Introduction to Statistical Time Series.

By C. Chatfield, Wayne A. Fuller. 1976

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Citations in the corpus

Why Amazon's Ratings Might Mislead You: The Story of Herding Effects (2014, positive): “We use Augmented Dickey–Fuller test, 17 a standard stationary test for time series.”
A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors (2001, methodology): “Some important results for nonstationary AR models can be found in Fuller (1976), Dickey and Fuller (1979), Phillips (1987), Chan and Wei (1987, 1988), Tsay and Tiao (1990) and Jeganathan (1995), among many others.”
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1987, background): “3See, for example, the studies in Jensen's (1978) volume on anomalous evidence regarding market efficiency.”
Testing for homogeneity of variance in time series: Long memory, wavelets, and the Nile River (2002, methodology): “Approximate 95% confidence intervals are provided (dashed lines in Figure 9) under the assumption of Gaussian white noise and are given by 2 ffiffiffiffiffiffiffiffiffiffiffiffi N t p N ð44Þ [Fuller, 1996].”
Bootstrap Unit Root Tests (2003, background): “The distributions represented by F and G are however nonstandard, and they are tabulated in Fuller (1996).”
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence (2003, background): “The critical values of these distributions can be found in Tables 8.5.2 and 8.5.3 of Fuller (1976).”
Multiple-Predictor Regressions: Hypothesis Testing (2009, unknown): “t=1 r̃tyt , (10) and for all j, k ∈ {1, .”
Multivariate singular spectrum analysis for forecasting revisions to real-time data (2011, methodology): “To investigate further, Table 2 reports the psuedo- t -test statistics due to Dickey and Fuller (DF) 28 , Elliott, Rothenberg and Stock (ERS) 25 and Shin and Fuller (SF) 72 .”
Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions (2011, unknown): “Fuller, W., 1976 “Introduction to Statistical Time Series,” Wiley, New York. Goldberg, P.K. and Knetter, M.K.,1997 “Goods Prices and Exchange Rates: What have we Learned?” Journal of Economic Literature, 35, 1243-1272. Gagnon, J. E., and J. Ihrig (2004): “Monetary Policy and Exchange Rate Pass-Throu”
Introduction to the Mathematical and Statistical Foundations of Econometrics (2004, unknown): “See for example Fuller (1996). Therefore, in this appendix I will review the basics of complex analysis.”
Bootstrapping unit root tests for integrated processes (2003, methodology): “Consider the estimator âT for a defined by Fuller (1996) as âT ¼ PT t¼2 Y tY t 1 PT t¼2 Y 2t 1 : Phillips (1987) showed, under a mixing condition, that as T !”