14**, 517–533.

Hansen, B. E. (1992b). Tests for parameter instability in regressions with I(1) processes, *Journal of Business and Economic Statistics*, **10**, 321–335.

Hansen, H. and Johansen, S. (1992). Recursive estimation in cointegrated VAR‐models, Discussion paper, Institute of Mathematical Statistics, University of Copenhagen. (p.830)

Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators, *Econometrica*, **50**, 1027–1054.

Hargreaves, C. (ed.)(1994). *Non‐stationary Time‐series Analysis and Cointegration*. Oxford: Oxford University Press.

Harré, R. (1981). *Great Scientific Experiments*. Oxford: Oxford University Press.

Harré, R. (1985). *The Philosophies of Science*. Oxford: Oxford University Press.

Harvey, A. C. (1981a). *The Econometric Analysis of Time Series*. Deddington: Philip Allan.

Harvey, A. C. (1981b). *Time Series Models*. London: Philip Allan.

Harvey, A. C. (1990). *The Econometric Analysis of Time Series*, 2nd edition. Hemel Hempstead: Philip Allan.

Harvey, A. C. (1993). *Time Series Models*, 2nd edition. Hemel Hempstead: Harvester Wheatsheaf.

Harvey, A. C. and Shephard, N. (1993). Estimation and testing of stochastic variance models, Discussion paper, Nuffield College.

Hausman, D. M. (1984). *The Philosophy of Economics*. Cambridge: Cambridge University Press.

Hausman, J. A. (1975). An instrumental variable approach to full‐information estimators for linear and non‐linear econometric models, *Econometrica*, **43**, 727–753.

Hausman, J. A. (1978). Specification tests in econometrics, *Econometrica*, **46**, 1251–1271.

Hausman, J. A. and Wise, D. A. (1985). *Social Experimentation*. Chicago: Chicago University Press.

Healey, J., Mann, C., Clews, R. and Hoggarth, G. (1990). Monetary aggregates in a changing environment: A statistical discussion paper, Bank of England discussion paper 47, London.

Heckman, J. J. (1981). Statistical models for discrete panel data, in Manski and McFadden (1981), Ch. 3.

Heckman, J. J. and McCurdy, T. F. (1980). A life cycle model of female labor supply, *Review of Economic Studies*, **47**, 47–74.

Hempel, C. G. (1965). *Aspects of Scientific Explanation*. New York: Free Press.

Hempel, C. G. (1966). *Philosophy of Natural Science*. Englewood Cliffs, NJ: Prentice‐Hall.

Henderson, J. M. and Quandt, R. E. (1971). *Microeconomic Theory: A Mathematical Approach*, 2nd edition. New York: McGraw‐Hill.

Hendry, D. F. (1971). Maximum likelihood estimation of systems of simultaneous regression equations with errors generated by a vector autoregressive process, *International Economic Review*, **12**, 257–272. Correction in **15**, p.260.

Hendry, D. F. (1975). The consequences of mis‐specification of dynamic structure, autocorrelation and simultaneity in a simple model with an application to the demand for imports, In Renton, G. A. (ed.), *Modelling the Economy*, Ch. 11. London: Heinemann Educational Books.

Hendry, D. F. (1976). The structure of simultaneous equations estimators, *Journal of Econometrics*, **4**, 51–88. Reprinted in Hendry (1993a).

Hendry, D. F. (1977). On the time series approach to econometric model building, In Sims, C. A. (ed.), *New Methods in Business Cycle Research*, pp. 183–202. Minneapolis: Federal Reserve Bank of Minneapolis. Reprinted in Hendry (1993a).

Hendry, D. F. (1979a). The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors, *Journal of Econometrics*, **9**, 295–314.
(p.831)

Hendry, D. F. (1979b). Predictive failure and econometric modelling in macro‐economics: The transactions demand for money, In Ormerod, P. (ed.), *Economic Modelling*, pp. 217–242. London: Heinemann. Reprinted in Hendry (1993a).

Hendry, D. F. (1980). Econometrics: Alchemy or science?, *Economica*, **47**, 387–406. Reprinted in Hendry (1993a).

Hendry, D. F. (1982). A reply to Professors Maasoumi and Phillips, *Journal of Econometrics*, **19**, 203–213.

Hendry, D. F. (1983a). Comment, *Econometric Reviews*, **2**, 111–114.

Hendry, D. F. (1983b). Econometric modelling: The consumption function in retrospect, *Scottish Journal of Political Economy*, **30**, 193–220. Reprinted in Hendry (1993a).

Hendry, D. F. (1984a). Econometric modelling of house prices in the United Kingdom, in Hendry and Wallis (1984), pp. 135–172.

Hendry, D. F. (1984b). Monte Carlo experimentation in econometrics, in Griliches and Intriligator (1984), Ch. 16.

Hendry, D. F. (1985). Monetary economic myth and econometric reality, *Oxford Review of Economic Policy*, **1**, 72–84. Reprinted in Hendry (1993a).

Hendry, D. F. (1986a). Empirical modelling in dynamic econometrics: The new‐construction sector, *Applied Mathematics and Computation*, **21**, 1–36.

Hendry, D. F. (1986b). An excursion into conditional variance land, *Econometric Reviews*, **5**, 63–69. (Comment).

Hendry, D. F. (1987). Econometric methodology: A personal perspective, in Bewley (1987), Ch. 10.

Hendry, D. F. (1988). The encompassing implications of feedback versus feedforward mechanisms in econometrics, *Oxford Economic Papers*, **40**, 132–149.

Hendry, D. F. (1993a). *Econometrics: Alchemy or Science*? Oxford: Blackwell Publishers.

Hendry, D. F. (1993b). The roles of economic theory and econometrics in time‐series economics, Invited address, European Econometric Society, Stockholm.

Hendry, D. F. (1994). HUS revisited, *Oxford Review of Economic Policy*, **10**, 86–106.

Hendry, D. F. (1995). On the interactions of unit roots and exogeneity, *Econometric Reviews*, **14**, 383–419.

Hendry, D. F. (1996). Typologies of linear dynamic systems and models, *Journal of Statistical Planning and Inference*, **49**, 177–201.

Hendry, D. F. and Anderson, G. J. (1977). Testing dynamic specification in small simultaneous systems: An application to a model of building society behaviour in the United Kingdom, In Intriligator, M. D. (ed.), *Frontiers in Quantitative Economics*, Vol. 3, pp. 361–383. Amsterdam: North Holland Publishing Company. Reprinted in Hendry (1993a).

Hendry, D. F. and Clements, M. P. (1994). On a theory of intercept corrections in macro‐economic forecasting, In Holly, S. (ed.), *Money, Inflation and Employment: Essays in Honour of James Ball*, pp. 160–182. Aldershot: Edward Elgar.

Hendry, D. F. and Doornik, J. A. (1994). Modelling linear dynamic econometric systems, *Scottish Journal of Political Economy*, **41**, 1–33.

Hendry, D. F. and Ericsson, N. R. (1991a). An econometric analysis of UK money demand in monetary trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz, *American Economic Review*, **81**, 8–38.
(p.832)

Hendry, D. F. and Ericsson, N. R. (1991b). Modeling the demand for narrow money in the United Kingdom and the United States, *European Economic Review*, **35**, 833–886.

Hendry, D. F., Leamer, E. E. and Poirier, D. J. (1990). A conversation on econometric methodology, *Econometric Theory*, **6**, 171–261.

Hendry, D. F. and Mizon, G. E. (1978). Serial correlation as a convenient simplification, not a nuisance: A comment on a study of the demand for money by the Bank of England, *Economic Journal*, **88**, 549–563. Reprinted in Hendry (1993a).

Hendry, D. F. and Mizon, G. E. (1990). Procrustean econometrics: or stretching and squeezing data,. pp. 121–136. in Granger (1990).

Hendry, D. F. and Mizon, G. E. (1993). Evaluating dynamic econometric models by encompassing the VAR, In Phillips, P. C. B. (ed.), *Models, Methods and Applications of Econometrics*, pp. 272–300. Oxford: Basil Blackwell.

Hendry, D. F. and Morgan, M. S. (1989). A re‐analysis of confluence analysis, *Oxford Economic Papers*, **41**, 35–52.

Hendry, D. F. and Morgan, M. S. (1995). *The Foundations of Econometric Analysis*. Cambridge: Cambridge University Press.

Hendry, D. F., Muellbauer, J. N. J. and Murphy, T. A. (1990). The econometrics of DHSY, In Hey, J. D. and Winch, D. (eds.), *A Century of Economics*, pp. 298–334. Oxford: Basil Blackwell.

Hendry, D. F. and Neale, A. J. (1987). Monte Carlo experimentation using PC‐NAIVE, In Fomby, T. and Rhodes, G. F. (eds.), *Advances in Econometrics*, Vol. 6, pp. 91–125. Greenwich, Connecticut: Jai Press Inc.

Hendry, D. F. and Neale, A. J. (1991). A Monte Carlo study of the effects of structural breaks on tests for unit roots, In Hackl, P. and Westlund, A. H. (eds.), *Economic Structural Change, Analysis and Forecasting*, pp. 95–119. Berlin: Springer‐Verlag.

Hendry, D. F., Neale, A. J. and Ericsson, N. R. (1991). *PC‐NAIVE, An Interactive Program for Monte Carlo Experimentation in Econometrics. Version 6.0*. Oxford: Institute of Economics and Statistics, University of Oxford.

Hendry, D. F., Neale, A. J. and Srba, F. (1988). Econometric analysis of small linear systems using PC‐FIML, *Journal of Econometrics*, **38**, 203–226.

Hendry, D. F., Pagan, A. R. and Sargan, J. D. (1984). Dynamic specification, in Griliches and Intriligator (1984), Ch. 18. Reprinted in Hendry (1993a).

Hendry, D. F. and Richard, J.‐F. (1982). On the formulation of empirical models in dynamic econometrics, *Journal of Econometrics*, **20**, 3–33. Reprinted in Granger (1990), and in Hendry (1993a).

Hendry, D. F. and Richard, J.‐F. (1983). The econometric analysis of economic time series (with discussion), *International Statistical Review*, **51**, 111–163. Reprinted in Hendry (1993a).

Hendry, D. F. and Richard, J.‐F. (1989). Recent developments in the theory of encompassing, In Cornet, B. and Tulkens, H. (eds.), *Contributions to Operations Research and Economics. The XXth Anniversary of CORE*, pp. 393–440. Cambridge, MA: MIT Press.

Hendry, D. F. and Richard, J.‐F. (1991). Likelihood evaluation for dynamic latent variables models, In Amman, H. M., Belsley, D. A. and Pau, L. F. (eds.), *Computational Economics and Econometrics*, Ch. 1. Dordrecht: Kluwer.

Hendry, D. F. and Srba, F. (1977). The properties of autoregressive instrumental variables estimators in dynamic systems, *Econometrica*, **45**, 969–990.
(p.833)

Hendry, D. F. and Srba, F. (1980). AUTOREG: A computer program library for dynamic econometric models with autoregressive errors, *Journal of Econometrics*, **12**, 85–102. Reprinted in Hendry (1993a).

Hendry, D. F. and Starr, R. M. (1993). The demand for M1 in the USA: A reply to James M. Boughton, *Economic Journal*, **103**, 1158–1169.

Hendry, D. F. and Trivedi, P. K. (1972). Maximum likelihood estimation of difference equations with moving‐average errors: A simulation study, *Review of Economic Studies*, **32**, 117–145.

Hendry, D. F. and von Ungern‐Sternberg, T. (1981). Liquidity and inflation effects on consumers' expenditure, In Deaton, A. S. (ed.), *Essays in the Theory and Measurement of Consumers' Behaviour*, pp. 237–261. Cambridge: Cambridge University Press. Reprinted in Hendry (1993a).

Hendry, D. F. and Wallis, K. F. (eds.)(1984). *Econometrics and Quantitative Economics*. Oxford: Basil Blackwell.

Herschel, J. (1830). *A Preliminary Discourse on The Study of Natural Philosophy*. London: Longman, Rees, Browne, Green and John Taylor.

Hicks, J. R. (1979). *Causality in Economics*. Oxford: Basil Blackwell.

Hildreth, C. and Lu, J. Y. (1960). Demand relations with autocorrelated disturbances, Technical bulletin 276, Agricultural Experimental Station, Michigan State University.

Hogg, R. V. and Craig, A. T. (1978). *Introduction to Mathematical Statistics*. London: Collier Macmillan.

Holt, C., Modigliani, F., Muth, J. F. and Simon, H. (1960). *Planning Production, Inventories and Work Force*. Englewood Cliffs: Prentice‐Hall.

Hood, W. C. and Koopmans, T. C. (eds.)(1953). *Studies in Econometric Method*. No. 14 in Cowles Commission Monograph. New York: John Wiley & Sons.

Hooker, P. H. (1901). Correlation of the marriage rate with trade, *Journal of the Royal Statistical Society*, **64**, 485–492.

Hoover, K. D. (1990). The logic of causal inference: Econometrics and the conditional analysis of causation, *Economics and Philosophy*, **6**, 207–234.

Hurwicz, L. (1950). Least squares bias in time series, in Koopmans (1950a), Ch. 15.

Hurwicz, L. (1962). On the structural form of interdependent systems, In Nagel, E. and others. (eds.), *Logic, Methodology and the Philosophy of Science*. Palo Alto: Stanford University Press.

Hylleberg, S. (1986). *Seasonality in Regression*. Orlando, Florida: Academic Press.

Hylleberg, S. (ed.)(1992). *Modelling Seasonality*. Oxford: Oxford University Press.

Hylleberg, S., Engle, R. F., Granger, C. W. J. and Yoo, B. S. (1990). Seasonal integration and cointegration, *Journal of Econometrics*, **44**, 215–238.

Jacoby, S. L. S., Kowalik, J. S. and Pizzo, J. T. (1972). *Iterative Methods for Nonlinear Optimization Problems*. New Jersey: Prentice‐Hall Inc.

Jarque, C. M. and Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals, *Economics Letters*, **6**, 255–259.

Jevons, W. S. (1884). *Investigations in Currency and Finance*. London: Macmillan.

Johansen, S. (1988). Statistical analysis of cointegration vectors, *Journal of Economic Dynamics and Control*, **12**, 231–254.
(p.834)

Johansen, S. (1992a). Cointegration in partial systems and the efficiency of single‐equation analysis, *Journal of Econometrics*, **52**, 389–402.

Johansen, S. (1992b). A representation of vector autoregressive processes integrated of order 2, *Econometric Theory*, **8**, 188–202.

Johansen, S. (1992c). Testing weak exogeneity and the order of cointegration in UK money demand, *Journal of Policy Modeling*, **14**, 313–334.

Johansen, S. (1995a). Identifying restrictions of linear equations with applications to simultaneous equations and cointegration, *Journal of Econometrics*, **69**, 111–142.

Johansen, S. (1995b). *Likelihood based Inference on Cointegration in the Vector Autoregressive Model*. Oxford: Oxford University Press.

Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration – With application to the demand for money, *Oxford Bulletin of Economics and Statistics*, **52**, 169–210.

Johnson, N. L. and Kotz, S. (1970a). *Continuous Univariate Distributions – 1*. New York: John Wiley.

Johnson, N. L. and Kotz, S. (1970b). *Continuous Univariate Distributions – 2*. New York: John Wiley.

Johnson, N. L. and Kotz, S. (1970c). *Distributions in Statistics*. New York: John Wiley.

Johnston, J. (1963). *Econometric Methods*, 1st edition. New York: McGraw‐Hill.

Johnston, J. (1972). *Econometric Methods*, 2nd edition. New York: McGraw‐Hill.

Jorgenson, D. W. (1966). Rational distributed lag functions, *Econometrica*, **34**, 135–149.

Judd, J. and Scadding, J. (1982). The search for a stable money demand function: A survey of the post‐1973 literature, *Journal of Economic Literature*, **20**, 993–1023.

Judge, G. G., Griffiths, W. E., Hill, R. C., Lütkepohl, H. and Lee, T.‐C. (1985). *The Theory and Practice of Econometrics*, 2nd edition. New York: John Wiley.

Juselius, K. (1993). VAR modelling and Haavelmo's probability approach to econometrics, *Empirical Economics*, **18**, 595–622.

Kakwani, N. C. (1967). The unbiasedness of Zellner's seemingly unrelated regression equations estimator, *Journal of the American Statistical Association*, **62**, 141–142.

Kendall, M. G. and Stuart, A. (1977). *Advanced Theory of Statistics*. London: Charles Griffin and Co.

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

Kenny, P. B. and Durbin, J. (1982). Local trend estimation and seasonal adjustment of economic and social time series, *Journal of the Royal Statistical Society A*, **145**, 1–41 (with discussion).

Keynes, J. M. (1936). *The General Theory of Employment, Interest and Money*. London: Macmillan.

Keynes, J. M. (1939). Professor Tinbergen's method, *Economic Journal*, **44**, 558–568.

Keynes, J. N. (1891). *The Scope and Method of Political Economy*. New York: Kelley and Millman.

Kim, K. and Pagan, A. R. (1993). The econometric analysis of calibrated macroeconomic models, Discussion on paper, Australian National University. (p.835)

Kiviet, J. F. (1985). Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples, *Journal of Econometrics*, **28**, 327–362.

Kiviet, J. F. and Phillips, G. D. A. (1992). Exact similar tests for unit roots and cointegration, *Oxford Bulletin of Economics and Statistics*, **54**, 349–367.

Klein, L. R. (1969). Estimation of interdependent systems in macro‐econometrics, *Econometrica*, **37**, 171–192.

Kmenta, J. and Ramsey, J. B. (1981). *Large‐Scale Macro‐Econometric Models*. Amsterdam: North Holland Publishing Company.

Kohn, A. (1987). *False Prophets*. Oxford: Basil Blackwell.

Koopmans, T. C. (1937). *Linear Regression Analysis of Economic Time Series*. Haarlem: Netherlands Economic Institute.

Koopmans, T. C. (1947). Measurement without theory, *Review of Economics and Statistics*, **29**, 161–179.

Koopmans, T. C. (ed.) (1950a). *Statistical Inference in Dynamic Economic Models*. No. 10 in Cowles Commission Monograph. New York: John Wiley & Sons.

Koopmans, T. C. (1950b). When is an equation system complete for statistical purposes?, in *Statistical Inference in Dynamic Economic Models* (1950a), Ch. 17.

Kremers, J. J. M., Ericsson, N. R. and Dolado, J. J. (1992). The power of cointegration tests, *Oxford Bulletin of Economics and Statistics*, **54**, 325–348.

Kuhn, T. (1962). *The Structure of Scientific Revolutions*. Chicago: University of Chicago Press.

Kuznets, S. (1946). *National Income. A Summary of Findings*. New York: National Bureau of Economic Research.

Kydland, F. E. and Prescott, E. C. (1991). The econometrics of the general equilibrium approach to business cycles, *Scandanavian Journal of Economics*, **93**, 161–178.

Laffont, J. J. and Monfort, A. (1979). Disequilibrium econometrics in dynamic models, *Journal of Econometrics*, **11**, 353–361.

Lahiri, K. and Moore, G. H. (eds.) (1991). *Leading economic indicators: New approaches and forecasting records*. Cambridge: Cambridge University Press.

Laidler, D. E. W. (1984). The ‘buffer stock’ notion in monetary economics, *Economic Journal*, **94**, 17–34. Supplement.

Laidler, D. E. W. (1985). *The Demand for Money: Theories, Evidence, and Problems*. New York: Harper and Row.

Lakatos, I. (1974). Falsification and the methodology of scientific research programmes, In Lakatos, I. and Musgrave, A. (eds.), *Criticism and the Growth of Knowledge*, pp. 91–196. Cambridge: Cambridge University Press.

Layard, R., Nickell, S. J. and Jackman, R. (1991). *Unemployment Macroeconomic Performance and the Labour Market*: Oxford University Press.

Leamer, E. E. (1978). *Specification Searches. Ad‐Hoc Inference with Non‐Experimental Data*. New York: John Wiley.

Leamer, E. E. (1983). Let's take the con out of econometrics, *American Economic Review*, **73**, 31–43. Reprinted in Granger (1990).

Leamer, E. E. (1987). Econometric metaphors, in Bewley (1987), pp. 1–28. (p.836)

Lee, H. S. and Siklos, P. L. (1991). Seasonality in time series: Money‐income causality in U.S. data revisited, Mimeo, Department of Economics, Tulane University, New Orleans, Louisiana.

Lee, H. S. and Siklos, P. L. (1993). The influence of seasonal adjustment on the Canadian consumption function 1947–1991, *Canadian Journal of Economics*, **26**, 575–589.

Lehfeldt, R. A. (1914). The elasticity of the demand for wheat, *Economic Journal*, **24**, 212–217.

Lerman, S. and Manski, C. (1981). On the use of simulated frequencies to approximate choice probabilities, in Manski and McFadden (1981).

Little, I. M. D. (1962). Higgledy piggledy growth, *Bulletin of the Oxford University Institute of Statistics*, **24**, 387–412.

Liu, T. C. (1960). Underidentification, structural estimation, and forecasting, *Econometrica*, **28**, 855–865.

Losee, J. (1980). *A Historical Introduction to the Philosophy of Science*. Oxford: Oxford University Press.

Lovell, M. C. (1963). Seasonal adjustment of economic time series and multiple regression analysis, *Journal of the American Statistical Association*, **58**, 993–1010.

Lubrano, M., Pierse, R. G. and Richard, J.‐F. (1986). Stability of a UK money demand equation: A Bayesian approach to testing exogeneity, *Review of Economic Studies*, **53**, 603–634.

Lucas, R. E. (1976). Econometric policy evaluation: A critique, In Brunner, K. and Meltzer, A. (eds.), *The Phillips Curve and Labor Markets*, Vol. 1 of *Carnegie‐Rochester Conferences on Public Policy*, pp. 19–46. Amsterdam: North‐Holland Publishing Company.

Lütkepohl, H. (1991). *Introduction to Multiple Time Series Analysis*. New York: Springer‐Verlag.

Maasoumi, E. and Phillips, P. C. B. (1982). On the behaviour of inconsistent instrumental variables estimators, *Journal of Econometrics*, **19**, 183–201.

MacKinnon, J. G. (1991). Critical values for cointegration tests, in Engle and Granger (1991), pp. 267–276.

Madansky, A. (1976). *Foundations of Econometrics*. Amsterdam: North‐Holland.

Maddala, G. S. (1984). Disequilibrium, self‐selection and switching models, in Griliches and Intriligator (1984), Ch. 28.

Magnus, J. R. and Neudecker, H. (1988). *Matrix Differential Calculus with Applications in Statistics and Econometrics*. New York: John Wiley & Sons.

Malinvaud, E. (1966). *Statistical Methods of Econometrics*. Amsterdam: North‐Holland.

Mann, H. and Wald, A. (1943a). On stochastic limit and order relationships, *Annals of Mathematical Statistics*, **14**, 217–226.

Mann, H. and Wald, A. (1943b). On the statistical treatment of linear stochastic difference equations, *Econometrica*, **11**, 173–220.

Manski, C. and McFadden, D. (eds.) (1981). *Structural Analysis of Discrete Data with Econometric Applications*. Cambridge, MA: MIT Press.

Maravall, A. (1993). Stochastic linear trends: Models and estimators, *Journal of Econometrics*, **56**, 5–37.

Maravall, A. and Pierce, D. A. (1987). A prototypical seasonal adjustment model, *Journal of Time Series Analysis*, **8**, 177–193.

Marks, R. W. (ed.) (1967). *Great Ideas in Modern Science*. New York: Bantam Books.
(p.837)

Marschak, J. (1953). Economic measurements for policy and prediction, in Hood and Koopmans (1953).

Mason, S. F. (1962). *A History of the Sciences*, (*2nd ed*. *1977*). New York: Collier Books.

Mayo, D. (1981). Testing statistical testing, In Pitt, J. C. (ed.), *Philosophy in Economics*, pp. 175–230: D. Reidel Publishing Co.

pp. 45–73 in Caldwell B. J. (1993), *The Philosophy and Methodology of Economics*, Vol. 2, Aldershot: Edward Elgar.

McAleer, M., Pagan, A. R. and Volker, P. A. (1985). What will take the con out of econometrics?, *American Economic Review*, **95**, 293–301. Reprinted in Granger (1990).

McCabe, B. and Tremayne, A. R. (1993). *Elements of Modern Asymptotic Theory with Statistical Applications*. Manchester: Manchester University Press.

McCalla, T. R. (1967). *Introduction to Numerical Methods and FORTRAN Programming*. New York: Wiley.

McCallum, B. T. (1976). Rational expectations and the natural rate hypothesis: Some consistent estimates, *Econometrica*, **44**, 43–52.

McCloskey, D. (1983). The rhetoric of economics, *Journal of Economic Literature*, **21**, 481–517.

McFadden, D. L. (1989). A method of simulated moments for estimation of discrete response models without numerical integration, *Econometrica*, **57**, 995–1026.

Medawar, P. (1969). *Induction and Intuition in Scientific Thought*. London: Methuen.

Messadié, G. (1991). *Great Scientific Discoveries*. Edinburgh: Chambers.

Milbourne, R. (1983). Optimal money holding under uncertainty, *International Economic Review*, **24**, 685–698.

Mill, J. S. (1865). *A System of Logic: Ratiocinative and Inductive*. London: Longmans, Green.

Miller, M. H. and Orr, D. (1966). A model of the demand for money by firms, *Quarterly Journal of Economics*, **80**, 735–759.

Mirowski, P. (1988). *More Heat than Light: Economics as Social Physics*. Cambridge: Cambridge University Press.

Mizon, G. E. (1977a). Inferential procedures in nonlinear models: An application in a UK industrial cross section study of factor substitution and returns to scale, *Econometrica*, **45**, 1221–1242.

Mizon, G. E. (1977b). Model selection procedures, In Artis, M. J. and Nobay, A. R. (eds.), *Studies in Modern Economic Analysis*, Ch. 4. Oxford: Basil Blackwell.

Mizon, G. E. (1984). The encompassing approach in econometrics, in Hendry and Wallis (1984), pp. 135–172.

Mizon, G. E. (1993). Empirical analysis of time series: Illustrations with simulated data, In de Zeeuw, A. (ed.), *Advanced Lectures in Quantitative Economics*, Vol. II, pp. 184–205. New York.: Academic Press.

Mizon, G. E. (1995). A simple message for autocorrelation correctors: Don't, *Journal of Econometrics*, **69**, 267–288.

Mizon, G. E. and Hendry, D. F. (1980). An empirical application and Monte Carlo analysis of tests of dynamic specification, *Review of Economic Studies*, **49**, 21–45. Reprinted in Hendry (1993a).

Mizon, G. E. and Richard, J.‐F. (1986). The encompassing principle and its application to nonnested hypothesis tests, *Econometrica*, **54**, 657–678.
(p.838)

Molinas, C. (1986). A note on spurious regressions with integrated moving average errors, *Oxford Bulletin of Economics and Statistics*, **48**, 279–282.

Monfort, A. and Rabemananjara, R. (1990). From a VAR model to a structural model, with an application to the wage‐price spiral, *Journal of Applied Econometrics*, **5**, 203–227.

Mood, A. M., Graybill, F. and Boes, D. (1978). *Introduction to the Theory of Statistics*. New York: McGraw‐Hill.

Moore, H. L. (1925). A moving equilibrium of demand and supply, *Quarterly Journal of Economics*, **39**, 359–371.

Morgan, M. S. (1987). Statistics without probability and Haavelmo's revolution in econometrics, In Krüger, L., Gigerenzer, G. and Morgan, M. S. (eds.), *The Probabilistic Revolution*, Vol. 2: MIT Press.

Morgan, M. S. (1990). *The History of Econometric Ideas*. Cambridge: Cambridge University Press.

Morgenstern, O. (1950). *On the Accuracy of Economic Observations*. Princeton: University Press.

Mosbaek, E. J. and Wold, H. O. A. (1970). *Interdependent Systems*. Amsterdam: North‐Holland Publishing Company.

Muellbauer, J. N. J. (1979). Are employment decisions based on rational expectations?, Unpublished paper, Birkbeck College.

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

Nagar, A. L. (1959). The bias and moment matrix of the general k‐class estimators of the parameters in simultaneous equations, *Econometrica*, **27**, 575–595.

Nagel, E. (1961). *The Structure of Science*. New York: Harcourt Brace.

Neftci, S. N. (1979). Lead‐lag relations, exogeneity and prediction of economic time series, *Econometrica*, **47**, 101–113.

Neftci, S. N. (1994). Optimal prediction of cyclical downturns, *Journal of Economic Dynamics and Control*, **4**, 225–241.

Nelson, C. R. (1972). The prediction performance of the FRB‐MIT‐PENN model of the U.S. economy, *American Economic Review*, **62**, 902–917.

Nelson, C. R. and Plosser, C. I. (1982). Trends and random walks in macroeconomic time series: some evidence and implications, *Journal of Monetary Economics*, **10**, 139–162.

Nerlove, M. (1964). Spectral analysis of seasonal adjustment procedures, *Econometrica*, **32**, 241–286.

Neyman, J. and Pearson, E. S. (1928). On the use and interpretation of certain test criteria for purposes of statistical inference, *Biometrika*, **20A, 175–240**, 263–294.

Nicholls, D. F. and Pagan, A. R. (1983). Heteroscedasticity in models with lagged dependent variables, *Econometrica*, **51**, 1233–1242.

Nickell, S. J. (1985). Error correction, partial adjustment and all that: An expository note, *Oxford Bulletin of Economics and Statistics*, **47**, 119–130.

Nickell, S. J. (1990). Inflation and the UK labour market, *Oxford Review of Economic Policy*, **6**, 26–35.

Nowak, E. (1991). Discovering hidden cointegration, Discussion paper, University of Munich. (p.839)

Oksanen, E. H. (1987). On sign changes upon deletion of a variable in linear‐regression analysis, *Oxford Bulletin of Economics and Statistics*, **49**, 227–229.

Osborn, D. R. (1988). Seasonality and habit persistence in a life cycle model of consumption, *Journal of Applied Econometrics*, **3**, 255–266.

Osborn, D. R. (1993). Moving average detrending of integrated processes, Mimeo, Manchester University.

Osterwald‐Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the ML cointegration rank test statistics, *Oxford Bulletin of Economics and Statistics*, **54**, 461–472.

Pagan, A. R. (1981). Reflections on Australian macro modelling, Unpublished paper, Australian National University.

Pagan, A. R. (1984a). Econometric issues in the analysis of regressions with generated regressors, *International Economic Review*, **25**, 221–247.

Pagan, A. R. (1984b). Model evaluation by variable addition, in Hendry and Wallis (1984), pp. 103–135.

Pagan, A. R. (1985). Time series behaviour and dynamic specification, *Oxford Bulletin of Economics and Statistics*, **47**, 199–211.

Pagan, A. R. (1987). Three econometric methodologies: A critical appraisal, *Journal of Economic Surveys*, **1**, 3–24. Reprinted in Granger (1990).

Pagan, A. R. (1989). On the role of simulation in the statistical evaluation of econometric models, *Journal of Econometrics*, **40**, 125–139.

Pakes, A. (1986). Patents as options: Some estimates of the value of holding European patent stocks, *Econometrica*, **54**, 755–774.

Pakes, A. and Pollard, D. (1989). Simulation and the asymptotics of optimization estimation, *Econometrica*, **57**, 1027–1058.

Palm, F. I. and Zellner, A. (1980). Large sample estimation and testing procedures for dynamic equation systems, *Journal of Econometrics*, **12**, 251–284.

Park, J. Y. and Phillips, P. C. B. (1988). Statistical inference in regressions with integrated processes. part 1, *Econometric Theory*, **4**, 468–497.

Park, J. Y. and Phillips, P. C. B. (1989). Statistical inference in regressions with integrated processes. part 2, *Econometric Theory*, **5**, 95–131.

Pearl, J. (1993). On the statistical interpretation of structural equations, Technical report r‐200, Cognitive Systems Lab., UCLA.

Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis, *Econometrica*, **57**, 1361–1401.

Persons, W. M. (1924). *The Problem of Business Forecasting*. No. 6 in Pollak Foundation for Economic Research Publications. London: Pitman.

Pesaran, M. H. (1974). On the general problem of model selection, *Review of Economic Studies*, **41**, 153–171.

Pesaran, M. H. (1987). Global and partial non‐nested hypotheses and asymptotic local power, *Econometric Theory*, **3**, 69–90.

Pesaran, M. H. and Deaton, A. S. (1978). Testing non‐nested non‐linear regression models, *Econometrica*, **46**, 677–694.

Phillips, A. W. (1954). Stabilization policy in a closed economy, *Economic Journal*, **64**, 290–333.
(p.840)

Phillips, A. W. (1957). Stabilization policy and the time form of lagged response, *Economic Journal*, **67**, 265–277.

Phillips, P. C. B. (1983). Exact small sample theory in the simultaneous equations model, in Griliches and Intriligator (1983), Ch. 8.

Phillips, P. C. B. (1986). Understanding spurious regressions in econometrics, *Journal of Econometrics*, **33**, 311–340.

Phillips, P. C. B. (1987a). Time series regression with a unit root, *Econometrica*, **55**, 277–301.

Phillips, P. C. B. (1987b). Towards a unified asymptotic theory for autoregression, *Biometrika*, **74**, 535–547.

Phillips, P. C. B. (1988a). Error correction and long run equilibrium in continuous time, Cowles Foundation discussion paper 882, Yale University.

Phillips, P. C. B. (1988b). Regression theory for near‐integrated time series, *Econometrica*, **56**, 1021–1043.

Phillips, P. C. B. (1991). Optimal inference in cointegrated systems, *Econometrica*, **59**, 283–306.

Phillips, P. C. B. and Durlauf, S. N. (1986). Multiple time series regression with integrated processes, *Review of Economic Studies*, **53**, 473–495.

Phillips, P. C. B. and Loretan, M. (1991). Estimating long‐run economic equilibria, *Review of Economic Studies*, **58**, 407–436.

Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression, *Biometrika*, **75**, 335–346.

Poincaré, H. (1905). *Science and Hypothesis*. New York: Science Press.

Popper, K. R. (1959). *The Logic of Scientific Discovery*. New York: Basic Books.

Popper, K. R. (1963). *Conjectures and Refutations*. New York: Basic Books.

Powell, M. J. D. (1964). An efficient method of finding the minimum of a function of several variables without calculating derivatives, *Computer Journal*, **7**, 155–162.

Prothero, D. L. and Wallis, K. F. (1976). Modelling macro‐economic time series (with discussion), *Journal of the Royal Statistical Society A*, **139**, 468–500.

Qin, D. (1993). *The Formation of Econometrics: A Historical Perspective*. Oxford: Clarendon Press.

Quah, D. (1993). A comment on Hendry D. F. (1993). *the roles of economic theory and econometrics in time‐series economics*. Invited address, European Econometric Society, Stockholm, mimeo, London School of Economics.

Quandt, R. E. (1982). Econometric disequilibrium models, *Econometric Reviews*, **1**, 1–96 (with comments).

Quandt, R. E. (1983). Computational methods and problems, in Griliches and Intriligator (1983), Ch. 12.

Quandt, R. E. (1988). *The Econometrics of Disequilibrium*. New York: Basil Blackwell.

Quandt, R. E. (1989). Bibliography of quantity rationing and disequilibrium models, Discussion paper, Princeton University, Department of Economics.

Quenouile, M. H. (1957). *The Analysis of Multiple Time Series*. London: Griffin.

Ramsey, J. B. (1969). Tests for specification errors in classical linear least squares regression analysis, *Journal of the Royal Statistical Society B*, **31**, 350–371.

Rao, C. R. (1952). *Advanced Statistical Methods in Biometric Research*. New York: John Wiley.
(p.841)

Rao, C. R. (1973). *Linear Statistical Inference and its Applications*, 2nd edition. New York: John Wiley & Sons.

Reiersøl, O. (1945). Confluence analysis by means of instrumental sets of variables, *Arkiv for Matematik Astronomi och Fysik*, **32**, 1–19.

Reimers, H. ‐E. (1992). Comparisons of tests for multivariate cointegration, *Statistical Papers*, **33**, 335–359.

Richard, J. ‐F. (1980). Models with several regimes and changes in exogeneity, *Review of Economic Studies*, **47**, 1–20.

Richard, J. ‐F. (1984). Classical and Bayesian inference in incomplete simultaneous equation models, in Hendry and Wallis (1984).

Ripley, B. D. (1987). *Stochastic Simulation*. New York: John Wiley & Sons.

Robbins, L. (1932). *An Essay on the Nature and Significance of Economic Science*. London: Macmillan.

Rose, A. K. (1984). An alternative approach to the American demand for money, *Journal of Money, Credit, and Banking*, **17**, 439–455.

Roth, A. E. (1988). Laboratory experimentation in economics: A methodological overview, *Economic Journal*, **98**, 974–1031.

Rothenberg, T. J. (1984). Approximating the distributions of econometric estimators and test statistics, in Griliches and Intriligator (1984), Ch. 15.

Rothenberg, T. J. and Leenders, C. T. (1964). Efficient estimation of simultaneous equations systems, *Econometrica*, **32**, 57–76.

Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive‐moving average models of unknown order, *Biometrika*, **71**, 599–607.

Salkever, D. S. (1976). The use of dummy variables to compute predictions, prediction errors and confidence intervals, *Journal of Econometrics*, **4**, 393–397.

Salmon, M. (1982). Error correction mechanisms, *Economic Journal*, **92**, 615–629.

Salmon, M. (1988). Error correction models, cointegration and the internal model principle, *Journal of Economic Dynamics and Control*, **12**, 523–549.

Samuelson, P. A. (1947). *Foundations of Economic Analysis*. Harvard: Harvard University Press.

Sargan, J. D. (1958). The estimation of economic relationships using instrumental variables, *Econometrica*, **26**, 393–415.

Sargan, J. D. (1959). The estimation of relationships with autocorrelated residuals by the use of instrumental variables, *Journal of the Royal Statistical Society B*, **21**, 91–105.

Reprinted as pp. 87–104 in Sargan J. D. (1988), *Contributions to Econometrics*, Vol. 1, Cambridge: Cambridge University Press.

Sargan, J. D. (1964). Wages and prices in the United Kingdom: A study in econometric methodology (with discussion), In Hart, P. E., Mills, G. and Whitaker, J. K. (eds.), *Econometric Analysis for National Economic Planning*, Vol. 16 of *Colston Papers*, pp. 25–63. London: Butterworth Co.

pp. 275–314 in Hendry D. F. and Wallis K. F. (eds.) (1984). *Econometrics and Quantitative Economics*. Oxford: Basil Blackwell

pp. 124–169 in Sargan J. D. (1988), *Contributions to Econometrics*, Vol. 1, Cambridge: Cambridge University Press.

Sargan, J. D. (1975). Asymptotic theory and large models, *International Economic Review*, **16**, 75–91.
(p.842)

Sargan, J. D. (1976). Econometric estimators and the Edgeworth expansion, *Econometrica*, **44**, 421–448.

pp. 98–132 in Sargan J. D. (1988), *Contributions to Econometrics*, Vol. 2, Cambridge: Cambridge University Press.

Sargan, J. D. (1980a). The consumer price equation in the post‐war British economy. An exercise in equation specification testing, *Review of Economic Studies*, **47**, 113–135.

Sargan, J. D. (1980b). Some tests of dynamic specification for a single equation, *Econometrica*, **48**, 879–897.

pp. 191–212 in Sargan J. D. (1988), *Contributions to Econometrics*, Vol. 1, Cambridge: Cambridge University Press.

Sargan, J. D. (1982). On Monte Carlo estimates of moments that are infinite, In Basmann, R. L. and Rhodes, G. F. (eds.), *Advances in Econometrics: A Research Annual*, Vol. 1, pp. 267–299. Greenwich, Connecticut: Jai Press Inc.

Sargan, J. D. (1988). *Lectures on Advanced Econometric Theory*. Oxford: Basil Blackwell.

Sargan, J. D. and Bhargava, A. (1983). Testing residuals from least squares regression for being generated by the Gaussian random walk, *Econometrica*, **51**, 153–174.

Sargan, J. D. and Sylwestrowicz, J. D. (1976). COMFAC: Algorithm for Wald tests of common factors in lag polynomials, Users' manual, London School of Economics.

Savin, N. E. (1984). Multiple hypothesis testing, in Griliches and Intriligator (1984), Ch. 14.

Schmidt, P. (1976). *Econometrics*. New York: Marcel Dekker.

Schumpeter, J. (1933). The common sense of econometrics, *Econometrica*, **1**, 5–12.

Schwert, G. W. (1989). Tests for unit roots: A Monte Carlo investigation, *Journal of Business and Economic Statistics*, **7**, 147–159.

Shenton, L. R. and Johnson, W. L. (1965). Moments of a serial correlation coefficient, *Journal of the Royal Statistical Society B*, **27**, 308–320.

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

Silvey, S. D. (1970). *Statistical Inference*. Harmondsworth: Penguin.

Simon, H. A. (1953). Causal ordering and identifiability, in Hood and Koopmans (1953), Ch. 3.

Simpson, T. D. and Porter, R. (1980). Some issues involving the definition and interpretation of monetary aggregates, Controlling monetary aggregates III, Federal Reserve Bank of Boston.

Sims, C. A. (1972). Money, income and causality, *American Economic Review*, **62**, 540–552.

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

Sims, C. A. (1980). Macroeconomics and reality, *Econometrica*, **48**, 1–48. Reprinted in Granger (1990).

Sims, C. A., Stock, J. H. and Watson, M. W. (1990). Inference in linear time series models with some unit roots, *Econometrica*, **58**, 113–144.

Slutsky, E. (1937). The summation of random causes as the source of cyclic processes, *Econometrica*, **5**, 105–146. (Translation from the Russian version of 1927.).

Smith, G. W. (1986). A dynamic baumol‐tobin model of money demand, *Review of Economic Studies*, **53**, 465–469.

Smith, R. J. (1993). Consistent tests for the encompassing hypothesis, Discussion paper, Economics Department, University of Cambridge. (p.843)

Smith, R. J. and Weale, M. R. (1992). Measurement error and model specification, Discussion paper, Economics Department, University of Cambridge.

Smith, R. P. (1991). Spurious structural stability, *Manchester School*, **59**, 419–423.

Smith, V. L. (1982). Microeconomic systems as an experimental science, *American Economic Review*, **72**, 923–955.

Spanos, A. (1986). *Statistical Foundations of Econometric Modelling*. Cambridge: Cambridge University Press.

Spanos, A. (1989a). Early empirical findings on the consumption, stylized facts or fiction: A retrospective view, *Oxford Economic Papers*, **41**, 150–169.

Spanos, A. (1989b). On re‐reading Haavelmo: A retrospective view of econometric modeling, *Econometric Theory*, **5**, 405–429.

Spanos, A. (1990). Towards a unifying methodological framework for econometric modelling, in Granger (1990), pp. 335–364.

Spanos, A. (1994). On modelling heteroscedasticity: the student's *t* and elliptical linear regression models, *Econometric Theory*, **10**, 286–315.

Srinivasan, T. (1970). Approximations to finite sample moments of estimators whose exact sampling distributions are unknown, *Econometrica*, **38**, 533–541.

Stock, J. H. (1987). Asymptotic properties of least squares estimators of cointegrating vectors, *Econometrica*, **55**, 1035–1056.

Stock, J. H. and Watson, M. W. (1989). New indexes of coincident and leading economic indicators, *NBER Macro‐Economic Annual*, 351–409.

Stock, J. H. and Watson, M. W. (1992). A procedure for predicting recessions with leading indicators: Econometric issues and recent experience, Working paper 4014, NBER.

Stone, J. R. N. (1966). Spending and saving in relation to income and wealth, *L'industria*, **4**, 471–499.

Stone, J. R. N. (1973). Personal spending and saving in postwar Britain, In Bos, H. C., Linneman, H. and de Wolff, P. (eds.), *Economic Structure and Development (essays in honour of Jan Tinbergen)*. Amsterdam: North‐Holland Publishing Company.

Student (1908). On the probable error of the mean, *Biometrika*, **6**, 1–25.

Suits, D. B. (1955). An econometric model of the watermelon market, *American Journal of Agricultural Economics* (formerly the *Journal of Farm Economics*), **2**, 237–251.

Summers, L. H. (1991). The scientific illusion in empirical macroeconomics, *Scandanavian Journal of Economics*, **93**, 129–148.

Teräsvirta, T. (1970). *Stepwise Regression and Economic Forecasting*. No. 31 in Economic Studies Monograph. Helsinki: Finnish Economic Association.

Theil, H. (1961). *Economic Forecasts and Policy*, 2nd edition. Amsterdam: North‐Holland Publishing Company.

Theil, H. (1971). *Principles of Econometrics*. London: John Wiley.

Thisted, R. A. (1988). *Elements of Statistical Computing. Numerical Computation*. New York: Chapman and Hall.

Tinbergen, J. (1930). Determination and interpretation of supply curves: An example [Bestimmung und Deutung von Angebotskurven: ein Beispiel], *Zeitschrift fur Nationalökonomie*, **1**, 779–679.

Reprinted in Hendry, D. F. and Morgan, M. S. (1995), *The Foundations of Econometric Analysis*. Cambridge: Cambridge University Press.
(p.844)

Tinbergen, J. (1933). The notions of horizon and expectancy in dynamic economics, *Econometrica*, **1**, 247–264.

in Hendry, D. F. and Morgan M. S. (1995), *The Foundations of Econometric Analysis*. Cambridge: Cambridge University Press.

Tintner, G. (1944). An application of the variate difference method to multiple regression, *Econometrica*, **12**, 97–113.

Tobin, J. (1956). The interest‐elasticity of the transaction demand for cash, *Review of Economics and Statistics*.

Tobin, J. (1958). Liquidity preference as behavior toward risk, *Review of Economic Studies*, **25**, 65–86.

Trivedi, P. K. (1975). Time series analysis versus structural models: A case study of Canadian manufacturing behavior, *International Economic Review*, **16**, 587–608.

Trundle, J. M. (1982). The demand for M1 in the UK, Mimeo, Bank of England, London.

Urbain, J.‐P. (1992). On weak exogeneity in error correction models, *Oxford Bulletin of Economics and Statistics*, **54**, 187–207.

Vining, R. (1949). Methodological issues in quantitative economics, *Review of Economics and Statistics*, **31**, 77–86.

Visco, I. (1988). Again on sign changes upon deletion of a variable from a linear regression, *Oxford Bulletin of Economics and Statistics*, **50**, 225–227.

von Mises, L. (1978). *The Ultimate Foundation of Economic Science*. Kansas City: Sheed, Andrews and McMeel.

Wald, A. (1949). Note on the consistency of the maximum likelihood estimate, *Annals of Mathematical Statistics*, **20**, 595–601.

Wallis, K. F. (1971). Wages, prices and incomes policies: Some comments, *Economica*, **38**, 304–310.

Wallis, K. F. (1974). Seasonal adjustment and relations between variables, *Journal of the American Statistical Association*, **69**, 18–31.

Wallis, K. F. (1978). Seasonal adjustment and multiple time series analysis, in Zellner (1978).

Wallis, K. F. (1980). Econometric implications of the rational expectations hypothesis, *Econometrica*, **48**, 49–73.

Wallis, K. F. (1982). Seasonal adjustment and revision of current data: Linear filters for the X–11 method, *Journal of the Royal Statistical Society A*, **145**, 74–85.

Wallis, K. F. (1983). Models for X–11 and X–11 forecast procedures for preliminary and revised seasonal adjustments, In Zellner, A. (ed.), *Applied Time Series Analysis of Economic Data*. Washington, DC: Bureau of the Census.

Wallis, K. F. (1993). Henderson detrending, symmetric or asymmetric, reduces I(4) series to stationarity, Discussion paper, Department of Economics, University of Warwick, England.

Walsh, C. (1984). Interest rate volatility and monetary policy, *Journal of Money, Credit, and Banking*, **16**, 133–150.

Walters, P. (1975). *Ergodic Theory*: Springer‐Verlag.

White, H. (1980a). A heteroskedastic‐consistent covariance matrix estimator and a direct test for heteroskedasticity, *Econometrica*, **48**, 817–838.

White, H. (1980b). Non‐linear regression on cross‐section data, *Econometrica*, **48**, 721–746.
(p.845)

White, H. (1980c). Using least squares to approximate unknown regression functions, *International Economic Review*, **21**, 149–170.

White, H. (1984). *Asymptotic Theory for Econometricians*. London: Academic Press.

White, H. (1990). A consistent model selection, in Granger (1990), pp. 369–383.

Whittle, P. (1970). *Probability*. Harmondsworth: Penguin Library of University Mathematics.

Wilks, S. S. (1962). *Mathematical Statistics*. New York: Wiley.

Wise, J. (1955). The autocorrelation function and the spectral density function, *Biometrika*, **42**, 151–159.

Wold, H. O. A. (1938). *A Study in The Analysis of Stationary Time Series*. Stockholm: Almqvist and Wicksell.

Wold, H. O. A. (1959). Ends and means in econometric model building, In Grenander, U. (ed.), *Probability and Statistics*. New York: John Wiley.

Wold, H. O. A. (1969). Econometrics as pioneering in non‐experimental model building, *Econometrica*, **37**, 369–381.

Wold, H. O. A. and Juréen, L. (1953). *Demand Analysis: A Study in Econometrics*, 2nd edition. New York: John Wiley.

Wu, D. (1973). Alternative tests of independence between stochastic regressors and disturbances, *Econometrica*, **41**, 733–750.

Yule, G. U. (1926). Why do we sometimes get nonsense‐correlations between time‐series? A study in sampling and the nature of time series (with discussion), *Journal of the Royal Statistical Society*, **89**, 1–64.

Yule, G. U. (1927). On a method of investigating periodicities in disturbed series, with special reference to Wolfer's sunspot numbers, *Philosophical Transactions of the Royal Society, A*, **226**, 267–298.

Zangwill, W. I. (1969). *Nonlinear Programming: A Unified Approach*. Prentice Hall: Englewood Cliff, NJ.

Zellner, A. (ed.)(1978). *Seasonal Analysis of Economic Time Series*. Washington, DC: Bureau of the Census.

Zellner, A. (1979). Causality and econometrics, In Brunner, K. and Meltzer, A. (eds.), *The Phillips Curve and Labor Markets*, pp. 9–54. Amsterdam: North‐Holland Publishing Company.

Zellner, A. and Palm, F. I. (1974). Time series analysis and simultaneous equation models, *Journal of Econometrics*, **2**, 17–54.

Zellner, A. and Theil, H. (1962). Three‐stage least‐squares: Simultaneous estimation of simultaneous equations, *Econometrica*, **30**, 54–78.
(p.846)