Quelques développements récents en séries temporelles
Journal de la société française de statistique, Tome 131 (1990) no. 1, pp. 7-15.

Voir la notice de l'article provenant de la source Numdam

@article{JSFS_1990__131_1_7_0,
     author = {Gouri\'eroux, Christian},
     title = {Quelques d\'eveloppements r\'ecents en s\'eries temporelles},
     journal = {Journal de la soci\'et\'e fran\c{c}aise de statistique},
     pages = {7--15},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {131},
     number = {1},
     year = {1990},
     language = {fr},
     url = {http://geodesic.mathdoc.fr/item/JSFS_1990__131_1_7_0/}
}
TY  - JOUR
AU  - Gouriéroux, Christian
TI  - Quelques développements récents en séries temporelles
JO  - Journal de la société française de statistique
PY  - 1990
SP  - 7
EP  - 15
VL  - 131
IS  - 1
PB  - Société de statistique de Paris
UR  - http://geodesic.mathdoc.fr/item/JSFS_1990__131_1_7_0/
LA  - fr
ID  - JSFS_1990__131_1_7_0
ER  - 
%0 Journal Article
%A Gouriéroux, Christian
%T Quelques développements récents en séries temporelles
%J Journal de la société française de statistique
%D 1990
%P 7-15
%V 131
%N 1
%I Société de statistique de Paris
%U http://geodesic.mathdoc.fr/item/JSFS_1990__131_1_7_0/
%G fr
%F JSFS_1990__131_1_7_0
Gouriéroux, Christian. Quelques développements récents en séries temporelles. Journal de la société française de statistique, Tome 131 (1990) no. 1, pp. 7-15. http://geodesic.mathdoc.fr/item/JSFS_1990__131_1_7_0/

Arrow K.J. (1959) " Towards a Theory of Price Adjustment", dans Abramowitz, M. et al. : The Allocation of Economic Resources, Stanford University Press, 49-51.

Azencott R. et D. Dacunha-Castelle(1984) Séries d'observations Irrégulières, Masson. | Zbl | MR

Bollerslev T. (1987) " Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, 309-328. | Zbl | MR

Box G. et G. Jenkins (1970) Time Series Analysis : Forecasting and Control, Holden Day. | Zbl | MR

Box G. et G. Tiao (1977) " A Canonical Analysis of Multiple Time Series", Biometrika, 64, 355-365. | Zbl | MR

Dagum E.. (1979) " The X-11 ARIMA seasonal Adjustment Method : Outline of the Methodology", Catalogue 12, 564 E, Statistiques Canada.

Davidson J., Hendry, D., Srba, F. et S. Yeo (1978) Econometric Modelling of the Aggregate Time Series Relationship between Consumer's Expenditure and Income in the United Kingdom , Economic Journal, 88, 661-692.

Deleau M. et P. Malgrange (1978) L'Analyse des Modèles Macroéconomiques Quantitatifs, Economica, Paris.

Doob J. (1953) Stochastic Processes, Wiley. | Zbl | MR

Engle R. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the U.K. Inflation", Econometrica. | Zbl | MR

Engle R. et C. Granger (1987) " Cointegration and Error Correction : Representation, Estimation and Testing", Econometrica, 55, 251-276. | Zbl | MR

Engle R., Ng V. et M. Rothschild (1989) " Asset Pricing with a Factor ARCH Covariance Structure : Empirical Estimates for Treasury Bills", U.C.S.D., DP.

Geweke J. (1962) " Measurement of Linear Dependence and Feedback between Multiple Time Series", JASA, 77, 304-313. | Zbl | MR

Gouriéroux C. et A. Monfort (1985) Séries Temporelles, Economica, Paris.

Gouriéroux C. et A. Monfort (1990) Séries temporelles et modèles dynamiques, Economica, Paris.

Gouriéroux C. et I. Peaucelle (1989) " Detecting a Long Run Relationship", CEPREMAP DP n° 8902.

Gouriéroux C., Monfort A. et E. Renault (1987) " Kullback Causality Measures", Annales d'Economie et de Statistique, 6/7, 369-410. | MR

Gouriéroux C., Maurel F. et A. Monfort (1987) " Regression and Non Stationarity", INSEE DP n° 8708.

Granger C. (1980) " Testing for Causality : A Personal Viewpoint", Journal of Economic, Dynamics and Control, 2, 329-352. | MR

Granger C. (1986) " Developments in the Study of Co-integrated Economic Variables", Oxford Bulletin of Economics and Statistics, 48, 213-228.

Hannan J. (1970) Multiple Time Series, Wiley. | Zbl | MR

Kalman R.E. (1963) " Mathematical Description of Linear Dynamical Systems", SIAM J. Control 1, 152-192. | Zbl | MR

Muth J.R. (1961) " Rational Expectations and the Theory of Price Movements", Econometrica, 214, 315-335.

Nerlove M. (1958) " Adaptative Expectation and Cobweb Phenomenon", Quaterly Journal of Economics, 73, 227-240.

Nerlove M., Diebold F., Van Beeck, H. et Y. Cheung (1988) « A Multivariate ARCH Model of Foreign Exchange Rate Determination", University of Pennsylvania DP.

Phillips P. et S. Durlauf (1986) " Multiple Time Series Regression with Integrated Processes", Review of Economic Studies, 53, 473-495. | Zbl | MR

Shiskin J., Young A. et J. Musgrave (1965) " The X-11 Variant of the CENSUS Method X-11 Seasonal Adjustment Program", Technical paper 15, Bureau of Census.

Sims, C. (1980) " Macroeconomics and Reality", Econometrica, 48, 1-48.

Sims C., Stock J. et M. Watson (1990) " Inference in Linear Time Series Models with Some Unit Roots", Econometrica 58, 113-145. | Zbl | MR