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Publications of George E. Tauchen    :chronological  alphabetical  combined  bibtex listing:

Books

  1. Nonparametric and Semiparametric Methods in Econometrics and Statistics, in Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, edited by Barnett, WA; Powell, J; Tauchen, GE (1991), Cambridge University Press  [abs]

Journal Articles

  1. Zhang, C; Li, J; Todorov, V; Tauchen, G, Variation and efficiency of high-frequency betas, Journal of Econometrics (January, 2020) [doi]  [abs]
  2. Li, J; Todorov, V; Tauchen, G, Jump factor models in large cross-sections, Quantitative Economics, vol. 10 no. 2 (May, 2019), pp. 419-456 [doi]  [abs]
  3. Li, J; Todorov, V; Tauchen, G; Lin, H, Rank Tests at Jump Events, Journal of Business & Economic Statistics, vol. 37 no. 2 (April, 2019), pp. 312-321, Informa UK Limited [doi]  [abs]
  4. Ronald Gallant, A; Tauchen, G, Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale, Journal of Econometrics, vol. 205 no. 1 (July, 2018), pp. 140-155, Elsevier BV [doi]  [abs]
  5. Davies, R; Tauchen, G, Data-driven jump detection thresholds for application in jump regressions, Econometrics, vol. 6 no. 2 (June, 2018), pp. 16-16, MDPI AG [doi]  [abs]
  6. Li, J; Todorov, V; Tauchen, G; Chen, R, Mixed-scale jump regressions with bootstrap inference, Journal of Econometrics, vol. 201 no. 2 (December, 2017), pp. 417-432 [doi]  [abs]
  7. Li, J; Todorov, V; Tauchen, G, Adaptive estimation of continuous-time regression models using high-frequency data, Journal of Econometrics, vol. 200 no. 1 (September, 2017), pp. 36-47, Elsevier BV [doi]  [abs]
  8. Li, J; Todorov, V; Tauchen, G, Robust Jump Regressions, Journal of the American Statistical Association, vol. 112 no. 517 (January, 2017), pp. 332-341, Informa UK Limited [repository], [doi]  [abs]
  9. Li, J; Todorov, V; Tauchen, G, Jump Regressions, Econometrica, vol. 85 no. 1 (January, 2017), pp. 173-195, The Econometric Society [doi]  [abs]
  10. Li, J; Todorov, V; Tauchen, G, ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION, Econometric Theory, vol. 32 no. 5 (October, 2016), pp. 1253-1288, Cambridge University Press (CUP), ISSN 0266-4666 [doi]  [abs]
  11. Li, J; Todorov, V; Tauchen, G, Inference theory for volatility functional dependencies, Journal of Econometrics, vol. 193 no. 1 (July, 2016), pp. 17-34, Elsevier BV [doi]  [abs]
  12. Ghysels, E; Tauchen, G, Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference, Journal of Financial Econometrics, vol. 14 no. 2 (March, 2016), pp. 227-228, Oxford University Press (OUP) [doi]
  13. Andersen, TG; Bondarenko, O; Todorov, V; Tauchen, G, The fine structure of equity-index option dynamics, Journal of Econometrics, vol. 187 no. 2 (August, 2015), pp. 532-546, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  14. Reiß, M; Todorov, V; Tauchen, G, Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data, Stochastic Processes and Their Applications, vol. 125 no. 8 (August, 2015), pp. 2955-2988, Elsevier BV, ISSN 0304-4149 [doi]  [abs]
  15. Todorov, V; Tauchen, G, Limit theorems for the empirical distribution function of scaled increments of itô semimartingales at high frequencies, The Annals of Applied Probability, vol. 24 no. 5 (January, 2014), pp. 1850-1888, Institute of Mathematical Statistics, ISSN 1050-5164 [doi]  [abs]
  16. Todorov, V; Tauchen, G; Grynkiv, I, Volatility activity: Specification and estimation, Journal of Econometrics, vol. 178 no. PART 1 (January, 2014), pp. 180-193, ISSN 0304-4076 [doi]  [abs]
  17. Li, J; Todorov, V; Tauchen, G, Volatility occupation times, The Annals of Statistics, vol. 41 no. 4 (2013), pp. 1865-1891, Institute of Mathematical Statistics, ISSN 0090-5364 [doi]  [abs]
  18. Todorov, V; Tauchen, G, Realized laplace transforms for pure-jump semimartingales, The Annals of Statistics, vol. 40 no. 2 (2012), pp. 1233-1262, Institute of Mathematical Statistics, ISSN 0090-5364 [doi]  [abs]
  19. Todorov, V; Tauchen, G, Inverse realized laplace transforms for nonparametric volatility density estimation in jump-diffusions, Journal of the American Statistical Association, vol. 107 no. 498 (2012), pp. 622-635, Informa UK Limited, ISSN 0162-1459 [doi]  [abs]
  20. Bollerslev, T; Sizova, N; Tauchen, G, Volatility in equilibrium: Asymmetries and dynamic dependencies, Review of Finance, vol. 16 no. 1 (2012), pp. 31-80, Oxford University Press (OUP), ISSN 1572-3097 [doi]  [abs]
  21. Todorov, V; Tauchen, G, The Realized Laplace Transform of Volatility, Econometrica, vol. 80 no. 3 (2012), pp. 1105-1127, The Econometric Society, ISSN 0012-9682 [doi]  [abs]
  22. Tauchen, G, Stochastic Volatility in General Equilibrium, Quarterly Journal of Finance, vol. 1 no. 4 (December, 2011), pp. 707-731 [repository], [doi]  [abs]
  23. Todorov, V; Tauchen, G; Grynkiv, I, Realized Laplace transforms for estimation of jump diffusive volatility models, Journal of Econometrics, vol. 164 no. 2 (October, 2011), pp. 367-381, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  24. Shaliastovich, I; Tauchen, G, Pricing of the time-change risks, Journal of Economic Dynamics and Control, vol. 35 no. 6 (June, 2011), pp. 843-858, Elsevier BV, ISSN 0165-1889 [doi]  [abs]
  25. Tauchen, G; Zhou, H, Realized jumps on financial markets and predicting credit spreads, Journal of Econometrics, vol. 160 no. 1 (January, 2011), pp. 102-118, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  26. G. Tauchen and V. Todorov, Limit Theorems for Power Variations with Application to Activity Estimation, Annals of Probability, vol. 21 no. 2 (2011)
  27. Todorov, V; Tauchen, G, Limit theorems for power variations of pure-jump processes with application to activity estimation, The Annals of Applied Probability, vol. 21 no. 2 (2011), pp. 546-588, Institute of Mathematical Statistics, ISSN 1050-5164 [doi]  [abs]
  28. Todorov, V; Tauchen, G, Volatility jumps, Journal of Business & Economic Statistics, vol. 29 no. 3 (2011), pp. 356-371, Informa UK Limited, ISSN 0735-0015 [doi]  [abs]
  29. Tauchen, G; Shaliastovich, I, Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk, Journal of Economic Dynamics and Control, vol. 35 no. 6 (2011) [pdf]
  30. Gallant, AR; Tauchen, G, Simulated Score Methods and Indirect Inference for Continuous-time Models, in Handbook of Financial Econometrics, vol. 1 no. 1 (December, 2010), pp. 427-477, Elsevier [doi]  [abs]
  31. Todorov, V; Tauchen, G, Activity signature functions for high-frequency data analysis, Journal of Econometrics, vol. 154 no. 2 (February, 2010), pp. 125-138, Elsevier BV, ISSN 0304-4076 [pdf], [doi]  [abs]
  32. Bollerslev, T; Tauchen, G; Zhou, H, Expected stock returns and variance risk premia, Review of Financial Studies, vol. 22 no. 11 (November, 2009), pp. 4463-4492, Oxford University Press (OUP), ISSN 0893-9454 [doi]  [abs]
  33. Bollerslev, T; Kretschmer, U; Pigorsch, C; Tauchen, G, A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects, Journal of Econometrics, vol. 150 no. 2 (June, 2009), pp. 151-166, Elsevier BV, ISSN 0304-4076 [pdf], [doi]  [abs]
  34. Bollerslev, T; Law, TH; Tauchen, G, Risk, jumps, and diversification, Journal of Econometrics, vol. 144 no. 1 (May, 2008), pp. 234-256, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  35. Bansal, R; Gallant, AR; Tauchen, G, Rational pessimism, rational exuberance, and asset pricing models, Review of Economic Studies, vol. 74 no. 4 (Fall, 2007), pp. 1005-1033, Oxford University Press (OUP), ISSN 0034-6527 [doi]  [abs]
  36. Todorov, V; Tauchen, G, Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models, Journal of Business & Economic Statistics, vol. 24 no. 4 (October, 2006), pp. 455-469, Informa UK Limited, ISSN 0735-0015 [doi]  [abs]
  37. Bollerslev, T; Litvinova, J; Tauchen, G, Leverage and volatility feedback effects in high-frequency data, Journal of Financial Econometrics, vol. 4 no. 3 (June, 2006), pp. 353-384, Oxford University Press (OUP), ISSN 1479-8409 [doi]  [abs]
  38. Huang, X; Tauchen, G, The Relative Contribution of Jumps to Total Price Variance, Journal of Financial Econometrics, vol. 3 no. 4 (Fall, 2005), pp. 456-499, Oxford University Press [htm], [doi]  [abs]
  39. Bansal, R; Tauchen, G; Zhou, H, Regime shifts, risk premiums in the term structure, and the business cycle, Journal of Business & Economic Statistics, vol. 22 no. 4 (October, 2004), pp. 396-409, Informa UK Limited [doi]  [abs]
  40. Chernov, M; Gallant, AR; Ghysels, E; Tauchen, G, Alternative models for stock price dynamics, Journal of Econometrics, vol. 116 no. 1-2 (September, 2003), pp. 225-257, Elsevier BV [repository], [doi]  [abs]
  41. Ghysels, E; Tauchen, G, Frontiers of financial econometrics and financial engineering, Journal of Econometrics, vol. 116 no. 1-2 (January, 2003), pp. 1-7, Elsevier BV [repository], [doi]  [abs]
  42. Tauchen, G; Durham, GB; Gallant, AR, Comment [6] (multiple letters), Journal of Business & Economic Statistics, vol. 20 no. 3 (January, 2002), pp. 331-332+335+337
  43. Tauchen, G, Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment, Journal of Business and Economic Statistics, vol. 20 no. 3 (2002), pp. 331-332
  44. Tauchen, G, The bias of tests for a risk premium in forward exchange rates, Journal of Empirical Finance, vol. 8 no. 5 (December, 2001), pp. 695-704, Elsevier BV [doi]  [abs]
  45. Tauchen, G, Notes on financial econometrics, Journal of Econometrics, vol. 100 no. 1 (January, 2001), pp. 57-64, Elsevier BV [repository], [doi]  [abs]
  46. Chung, CS; Tauchen, G, Testing target-zone models using efficient method of moments, Journal of Business & Economic Statistics, vol. 19 no. 3 (January, 2001), pp. 255-277, Informa UK Limited (2000 Invited Address of the Journal of Business and Economic Statistics, delivered at the Annual Meeting of the Amercian Statistical Association.) [doi]  [abs]
  47. Chernov, M; Gallant, AR; Ghysels, E; Tauchen, G, A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation (October, 1999) (under revision.)
  48. Gallant, AR; Tauchen, G, The relative efficiency of method of moments estimators, Journal of Econometrics, vol. 92 no. 1 (January, 1999), pp. 149-172, Elsevier BV [repository], [doi]  [abs]
  49. Gallant, AR; Hsu, CT; Tauchen, G, Using daily range data to calibrate volatility diffusions and extract the forward integrated variance, The Review of Economics and Statistics, vol. 81 no. 4 (January, 1999), pp. 617-631, MIT Press - Journals [repository], [doi]  [abs]
  50. G. Tauchen, Efficient Estimation of Multivariate Diffusions with Applications from Finance, in Bulletin of the International Statistical Association, 1999 (1999)
  51. Gallant, AR; Tauchen, G, Reprojecting partially observed systems with application to interest rate diffusions, Journal of the American Statistical Association, vol. 93 no. 441 (March, 1998), pp. 10-24, Informa UK Limited [doi]  [abs]
  52. Tauchen, G, The objective function of simulation estimators near the boundary of the unstable region of the parameter space, The Review of Economics and Statistics, vol. 80 no. 3 (January, 1998), pp. 389-398, MIT Press - Journals [DukeSpace], [doi]  [abs]
  53. Tauchen, G, The objective function of simulation estimators near the boundary of the unstable region of the parameter space, Review of Economics and Statistics, vol. 80 no. 3 (1998), pp. 389-398 [repository]  [abs]
  54. Gallant, AR; Tauchen, G, Estimation of continuous-time models for stock returns and interest rates, Macroeconomic Dynamics, vol. 1 no. 1 (December, 1997), pp. 135-168, ISSN 1365-1005 [repository]  [abs]
  55. Gallant, AR; Hsiehb, D; Tauchen, G, Estimation of stochastic volatility models with diagnostics, Journal of Econometrics, vol. 81 no. 1 (January, 1997), pp. 159-192, Elsevier BV [repository], [doi]  [abs]
  56. Tauchen, G; Zhang, H; Liu, M, Volume, volatility, and leverage: A dynamic analysis, Journal of Econometrics, vol. 74 no. 1 (January, 1996), pp. 177-208, Elsevier BV [repository], [doi]  [abs]
  57. Ronald Gallant, A; Tauchen, G, Which moments to match?, Econometric Theory, vol. 12 no. 4 (January, 1996), pp. 657-681, Cambridge University Press (CUP) [repository], [doi]  [abs]
  58. Bansal, R; Gallant, AR; Hussey, R; Tauchen, G, Nonparametric estimation of structural models for high-frequency currency market data, Journal of Econometrics, vol. 66 no. 1-2 (January, 1995), pp. 251-287, Elsevier BV, ISSN 0304-4076 [repository], [doi]  [abs]
  59. Tauchen, G, Editor’s report, Journal of Business & Economic Statistics, vol. 12 no. 4 (January, 1994), pp. 369, Informa UK Limited [doi]
  60. Tauchen, G, News Notes, Econometric Reviews, vol. 13 no. 3 (January, 1994), pp. V-vI, Informa UK Limited [doi]
  61. Gallant, AR; Rossi, PE; Tauchen, G, Nonlinear Dynamic Structures, Econometrica, vol. 61 no. 4 (July, 1993), pp. 871-871, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
  62. Tauchen, G, Editor’s report, Journal of Business & Economic Statistics, vol. 11 no. 4 (January, 1993), pp. 367, Informa UK Limited [doi]
  63. Tauchen, G, Remarks on my term at JBES, Journal of Business & Economic Statistics, vol. 11 no. 4 (January, 1993), pp. 428-431, Informa UK Limited [doi]
  64. Tauchen, G, The journal of business & economic statistics: The first 10 years and a look ahead, Journal of Business & Economic Statistics, vol. 11 no. 4 (January, 1993), pp. 425, Informa UK Limited [doi]
  65. Bansal, GTWR; Hussey, R; Gallant, AR; Tauchen G,, "A Nonparametric Simulation Estimator for Nonlinear Structural Models", Computational Economics and Econometrics (1993)
  66. Gallant, AR; Rossi, PE; Tauchen, G, Stock Prices and Volume, Review of Financial Studies, vol. 5 no. 2 (April, 1992), pp. 199-242, Oxford University Press (OUP), ISSN 0893-9454 [Gateway.cgi], [doi]
  67. Tauchen, G; Hussey, R, Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models, Econometrica, vol. 59 no. 2 (March, 1991), pp. 371-396 [repository]
  68. Gallant, AR; Hansen, LP; Tauchen, G, Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution, Journal of Econometrics, vol. 45 no. 1-2 (January, 1990), pp. 141-179, Elsevier BV, ISSN 0304-4076 [doi]  [abs]
  69. Tauchen, G, Solving the stochastic growth model by using quadrature methods and value-function iterations, Journal of Business & Economic Statistics, vol. 8 no. 1 (January, 1990), pp. 49-51, Informa UK Limited [repository], [doi]  [abs]
  70. Tauchen, G; Gallant, AR; Hansen, LP, "Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution", Journal of Econometrics, vol. 45 no. 112 (1990), pp. 141-180
  71. Gallant, AR; Tauchen, G, Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, vol. 57 no. 5 (September, 1989), pp. 1091-1091, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
  72. Tauchen, G, "Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data", Journal of Business and Economic Statistics, vol. 4 (October, 1986) (Given as the Invited Address for the Business and Economics Section of the 1986 Meeting of the American Statistical Association, Chicago; published with commentary.)
  73. Tauchen, G, Finite state markov-chain approximations to univariate and vector autoregressions, Economics Letters, vol. 20 no. 2 (January, 1986), pp. 177-181, Elsevier BV, ISSN 0165-1765 [doi]  [abs]
  74. Tauchen, G, A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions, Economics Letters, vol. 20 no. 2 (January, 1986), pp. 151-155, Elsevier BV, ISSN 0165-1765 [doi]  [abs]
  75. Tauchen, G, Reply, Journal of Business & Economic Statistics, vol. 4 no. 4 (January, 1986), pp. 423-425, Informa UK Limited [doi]
  76. Tauchen, GE, Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data (1986), Journal of Business & Economic Statistics  [abs]
  77. Tauchen, G, Comment on Wood, McInish, and Ord, Journal of Finance (July, 1985)
  78. Tauchen, G, Diagnostic testing and evaluation of maximum likelihood models, Journal of Econometrics, vol. 30 no. 1-2 (January, 1985), pp. 415-443, Elsevier BV, ISSN 0304-4076 (Presented at the Conference on New Methods in Econometrics, Austin Texas, May 1984.) [repository], [doi]  [abs]
  79. TAUCHEN, G, DISCUSSION, The Journal of Finance, vol. 40 no. 3 (January, 1985), pp. 739-741, WILEY, ISSN 0022-1082 [doi]
  80. Cook, PJ; Tauchen, G, The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977, The Journal of Legal Studies, vol. 13 no. 1 (January, 1984), pp. 169-190, University of Chicago Press, ISSN 0047-2530 [Gateway.cgi], [doi]
  81. Tauchen, GE; Pitts, M, The Price Variability-Volume Relationship on Speculative Markets, Econometrica, vol. 51 no. 2 (March, 1983), pp. 485-485, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
  82. Salemi, MK; Tauchen, GE, Estimation of nonlinear learning models, Journal of the American Statistical Association, vol. 77 no. 380 (January, 1982), pp. 725-731, Informa UK Limited, ISSN 0162-1459 [Gateway.cgi], [doi]  [abs]
  83. Cook, PJ; Tauchen, G, The Effect of Liquor Taxes on Heavy Drinking, The Bell Journal of Economics, vol. 13 no. 2 (1982), pp. 379-379, JSTOR, ISSN 0361-915X [Gateway.cgi], [doi]
  84. Tauchen, GE, Some Evidence on Cross-Sector Effects of the Minimum Wage, Journal of Political Economy, vol. 89 no. 3 (June, 1981), pp. 529-547, University of Chicago Press, ISSN 0022-3808 [Gateway.cgi], [doi]
  85. Salemi, MK; Tauchen, GE, Guessing and the Error Structure of Learning Models., American Economic Review, vol. 70 no. 2 (May, 1980), pp. 41-46, ISSN 0002-8282 [Gateway.cgi]

Chapters in Books

  1. Bollerslev, T; Tauchen, G; Sizova, N, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (August, 2009)  [abs]
  2. Bollerslev, T; Sizova, N; Tauchen, G, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009)  [abs]
  3. Continuous-Time Methods and Market Microstructure, in International Library of Financial Econometrics, vol. 4 (2007), pp. 95-97
  4. G. Tauchen, New Minimum Chi-Square Methods in Empirical Finance, in Advances in Economics and Econometrics: Theory and Applications, Econometric Society Monographs, edited by Kenneth F. Wallis and David M. Kreps, vol. III no. 28 (1997), pp. 279-317, Cambridge University Press (Invited Address for the Seventh World Congress of the Econometric Society, Tokyo, 1995.)
  5. Tauchen, G, New Minimum Chi-Square Methods in Empirical Finance (April, 1996) [repository]  [abs]
  6. Gallant, AR; Tauchen, G, Specification Analysis of Continuous Time Models in Finance, in Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, edited by Peter E. Rossi (October, 1995), pp. 357-383, Academic Press [repository]  [abs]
  7. G. Tauchen, "A Nonparametric Approach to Nonlinear Time Series: Estimation and Simulation", in New Directions in Time Series Analyses, Part II (1992), New York: Springer-Verlag
  8. Hsieh, DA; Gallant, AR; Tauchen, G, On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate, in Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics, edited by Barnett, WA; Powell, J; Tauchen, G (1991), pp. 199-240, Cambridge University Press, ISBN 0521370906
  9. G. Tauchen with M.K. Salemi, "Simultaneous Nonlinear Learning Models", in Econometric Modeling in Economic Education Research, edited by W. Becker and W. Walstead (1987), pp. 207-221, Klumer-Nijhoff
  10. G. Tauchen, "Comments on Cinar, Abowd and Zellner, and Nestel", Proceedings of the 1983 Meetings of the American Statistical Assocation: Business and Economics (1983)
  11. G. Tauchen with Javier Salas, "A Dynamic Rational Expectations Macroeconomic Model of Mexico", in Applied Time Series Analysis, edited by M.R. Perryman (1982), pp. 349-358, North-Holland Publishing Company
  12. G. Tauchen, "Temporal Aggregation and Testing for Econometric Exogeneity", in Time Series Analysis, edited by O.D. Anderson and M.R. Perryman (1981), pp. 569-574, North Holland Publishing Company

Working Papers

  1. G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder, Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability, (submitted) (2011)
  2. G. Tauchen, Stochastic Volatility in General Equilibrium (Summer, 2005)
  3. G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis (Summer, 2004) [htm]
  4. G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis (Summer, 2004)

Other

  1. G. Tauchen, SNP: A Program for Seminonparametric Estimation (2012-1) (Software suite managed by Gallant and Tauchen, public domain..)
  2. G. Tauchen with A. R. Gallant, EMM: A Program for Efficient Method of Moments (Summer, 2012) [htm]
  3. G. Tauchen, "An Appraisal of the Precision of Box-Jenkins Intervention Analysis" (October, 1982) (Working Paper.)

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