參考文獻:
1. 汪義育(1985):「臺灣物價與所得波動之探討--向量自迴歸模型分析之結論」中國經濟學會論文集
2. Anderson , T. W(1959) " On the Asymptotic Distribution of Estimates of the Parameters of Stochastic Difference Equations " Annals of Mathematical Statistics , 30 , 676-687
3. Ahtsiaand Juh A. and George C. Tiao(1987)” A Note on Asymptotic Inference in Autoregressive Models with Roots on the Unit Circle” Journal of Time Series Analysis 8, No. 1, 15-19.
4.Beveridge, S. and C.R Nelson(1981)”A New Approach to the Decomposition of Economic Time Series into Permanent and Transient Components with Particular Attention to Measurement of the Business Cycle “Journal of Monetary Economics, 7,151-174.
5.Box G.E.P. and G.C. Tiao(1975)” Intervention Analysis with Applications to Economic and Environmental Problems” Journal of American Statistical Association, No. 70, 70-79.
6.Box G.E.P. and G.M. Jenkins(1970) Time Series Analysis : Forecasting and Control. Holden Day, San Francisco.
7.Chan Chung and G.C. Tiao(1990)” Random Level-Shift Time Series Models, ARIMA Approximations and Level-Shift Detection” Journal of Business & Economic Statistics, J Vol 8, No. 1, 83-97.
8.Chan N.H. and C.Z. Wei(1987)” Asymptotic Inference for Nearly Nonstationary AR(1) Processes” Annals of Statistics, No. 15, 1050-1063.
9.Chan N.H. (1988)” On the Parameter Inference for Nearly Nonstationary Time Series” Journal of the American Statistical Association, 83, 857-862.
10.Cochrane John H. (1988) “How Big Is the Random Walk in GNP?” Journal of Political Economy, 96, 893-920.
11.Cochrane John H. (1991)” Acritique of the Application of Unit Root Tests” Journal of Economic Dynamics and Control 15, 275-284.
12.Diebold Francis X. and Nerlove(1990)” Unit Root in Econometric Time Series: A Selective Survey” Advances in Econometrics, Volume 8 , 3-69.
13.Dickey David A. and Wayne A. Fuller(1979)” Disturibution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of American Statistical Association, June 1979, Volume 74, 427-431.
14.Dickey David A. and Wayne A. Fuller(1981)” Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica 49, 1057-1072.
15.Dickey David A. Wayne, R. Baller and Robert B. Miller (1986)” Unit Root in Time Series Models: Test and Implication “ The American Statistician 40, 12-26.
16.Evans G.B.A. and N.E. Savin (1984) Testing for Unit Root: 1”Econometrica 49, No 3, 753-779.
17. Evans G.B.A. and N.E. Savin (1984)” Testing for Unit Root:2”Econometrica 52, No 5, 1241-1269.
18.Mann, H.B. and A. Wald(1943)” On the Statistical Treatment of Linear Stochastic Difference Equations” Econometrica, 11, 172-200.
19.Nelson Charles R. and Charles I. Plosser(1982)” Trends and Radom Walks in Macro-economics Time Series” Tournal of Monetary Economics 10, 139-162.
20.Newey, W.K. and K.D. West(1985)” A simple Positive Difinite Heteroskedasticity and Auto Correlation Consistent Covariance Matrix” Princeton Discussion Paper No.92.
21.Ouliaris Sam, Joon Y. Park and Peter C.B. Phillips (1988)” Testing for a Unit Root in the Presence of a Maintained Trend”
22.Perron Pierre (1988)” Trends and Random Walks in Macro Economic Time Series” Journal of Econometric Dynamics and Control 12, 297-332.
23.Perron Pierre (1989)” Great Crash, The Oil Price Shock and the Unit Root Hypothesis” Econometrica 57, No.6, 1361-1401
24. Perron Pierre (1990)” Testing for a Unit Root in a Time Series with a Changing Mean “ American Statistical Assciation 8, No.2, 153-162.
25.Phillips P.C.B.(1987)”Time Series Regression with a Unit Root Econometrica 55, No.2 ,277-301.
26.Phillips P.C B. and Pierre Perron(1988)” Testing for a Unit Root in Time Series Regression” Biometrika 75, No.2, 335-346.
27. Phillips P.C B.(1988)” Regression Theory for Near-Integrated Time Series” Econometric, Vol 56, No 5, 1021-1043.
28.Said Said E. and David A. Dickey(1984),”Testing for Unit Roots in Autoregressive –Moving Average Models of Unknown Order” Biometrika 71, No.3,599-607.
29. Said Said E. and David A. Dickey(1985),”Hypothesis Testing in ARIMA Madels” American Statistical Association 80, 390, 369-375.
30. Said Said E. (1991), “Unit Roots Test for Time Series Data with a Linear Time Trend” Journal of Econometrics 47, 285-303
31.Schwert G. Willian(1987) “Effects of Model Specification on Tests for Unit Roots in Macrorconmic” Journal of Monetary Economics 20, 73-103.
32. Schwert G. Willian(1987) “Test for Unit Roots: A Monte Carlo Investigation” American Statistical Association, 7, 2, 147-159.
33.White, J.S. (1958)” The Limmiting Distribution of the Serial Correlation Coefficient in the Explosive Case” Annals of Mathematical Statistics, 29, 1188-1197.
34.White, J.S. (1959)” The Limmiting Distribution of the Serial Correlation Coefficient in the Explosive Case Two” Annals of Mathematical Statistics, 30, 831-834.