Études de séries chronologiques linéaires à temps discret. Comparaison de logiciels

 Access to full text

 Full (PDF)

1. [1] Akaike H. (1969), «Fitting Autoregressive Models for Prediction », Annals of the Institute of Statistical Mathematics, 21, 243- 247. Zbl0202.17301MR246476
2. [2] Akaike H. (1977), «On Entropy Maximisation Principle», dans Applications of Statistics, Editeur Krisnaiah, 27-41, North-Holland. Zbl0388.62008MR501456
3. [3] Box G. et Jenkins G. (1970), «Time Series Analysis : Forecasting and Control », Holden-Day. Zbl0249.62009MR272138
4. [4] Box G. et Pierce D. (1970), «Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models», Journal of the American Statistical Association65, 1509-1526. Zbl0224.62041MR273762
5. [5] Brockwell P.J. et Davis R.A. (1991), «Time Series : Theory and Methods», Springer-Verlag a-172, b-223 -224, c- 239-240, d- 239-245, e- 241, f-256- 258, g-338, h-339. Zbl0709.62080MR1093459
6. [6] Chow G. (1970), «Technological Change and the Demand for Computers ", American Economic Review, Vol. 65. 
7. [7] Chow G. (1984), «Random and Changing Coefficient Models» Handbook of Econometrics, Vol. 21213-1245. Griliches Z. et Intriligators Y. éditeurs AmsterdamNorth-Holland. Zbl0589.62049MR772383
8. [8] Dickey D. et Fuller W. (1979), «Distribution of the Estimators for Autoregressive Time Series with a Unit Root», Journal of the American Statistical Association74, 427-431. Zbl0413.62075MR548036
9. [9] Dickey D. et Fuller W. (1981), «Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root», Econometrica, 49, 1057- 1072. Zbl0471.62090MR625773
10. [10] Durbin J. et Watson G. (1950) et (1951), « Testing for Serial Correlation in Least-Squares Regression», Biometrika, Vol. 37 et Vol. 38. Zbl0042.38201
11. [11] Durbin J. (1970), «Testing for Serial Correlation in Least-Squares Regression when Some of the Regressors are lagged Dependent », Biometrika, Vol. 58. 
12. [12] Engle R. (1982), «Autoregressive Conditional Heteroskedasticity, with Estimates of the Variance of United Kingdom Inflations», Econometrica, 50, 987-1008. Zbl0491.62099MR666121
13. [13] Godfrey L. (1979), «Testing the Adequacy of a Time Series Model», Biometrika, 64, 67-72. Zbl0397.62063MR529149
14. [ 14] Godfrey L. (1981), « On the Invariance of Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis», Econometrica, 49, 1443-1455. Zbl0463.62106MR636162
15. [15] Jarque C. et Bera A. (1980), «Efficient Tests for Normality, Homoskedasticity and Serial Independence of Regression Residual » Econometrics Letters, 6, 255-259. MR615323
16. [16] Johansen S. (1991), «Estimation and Hypothesis Testing of Co-Integration Vectors in Gaussian Vector Autoregressive Models », Econometrica59, 1551-1580. Zbl0755.62087MR1135641
17. [17] Gourieroux C. et Monfort A. (1990), «Séries temporelles et Modèles dynamiques », Economica a-202, b-239, c-714. 
18. [18] Harvey L. (1989), «Forecasting, Structural Time Series Models and the Kalman Filter», Cambridge University Press. Zbl0725.62083
19. [19] Hosking J.R. (1980), «Lagrange Multiplier Tests of Time Series Models», Journal of the Royal Statistical Society. B, 42, 170-181. Zbl0431.62060MR583352
20. [20] Ljung G. et Box G. (1978), «On a Measure of Lack of Fit in Times Series Models », Biometrika, 65, 297-303. Zbl0386.62079
21. [21] Lutkepohl H., «Introduction to Multiple Time Series Analysis », Springer-Verlag. 93- 95 et 378- 379. Zbl0835.62075MR1125072
22. [22] McLeod A. et Li W. (1983), «Diagnostic Checking ARMA Time Series Models using Squared Residual Autocorrelations», Journal of Time Series Analysis, 4, 269-273. Zbl0536.62067MR738587
23. [23] Phillips P. (1987), «Time Series Regression with a Unit Root», Econometrica, 55, 277-301. Zbl0613.62109MR882096
24. [24] Phillips P. et Perron P. (1988), «Testing for a Unit Root in Time Series Regression», Biometrika, 75, 335-346. Zbl0644.62094MR946054
25. [25] Ramsey, (1969), «Tests for Specification Errors in Classical Linear Least Squares Regression Analysis», Journal of the Royal Statistical Society, Series B, 31, 350-371. Zbl0179.48902MR290502
26. [26] Wei W. (1990), «Time Series Analysis Univariate and Multivariate Methods. Addison Wisley. Zbl0683.62044MR1045443
27. [27] White H. (1980), «A Heteroskedasticity-Consistent Covariance Estimator and a Direct Test for Heteroskedasticity», Econometrica, Vol. 48, 817-838. Zbl0459.62051MR575027
28. [28] Whittle P. (1951), «Hypothesis Testing in Time Series», Analysis Hareferer, New-York. Zbl0045.41301MR40634
29. [29] Said S. et Dickey D. (1984), «Testing for Unit Roots in ARMA of Unknown Order », Biometrika71, 599-607. Zbl0564.62075MR775407