国外计量经济学教授推荐阅读的计量经济学经典文献。两个附件（含第6楼的附件）中总共有15篇计量经济学论文，论文作者与论文名称如下：

1、Robert F. Engle: Autoregressive Condotional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation(1982)

2、Robert F. Engle: Wald, Likilyhood Ratio and Lagrange Multiplier Test in Econometrics(1983)

3、Robert F. Engle: Estimating Time Varing Risk Premia in the Term Structure: the Arch M-Model(1987)

4、Phoebus J. Dhrymes: Limited Dependent Variables

5、Tim bollerslev: A Conditionally Heteroskedastic time Series Model for Speculative Price and Rates of Return(1987)

6、Lars Peter Hansen: Generalized Instrumental Variables Estimation on Nonlinear Rational Expectation Models

7、James d. Hamilton 1994年的计量经济学论文:state-space Model

8、Lawrance R. Glosten, on the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks(1993)

以上8篇在第一楼的附件文件中。

9、Richard E. Quandt1983年的计量经济学论文：computational problem and methods.

10、A. C. Harvey: Estimating Regression Models with Multiplicative Heteroskedasticity

11、Nicholas M. Kiefer: Economic Duration data and Hazards Function

12、Daniel B. Nelson: condotional heteroscedasticity in asset returns: A New Approach(1991)

13、Pierre Perron: The great crash, the oil price shock, and the unit root hypothesis(1989)

14、John J. Spitzer: A Primer on Box-Cox Estimation

15、Zellner: Generalized Production Function

9~15篇在第六楼的附件文件中。

11218.rar
大小:(7.91 MB)

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本附件包括：

• Bollerslev87.pdf
• dhrymes.pdf
• Engle82.pdf
• engle83.pdf
• Engle87.pdf
• GJR93.pdf
• Hamilton94.pdf
• hansen82a.pdf

[此贴子已经被作者于2005-4-16 7:16:42编辑过]