References - linearmodels 6.1 (original) (raw)

References

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Bryzgalova, Svetlana. “Spurious factors in linear asset pricing models.” Working Paper, 2016.

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Cameron, A. Colin, and Pravin K. Trivedi. Microeconometrics: methods and applications. Cambridge university press, 2005.

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Cameron, Adrian Colin, and Pravin K. Trivedi. Microeconometrics using stata. Vol. 5. College Station, TX: Stata press, 2009.

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Henningsen, A., & Hamann, J. (2007). systemfit: A Package for Estimating Systems of Simultaneous Equations in R. Journal of Statistical Software, 23(4), 1 - 40. doi:http://dx.doi.org/10.18637/jss.v023.i04

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Jagannathan, Ravi, Georgios Skoulakis, and Zhenyu Wang. “Generalized methods of moments: Applications in finance.” Journal of Business & Economic Statistics 20, no. 4 (2002): 470-481.

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Newey, Whitney K., and Kenneth D. West. “Automatic Lag Selection in Covariance Matrix Estimation.” The Review of Economic Studies (1994): 631-653.

[Stata]

StataCorp. 2013. Stata 13 Base Reference Manual. College Station, TX: Stata Press.

[Wool10]

Wooldridge, Jeffrey M. Econometric analysis of cross section and panel data. MIT press, 2010.

[Wool12]

Wooldridge, Jeffrey M. Introductory Econometrics: A Modern Approach. South-Western College Pub, 2012.