Bibliografia

Principal

• Hayashi, F. (2000.) Econometrics Princeton University Press
• Teräsvirta, T. (2004.) Smooth transition regression modelling, in Lütkepohl, H. e Krätzig, M. (eds.), Applied Time Series Econometrics Cambridge University Press, pp. 222-42.
• Lopes, A. C. B. da S. (1999.) Modelos DL e ADL, Raízes Unitárias e Cointegração: uma Introdução CEMAPRE
• Davidson, R. and J. G. MacKinnon (1993.) Estimation and Inference in Econometrics Oxford University Press

Secundária

• Harvey, A. (1990.) The Econometric Analysis of Time Series 2nd ed., Philip Allan
• Hamilton, J. (1994.) Time Series Analysis Princeton University Press.
• Banerjee, A., 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.