Amisano, Gianni and Carlo Giannini (1997). Topics in Structural VAR Econometrics, 2nd ed, Berlin: Springer-Verlag.

Blanchard, Olivier and Danny Quah (1989). “The Dynamic Effects of Aggregate Demand and Aggregate Supply Disturbances,” American Economic Review, 79, 655-673.

Burbridge, John and Alan Harrison (1985). “A Historical Decomposition of the Great Depression to Determine the Role of Money,” Journal of Monetary Econometrics, 16, 45–54.

Chang, Jinyuan, and Peter Hall (2015). “Double-bootstrap methods that use a single double-bootstrap simulation.” Biometrika, 102, 203–214.

Christiano, L. J., M. Eichenbaum, C. L. Evans (1999). “Monetary Policy Shocks: What Have We Learned and to What End?” Chapter 2 in J. B. Taylor and M. Woodford, (eds.), Handbook of Macroeconomics, Volume 1A, Amsterdam: Elsevier Science Publishers B.V.

Davidson, Russell, and James G MacKinnon (2002). “Fast double bootstrap tests of nonnested linear regression models.” Econometric Reviews, 21, 419–429.

Davidson, Russell, and Mirza Trokic (2020). “The fast iterated bootstrap.” Journal of Econometrics, 218, 451–475.

Dickey, D.A. and W.A. Fuller (1979). “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427–431.

Doornik, Jurgen A. and Henrik Hansen (1994). “An Omnibus Test for Univariate and Multivariate Normality,” manuscript.

Edgerton, David and Ghazi Shukur (19991). “Testing autocorrelation in a system perspective,” Econometric Reviews, 18, 343–386.

Efron, Bradley, and Robert J Tibshirani (1993). An Introduction To The Bootstrap. Monographs on Statistics and Applied Probability, 57, 1–436.

Fisher, R. A. (1932). Statistical Methods for Research Workers, 4th Edition, Edinburgh: Oliver & Boyd.

Hall, Peter (1986). “On the bootstrap and confidence intervals.” The Annals of Statistics, 14, 1431–1452.

Hall, Peter (1992). The Bootstrap and Edgeworth Expansion. Springer-Verlag: New York.

Kelejian, H. H. (1982). “An Extension of a Standard Test for Heteroskedasticity to a Systems Framework,” Journal of Econometrics, 20, 325-333.

Kilian, Lutz (1998). “Small-sample confidence intervals for impulse response functions.” Review of Economics and Statistics, 80, 218–230.

Lütkepohl, Helmut (1990). “Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models.” The Review Of Economics And Statistics, 72, 116–125.

Lütkepohl, Helmut (1991). Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.

Lütkepohl, Helmut (2007). New Introduction to Multiple Time Series Analysis, New York: Springer-Verlag.

Martin, Vance, Stan Hurn, and David Harris (2013). Econometric Modelling with Time Series. New York: Cambridge University Press.

Newey, Whitney and Kenneth West (1994). “Automatic Lag Selection in Covariance Matrix Estimation,” Review of Economic Studies, 61, 631-653.

Pesaran, M. Hashem and Yongcheol Shin (1998). “Impulse Response Analysis in Linear Multivariate Models,” Economics Letters, 58, 17-29.

Rao, C. Radhakrishna (1973). Linear Statistical Inference and Its Applications, Second Edition. New York: John Wiley & Sons.

Rubio-Ramirez, F., Daniel F. Waggoner, and Tao Zha (2010). “Structural Vector Autogregressions: Theory of Identification and Algorithms for Inference,” The Review of Economic Studies, 77, 665–696.

Sims, Christopher (1980). “Macroeconomics and Reality,” Econometrica, 48, 1-48.

Urzua, Carlos M. (1997). “Omnibus Tests for Multivariate Normality Based on a Class of Maximum Entropy Distributions,” in Advances in Econometrics, Volume 12, Greenwich, Conn.: JAI Press, 341-358.