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Análisis de Series de Tiempo

Bibliografía

Allaire, JJ, Yihui Xie, Christophe Dervieux, Jonathan McPherson, Javier Luraschi, Kevin Ushey, Aron Atkins, et al. 2026. Rmarkdown: Dynamic Documents for r. https://CRAN.R-project.org/package=rmarkdown.
Andrews, Donald W. K., and Biao Lu. 2001. “Consistent Model and Moment Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models.” Journal of Econometrics 101 (1): 123–64.
Antón Sarabia, Arturo. 2010. “El Problema Al Final de La Muestra En La Estimación de La Brecha Del Producto.” Economía Mexicana. Nueva Época XIX (1): 5–29. https://www.scielo.org.mx/pdf/emne/v19n1/v19n1a1.pdf.
Arellano, Manuel, and Stephen Bond. 1991. “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.” Review of Economic Studies 58 (2): 277–97.
Blanchard, Olivier J., and Danny Quah. 1989. “The Dynamic Effects of Aggregate Demand and Supply Disturbances.” American Economic Review 79 (4): 655–73.
Blundell, Richard, and Stephen Bond. 1998. “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.” Journal of Econometrics 87 (1): 115–43.
Bollerslev, Tim. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (3): 307–27.
Box, George E. P., and Gwilym M. Jenkins. 1970. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.
Box, George E. P., and David A. Pierce. 1970. “Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models.” Journal of the American Statistical Association 65 (332): 1509–26.
Breusch, Trevor S. 1978. “Testing for Autocorrelation in Dynamic Linear Models.” Australian Economic Papers 17 (31): 334–55.
Brooks, Chris. 2019. Introductory Econometrics for Finance. 4th ed. Cambridge: Cambridge University Press.
Choi, In. 2001. “Unit Root Tests for Panel Data.” Journal of International Money and Finance 20 (2): 249–72.
Cowpertwait, Paul S. P., and Andrew V. Metcalfe. 2009. Introductory Time Series with R. New York: Springer.
Dahlberg, Matz, and Eva Johansson. 2000. “An Examination of the Dynamic Behaviour of Local Governments Using GMM Bootstrapping Methods.” Journal of Applied Econometrics 15 (4): 401–16.
Dickey, David A., and Wayne A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74 (366): 427–31.
———. 1981. “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49 (4): 1057–72.
Enders, Walter. 2015. Applied Econometric Time Series. 4th ed. Hoboken, NJ: Wiley.
Engle, Robert F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50 (4): 987–1007.
Engle, Robert F., and Clive W. J. Granger. 1987. “Co-Integration and Error Correction: Representation, Estimation, and Testing.” Econometrica 55 (2): 251–76.
Franses, Philip Hans, and Dick van Dijk. 2000. Non-Linear Time Series Models in Empirical Finance. Cambridge: Cambridge University Press.
Godfrey, Leslie G. 1978. “Testing Against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables.” Econometrica 46 (6): 1293–1301.
Granger, Clive W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37 (3): 424–38.
Grunfeld, Yehuda. 1958. “The Determinants of Corporate Investment.” PhD thesis, University of Chicago.
Guerrero, Víctor M. 2003. Análisis Estadístico de Series de Tiempo Económicas. México: Cengage Learning Editores.
Hadri, Kaddour. 2000. “Testing for Stationarity in Heterogeneous Panel Data.” Econometrics Journal 3 (2): 148–61.
Hamilton, James D. 1989. “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica 57 (2): 357–84.
———. 1994. Time Series Analysis. Princeton, NJ: Princeton University Press.
Hodrick, Robert J., and Edward C. Prescott. 1997. “Postwar u.s. Business Cycles: An Empirical Investigation.” Journal of Money, Credit and Banking 29 (1): 1–16.
Im, Kyung So, M. Hashem Pesaran, and Yongcheol Shin. 2003. “Testing for Unit Roots in Heterogeneous Panels.” Journal of Econometrics 115 (1): 53–74.
International Monetary Fund. 2020. “Monetary Policy Analysis and Forecasting.” Curso en línea, plataforma edX.
Jarque, Carlos M., and Anil K. Bera. 1980. “Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals.” Economics Letters 6 (3): 255–59.
Johansen, Søren. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12 (2–3): 231–54.
Kálmán, Rudolf E. 1960. “A New Approach to Linear Filtering and Prediction Problems.” Journal of Basic Engineering 82 (1): 35–45.
Kao, Chihwa. 1999. “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data.” Journal of Econometrics 90 (1): 1–44.
Kirchgässner, Gebhard, Jürgen Wolters, and Uwe Hassler. 2013. Introduction to Modern Time Series Analysis. 2nd ed. Springer Texts in Business and Economics. Berlin, Heidelberg: Springer. https://doi.org/10.1007/978-3-642-33436-8.
Kwiatkowski, Denis, Peter C. B. Phillips, Peter Schmidt, and Yongcheol Shin. 1992. “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root.” Journal of Econometrics 54 (1–3): 159–78.
Levendis, John D. 2023. Time Series Econometrics: Learning Through Replication. 2nd ed. Springer Texts in Business and Economics. Cham: Springer. https://doi.org/10.1007/978-3-031-37310-7.
Levin, Andrew, Chien-Fu Lin, and Chia-Shang James Chu. 2002. “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties.” Journal of Econometrics 108 (1): 1–24.
Ljung, Greta M., and George E. P. Box. 1978. “On a Measure of Lack of Fit in Time Series Models.” Biometrika 65 (2): 297–303.
Lucas, Robert E. 1976. “Econometric Policy Evaluation: A Critique.” Carnegie-Rochester Conference Series on Public Policy 1: 19–46.
Lütkepohl, Helmut. 2005. New Introduction to Multiple Time Series Analysis. Berlin: Springer.
MacKinnon, James G. 1996. “Numerical Distribution Functions for Unit Root and Cointegration Tests.” Journal of Applied Econometrics 11 (6): 601–18.
Maddala, G. S., and Shaowen Wu. 1999. “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test.” Oxford Bulletin of Economics and Statistics 61 (S1): 631–52.
Marcet, Albert, and Morten O. Ravn. 2004. “The HP-Filter in Cross-Country Comparisons.” CEPR Discussion Paper 4244. London: Centre for Economic Policy Research.
Neusser, Klaus. 2025. Time Series Econometrics. 2nd ed. Springer Texts in Business and Economics. Cham: Springer. https://doi.org/10.1007/978-3-031-88838-0.
Pedroni, Peter. 1999. “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors.” Oxford Bulletin of Economics and Statistics 61 (S1): 653–70.
———. 2004. “Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis.” Econometric Theory 20 (3): 597–625.
Pesaran, M. Hashem, Yongcheol Shin, and Richard J. Smith. 2001. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics 16 (3): 289–326.
Phillips, Peter C. B., and Pierre Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75 (2): 335–46.
R Core Team. 2023. R: A Language and Environment for Statistical Computing. Vienna, Austria: R Foundation for Statistical Computing. https://www.R-project.org/.
Roodman, David. 2009. “How to Do Xtabond2: An Introduction to Difference and System GMM in Stata.” The Stata Journal 9 (1): 86–136.
Shrestha, Min B., and Guna R. Bhatta. 2018. “Selecting Appropriate Methodological Framework for Time Series Data Analysis.” The Journal of Finance and Data Science 4 (2): 71–89.
Sims, Christopher A. 1980. “Macroeconomics and Reality.” Econometrica 48 (1): 1–48.
St-Amant, Pierre, and Simon van Norden. 1997. “Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada.” Technical Report 79. Ottawa: Bank of Canada.
Stock, James H. 1987. “Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors.” Econometrica 55 (5): 1035–56.
Stock, James H., and Mark W. Watson. 1988. “Testing for Common Trends.” Journal of the American Statistical Association 83 (404): 1097–107.
Taylor, Stephen J. 1986. Modelling Financial Time Series. Chichester: Wiley.
Wei, William W. S. 2019. Multivariate Time Series Analysis and Applications. Hoboken, NJ: Wiley.
Westerlund, Joakim. 2007. “Testing for Error Correction in Panel Data.” Oxford Bulletin of Economics and Statistics 69 (6): 709–48.
Xie, Yihui. 2014. “Knitr: A Comprehensive Tool for Reproducible Research in R.” In Implementing Reproducible Computational Research, edited by Victoria Stodden, Friedrich Leisch, and Roger D. Peng. Chapman; Hall/CRC.
———. 2015b. Dynamic Documents with R and Knitr. 2nd ed. Boca Raton, Florida: Chapman; Hall/CRC. http://yihui.name/knitr/.
———. 2015a. Dynamic Documents with R and Knitr. 2nd ed. Boca Raton, Florida: Chapman; Hall/CRC. https://yihui.org/knitr/.
———. 2016. Bookdown: Authoring Books and Technical Documents with R Markdown. Boca Raton, Florida: Chapman; Hall/CRC. https://bookdown.org/yihui/bookdown.
———. 2023a. Bookdown: Authoring Books and Technical Documents with r Markdown. https://CRAN.R-project.org/package=bookdown.
———. 2023b. Knitr: A General-Purpose Package for Dynamic Report Generation in r. https://yihui.org/knitr/.
Xie, Yihui, J. J. Allaire, and Garrett Grolemund. 2018. R Markdown: The Definitive Guide. Boca Raton, Florida: Chapman; Hall/CRC. https://yihui.org/rmarkdown/.
Xie, Yihui, Christophe Dervieux, and Emily Riederer. 2020. R Markdown Cookbook. Boca Raton, Florida: Chapman; Hall/CRC. https://yihui.org/rmarkdown-cookbook.
Zivot, Eric, and Donald W. K. Andrews. 1992. “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis.” Journal of Business & Economic Statistics 10 (3): 251–70.