1. This chapter draws on the material in Davidson and MacKinnon (1993), Maddala (1992), Hamilton (1994), Banerjee et al. (1993) and Gujarati (1995). Advanced readings include Fuller (1976) and Hamilton (1994). Easier readings include Mills (1990) and Enders (1995).
2. Banerjee, A., J.J. Dolado, J.W. Galbraith and D.F. Hendry (1993), Co-Integration, Error-Correction, and The Econometric Analysis of Non-stationary Data (Oxford University Press: Oxford).
3. Bierens, H.J. (2001), “ Unit Roots,” Chapter 29 in B.H. Baltagi (ed.) A Companion to Theoretical Econometrics (Blackwell: Massachusetts).
4. Bierens, H.J. and S. Guo (1993), “Testing for Stationarity and Trend Stationarity Against the Unit Root Hypothesis,” Econometric Reviews, 12: 1–32.
5. Bollerslev, T. (1986), “Generalized Autoregressive Heteroskedasticity,” Journal of Econometrics, 31: 307–327.