This book is in Open Review. We want your feedback to make the book better for you and other students. You may annotate some text by selecting it with the cursor and then click "Annotate" in the pop-up menu. You can also see the annotations of others: click the arrow in the upper right hand corner of the page
References
Allaire, JJ, Yihui Xie, Christophe Dervieux, Jonathan McPherson, Javier Luraschi, Kevin Ushey, Aron Atkins, et al. 2023. rmarkdown: Dynamic Documents for R (version 2.25). https://github.com/rstudio/rmarkdown.
Bollerslev, Tim. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (3): 307–27.
Card, D. 1993. “Using Geographic Variation in College Proximity to Estimate the Return to Schooling.” National Bureau of Economic Research.
Card, D., and Alan B. Krueger. 1994. “Minimum Wages and Employment: A Case Study of the Fast-Food Industry in New Jersey and Pennsylvania.” The American Economic Review 84 (4): 772–93.
Chow, Gregory C. 1960. “Tests of Equality Between Sets of Coefficients in Two Linear Regressions.” Econometrica 28 (3): 591–605.
Cochrane, D., and G. H Orcutt. 1949. “Application of Least Squares Regression to Relationships Containing Auto-Correlated Error Terms.” Journal of the American Statistical Association 44 (245): 32–61. https://doi.org/10.1080/01621459.1949.10483290.
Croissant, Yves, Giovanni Millo, and Kevin Tappe. 2023. plm: Linear Models for Panel Data (version 2.6-3). https://cran.r-project.org/package=plm.
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): pp. 427–431.
Elliott, Graham, Thomas J Rothenberg, and James H Stock. 1996. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64 (4): 813–36.
Engle, Robert. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica 50 (4): 987–1007.
Engle, Robert, and Clive Granger. 1987. “Co-integration and Error Correction: Representation, Estimation and Testing.” Econometrica 55 (2): 251–76.
Genz, Alan, Frank Bretz, Tetsuhisa Miwa, Xuefei Mi, and Torsten Hothorn. 2023. mvtnorm: Multivariate Normal and t Distributions (version 1.2-3). http://mvtnorm.R-forge.R-project.org.
Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37: 424–38.
Heiss, Florian. 2016. Using R for Introductory Econometrics. CreateSpace Independent Publishing Platform. http://www.urfie.net/.
Hlavac, Marek. 2022. Stargazer: Well-Formatted Regression and Summary Statistics Tables. Bratislava, Slovakia: Social Policy Institute. https://CRAN.R-project.org/package=stargazer.
Hyndman, Rob, George Athanasopoulos, Christoph Bergmeir, Gabriel Caceres, Leanne Chhay, Kirill Kuroptev, Mitchell O’Hara-Wild, et al. 2023. forecast: Forecasting Functions for Time Series and Linear Models (version 8.21.1). https://pkg.robjhyndman.com/forecast/.
Kleiber, Christian, and Achim Zeileis. 2008. Applied Econometrics with R. New York: Springer-Verlag. https://CRAN.R-project.org/package=AER.
Kleiber, C., and A. Zeileis. 2008. Applied Econometrics with R. Springer.
MacKinnon, James G, and Halbert White. 1985. “Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties.” Journal of Econometrics 29 (3): 305–25.
Newey, Whitney K., and Kenneth D. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55: 703–8.
Pfaff, B. 2008. Analysis of Integrated and Cointegrated Time Series with r. Second. New York: Springer. https://www.pfaffikus.de.
Pfaff, Bernhard. 2023. vars: VAR Modelling (version 1.5-9). https://www.pfaffikus.de.
Pinheiro, José, Douglas Bates, and R Core Team. 2023. nlme: Linear and Nonlinear Mixed Effects Models (version 3.1-162). https://svn.r-project.org/R-packages/trunk/nlme/.
Quandt, Richard E. 1960. “Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes.” Journal of the American Statistical Association 55 (290): 324–30. https://doi.org/10.1080/01621459.1960.10482067.
R Core Team. 2023. R: A Language and Environment for Statistical Computing. Vienna, Austria: R Foundation for Statistical Computing. https://www.R-project.org/.
Ripley, Brian. 2023. MASS: Support Functions and Datasets for Venables and Ripley’s MASS (version 7.3-60). http://www.stats.ox.ac.uk/pub/MASS4/.
Ryan, Jeffrey A., and Joshua M. Ulrich. 2023. quantmod: Quantitative Financial Modelling Framework (version 0.4.25). http://www.quantmod.com.
Stefano, Spada, Matteo Quartagno, Marco Tamburini, and David Robinson. 2018. orcutt: Estimate Procedure in Case of First Order Autocorrelation. https://CRAN.R-project.org/package=orcutt.
Stigler, Matthieu, and Bastiaan Quast. 2022. rddtools: Toolbox for Regression Discontinuity Design (RDD) (version 1.6.0). https://qua.st/rddtools/.
Stock, J. H., and M. W. Watson. 2015. Introduction to Econometrics, Third Update, Global Edition. Pearson Education Limited.
Venables, W. N., and D. M. Smith. 2010. An Introduction to R. https://cran.r-project.org/doc/manuals/r-release/R-intro.pdf.
White, Halbert. 1980. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica 48 (4): pp. 817–838.
Wickham, Hadley, and Jennifer Bryan. 2023. readxl: Read Excel Files (version 1.4.3). https://readxl.tidyverse.org.
Wickham, Hadley, Romain François, Lionel Henry, Kirill Müller, and Davis Vaughan. 2023. dplyr: A Grammar of Data Manipulation (version 1.1.3). https://dplyr.tidyverse.org.
Wickham, Hadley, and Dana Seidel. 2022. scales: Scale Functions for Visualization (version 1.2.1). https://scales.r-lib.org.
Wickham, Hadley, Davis Vaughan, and Maximilian Girlich. 2023. tidyr: Tidy Messy Data (version 1.3.0). https://tidyr.tidyverse.org.
Wooldridge, Jeffrey. 2016. Introductory Econometrics. Sixth. Cengage Learning.
Wuertz, Diethelm, Yohan Chalabi, Tobias Setz, Martin Maechler, and Georgi N. Boshnakov. 2023. fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling (version 4031.90). https://www.rmetrics.org.
Xie, Yihui. 2023a. bookdown: Authoring Books and Technical Documents with R Markdown (version 0.36). https://github.com/rstudio/bookdown.
———. 2023b. knitr: A General-Purpose Package for Dynamic Report Generation in R (version 1.45). https://yihui.org/knitr/.
Zeileis, Achim. 2019. dynlm: Dynamic Linear Regression. https://CRAN.R-project.org/package=dynlm.