Time Series: Their Analysis by Successive Smoothings
Lewis A. Maverick
Econometrica, Vol. 1, No. 3. (Jul., 1933), pp. 238-246.

Regression Theory for Near-Integrated Time Series
P. C. B. Phillips
Econometrica, Vol. 56, No. 5. (Sep., 1988), pp. 1021-1043.

Pooled Time-Series Cross-Section Estimation
Arthur Havenner; Ronald Herman
Econometrica, Vol. 45, No. 6. (Sep., 1977), pp. 1535-1536.

Time Series Regression with a Unit Root
P. C. B. Phillips
Econometrica, Vol. 55, No. 2. (Mar., 1987), pp. 277-301.

Nonlinear Regressions with Integrated Time Series
Joon Y. Park; Peter C. B. Phillips
Econometrica, Vol. 69, No. 1. (Jan., 2001), pp. 117-161.

Integration Versus Trend Stationary in Time Series
David N. DeJong; John C. Nankervis; N. E. Savin; Charles H. Whiteman
Econometrica, Vol. 60, No. 2. (Mar., 1992), pp. 423-433.

Empirical Limits for Time Series Econometric Models
Werner Ploberger; Peter C. B. Phillips
Econometrica, Vol. 71, No. 2. (Mar., 2003), pp. 627-673.

The Estimation of Parameters in Linear Autoregressive Time Series
Maurice G. Kendall
Econometrica, Vol. 17, Supplement: Report of the Washington Meeting. (Jul., 1949), pp. 44-57.

Pooling of Time Series and Cross Section Data
V. K. Chetty
Econometrica, Vol. 36, No. 2. (Apr., 1968), pp. 279-290.

Parameters and Relations of Stochastically Lagged and Disaggregative Time Series
Haskel Benishay
Econometrica, Vol. 36, No. 1. (Jan., 1968), pp. 155-171.
别人卖5块。本人感觉有点贵，买来共享
不信的可见：http://www.pinggu.org/bbs/viewthread.php?tid=257288&page=1&from^^uid=210485