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Economics 584
Time Series Econometrics

Reading List

Spring 2000

Last updated: May 15, 2000

Note: H denotes "Hamilton", C denotes "Cochrane", F denotes "Franses" and MK denotes Maddala and Kim. * denotes the most relevant reading. For those with strong interests in time series econometrics, check out Peter C.B. Phillips' courses Time Series Econometrics I and Time Series Econometrics II (Yes, at Yale you get a full year of time series econometrics. 

Stationary Univariate Models, Model Selection

Textbook Readings

Additional Readings

• C, chapters 1 - 6.
• F, chapters 1-3.2.
• H, chapters 1- 3.
• MK, chapters 1 and 2.

Estimation, Forecasting and Asymptotic Theory

Textbook Readings

Additional Readings

• F, sections 3.3-3.5.
• H, chapters 4 (pgs. 72-85, 102-113), 5 (117-126, 133-148) and 7 (main result is Proposition 7.11)

• Diebold, F.X. (1998), "The Past and Present of Macroeconomic Forecasting," Journal of Economic Perspectives, 12, 175-192.
• *Diebold, F.X. and R.S. Mariano (1995), "Comparing Predictive Accuracy," Journal of Business and Economic Statistics, 13, 253-265.
• Mark, N. (1995),  "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review.
• Zivot, E. (1999), Lecture notes on asymptotic distribution theory.

 Introduction to Univariate Nonstationary Time Series

Textbook Readings

Additional Readings

• C, chapter 10.
• F, chapters 4.
• H, chapters 15-17.
• MK, chapter3 3 and 4.

• *Campbell, J.Y. and P. Perron (1991), "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots and Cointegration," NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
• Campbell, J. and G. Mankiw (1987), "Are Output Fluctuations Transitory," Quarterly Journal of Economics. Available in JSTOR.
• Clark. P.K. (1987), "The Cyclical Component of U.S. Economic Activity," Quarterly Journal of Economics. Available in JSTOR.
• Cochrane, J. (1988), "How Big is the Random Walk Component in GNP," Journal of Political Economy, No. 5. Available in JSTOR.
• *Nelson, C.R. and C.I. Plosser (1982), "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications," Journal of Monetary Economics, 10, 139-162.
• *Stock, J.S. and M.Watson (1988), "Variable Trends in Economic Time Series," Journal of Economic Perspectives, Vol 2, No. 3. Available in JSTOR.
• Zivot, E. (1999), Lecture notes on the Beveridge-Nelson decomposition.
• Morley, J., C.R. Nelson and E. Zivot (2000), "Why are Beveridge Nelson and Unobserved Components Decompositions of GDP so Different?". Working paper, Department of Economics, University of Washington.
  

 Unit Roots and Trend Breaks

Textbook Readings

Additional Readings

• F, chapter 6.
• H, chapters 8-9.
• MK, chapter 13, sections 1-5.

• Ben-David, D. and D.H. Papell (1995), "The Great Wars, the Great Crash, and Steady State Growth: Some New Evidence About an Old Stylized Fact," Journal of Monetary Economics 36, 453-475.
• Campbell, J.Y. and P. Perron (1991), "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
• Perron, P. (1993), "Trend, Unit Root and Structural Change in Macroeconomic Time Series," in B.B. Rao (ed.) Cointegration: Expository Essays for the Applied Economist, MacMillan.
• Phillips, P.C.B. and Z. Xiao (1997), "A Primer on Unit Root Testing," Cowles Foundation Discussion Paper.
• *Stock, J.S. (1995), "Unit Roots and Trend Breaks", in Handbook of Econometrics, Vol 4.
• Vogelsang, T. (1997), "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series," Econometric Theory, Vol. 13(6), 818-849.
• Zivot, E. and D.W.K. Andrews (1992), "Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis," Journal of Business and Economic Statistics 10, 251-70.
• Zivot, E. (1999), Lecture notes on ADF unit root tests.
• Zivot, E. (1999), Lecture notes on PP unit root tests.
• Zivot, E. (1999), Lecture notes on structural breaks

Introduction to Stationary VAR Models

Textbook Readings

Additional Readings

• C, chapter 7.
• F, chapter 9.
• H, chapters 10, 11.1-11.6

• Canova, F. (1994), "VAR Models: Specification, Estimation, Inference and Forecasting," in H. Pesaran and M. Wickens (eds.), Handbook of Applied Econometrics. Oxford: Basil Blackwell.
• Canova, F. (1995), "The Economics of VAR Models," chapter 3 in Hoover, K.D. (ed.) Macroeconometrics: Developments, Tensions, and Prospects, Kluwer.
• Dwyer, M. (1999), Lecture notes on stationary VARs. Department of Economics, UCLA. Note: Mark also has a bunch of GAUSS code for the analysis of VARs.
• Lutkepohl, H. (1993), "Stable Vector Autoregressive Processes," chapter 2 in Introduction to Multiple Time Series Analysis, Second Edition.
• Lutkepohl, H. (1999), "Vector Autoregressions," unpublished manuscript, Institut fur Statistik und Okonometrie, Humboldt-Universitat zu Berlin.
• Sims, C.A. (1980), "Macroeconomics and Reality," Econometrica, 48, 1-48. Available in JSTOR.
• Sims, C.A. (1992), "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," European Economic Review.
• Zivot, E. (1999), Lecture notes on VARs (introduction)

Structural VAR Models

Textbook Readings

Additional Readings

• H, chapter 11, sections 1-7.

• Blanchard, O.J. and D. Quah (1989), "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, 79, 655-673.
• Bernanke, B. (1986), "Alternative Explanations of the Money-Income Correlation," Carnegie Rochester Conference Series on Public Policy, 25, 49-99.
• Canova, F. (1995), "The Economics of VAR Models," in K. Hoover (ed.), Macroeconometrics: Tensions, Developments and Prospects, Kluwer.
• Crowder, W.J., Dennis L. Hoffman and Robert Rasche (1994), "Identification and Inference in Cointegrated Systems and the Specification of Structural VAR Models," forthcoming in Review of Economics and Statistics.
• Dwyer, M (1999), Lecture notes on structural VARs. Department of Economics, UCLA.
• Gali, J. (1992), "How Well Does the ISLM Model Fit Postwar Data?" Quarterly Journal of Economics 107, 709-735.
• Jorda, Oscar (1999). Lecture notes on VAR modeling, Lecture notes on dynamic modeling. (UC Davis)
• King, R.G. and M. Watson (1997), "Testing Long-Run Neutrality," Federal Reserve Bank of Richmond Economic Quarterly, Vol. 83/3.
• Levtchenkova, S., A. Pagan and J. Robertsonm, (1999), "Shocking Stories,"  in M. McAleer and L. Oxley (eds.) Practical Issues in Cointegration Analysis, Basil Blackwell: Oxford.
• Sarte, P-D (1997), "On the Indentification of Structural Vector Autoregressions," Federal Reserve Bank of Richmond Economic Quarterly, Vol. 83/3.
• Watson, M. (1998), Lecture notes on VAR modeling.
• Watson, M. (1995), "VARs and Cointegration" chapter 47 (section 4) in Handbook of Econometrics, Vol 4.
• Zivot, E. (1999), Lecture notes on VARs (inference).
• Zivot, E. (1999), Lecture notes on VARs (identification using Choleski decomposition).
• Zivot, E. (1999), Lecture notes on VARs (identification using long-run restrictions).

 Spurious Regression and Cointegration

Textbook Readings

Additional Readings

• C, chapter 11.
• F, chapter 10
• H, chapters 18; chapter 19, section 1.
• MK, chapters 5 and 7.

• Campbell, J.Y. and P. Perron (1991), "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
• Dwyer, M. (1999), Lecture notes on cointegration. Department of Economics, UCLA.
• Watson, M. (1995), "VARs and Cointegration" chapter 47 (sections 1-3) in Handbook of Econometrics, Vol 4.
• Stock, J.S. and M.Watson (1988), "Variable Trends in Economic Time Series," Journal of Economic Perspectives, Vol 2, No. 3. Available in JSTOR.

Examples of Cointegration

Textbook Readings

Additional Readings

None

• Crowder, W.J. and M.E. Wohar (1997), "Are Tax Effects Important in the Long-Run Fisher Relation: Evidence from the Municipal Bond Market," forthcoming in Journal of Finance.
• Zivot, E. (1998), "Cointegration and Forward and Spot Exchange Rate Regressions," unpublished manuscript, University of Washington.

Inference in Cointegration Models

Textbook Readings

Additional Readings

• F, chapter 10.
• H, chapters 19 and 20.
• MK, chapter 6

•  
• *Johansen, S. (1996), "Likelihood-based Inference for Cointegration of Some Nonstationary Time Series," chapter 2 in D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen (eds.), Times Series Models in Econometrics, Finance and Other Fields, Chapman & Hall.
• Watson, M. (1995), "VARs and Cointegration" chapter 47 (section 3) in Handbook of Econometrics, Vol 4.

Introduction to Univariate Nonlinear Models

Additional Readings

• F, chapter 8
• H, chapter 22
• MK, chapter 15.

• Hansen, B. (1997), "Inference in TAR models," Studies in Nonlinear Dynamics and Econometrics 1(2), 1-14.
• Hansen, B. (2000), "Testing Linearity," Journal of Economic Surveys.
• Terisverta, T. (1999), "Smooth Transition Autoregressive Models," 
• Potter, S. (2000) "", Journal of Economic Surveys
• Obstfeld, M. and A.M. Taylor (1997)