Forecasting
Castle, Jennifer L., Nicholas WP Fawcett, and David F. Hendry. “Forecasting with equilibrium-correction models during structural breaks.” Journal of Econometrics 158.1 (2010): 25-36.
Hendry, David F. “Robustifying forecasts from equilibrium-correction systems.” Journal of Econometrics 135, no. 1 (2006): 399-426.
Testing linearity against STAR models
Luukkonen, Ritva, Pentti Saikkonen, and Timo Teräsvirta. “Testing linearity against smooth transition autoregressive models.” Biometrika 75, no. 3 (1988): 491-499.
Dijk, Dick van, Timo Teräsvirta, and Philip Hans Franses. “Smooth transition autoregressive models—a survey of recent developments.” Econometric Reviews 21, no. 1 (2002): 1-47.
Taylor rules (reduced form and optimal rule)
Taylor, John B. “Discretion versus policy rules in practice.” In Carnegie-Rochester conference series on public policy, vol. 39, pp. 195-214. North-Holland, 1993.
Clarida, Richard, Jordi Galı, and Mark Gertler. “Monetary policy rules in practice: some international evidence.” european economic review 42, no. 6 (1998): 1033-1067.
New Keynesian Models
Clarida, Richard, Jordi Gali, and Mark Gertler. The science of monetary policy: a new Keynesian perspective. No. w7147. National bureau of economic research, 1999.
Time-varying parameters
Arvanitis, Stelios, and Antonis Demos. “Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models.” Journal of Time Series Analysis 25, no. 1 (2004): 1-25.
Oyewale, Akintunde Mutairu, Shangodoyin Dahud Kehinde, and Kgosi Phazamile. “Smooth Transition Autoregressive-GARCH Model in Forecasting Non-linear Economic Time Series Data.” Journal of Statistical and Econometric Methods 2, no. 2 (2013): 11-19. (STAR_GARCH)
Asymmetric loss function
Christoffersen, Peter F., and Francis X. Diebold. “Optimal prediction under asymmetric loss.” Econometric theory 13, no. 06 (1997): 808-817.
Nobay, A. R., and David A. Peel. “Optimal monetary policy with a nonlinear Phillips curve.” Economics Letters 67, no. 2 (2000): 159-164.
Econometrics
Sims, Christopher A., and Tao Zha. “Were there regime switches in US monetary policy?.” The American Economic Review (2006): 54-81. (Multivariate regime-switching model + Independence of the transitions of variance and coefficients + absorbing state–permanent change)
(Saved in PhDL)