Eric Zivot's Research

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Research Interests

My research interests are in the areas of econometric theory (Bayesian methods, identification issues, weak instruments), time series econometrics (modeling nonstationary data, state space models, structural change), financial econometrics (modeling with high frequency data, testing financial models), empirical macroeconomics (business cycle modeling, forecasting) and empirical international finance (modeling and forecasting exchange rate behavior).  Further details on my published research is provided on my CV.

Books

  • Modeling Financial Time Series with S-PLUS, Second Edition, with Jiahui Wang, Springer-Verlag, December 2005. 

  • Modeling Financial Time Series with S-PLUS, with Jiahui Wang, Springer-Verlag, October 2002. 

  • Introduction to Computational Finance and Financial Econometrics. (Based on lecture notes from my advanced undergraduate class Econ 424.)

    • Manuscript in preparation (see the notes page for Econ 424 for preliminary chapters and related material)

Recent Publications and Accepted Papers

  • "The Relationship between the Beveridge-Nelson Decomposition and Unobserved Component Models with Correlated Shocks," with Drew Creal and Kum Hwa Oh forthcoming in the Journal of Econometrics.  Downloads:

  • "Practical Issues in the Analysis of GARCH Models". forthcoming in the Handbook of Financial Time Series, Springer-Verlag. July 2008. Downloads:

  • "Long Memory and Structural Breaks in the Forward Discount: An Empirical Investigation", with Kyongwook Choi, Journal of International Money and Finance, 2007.

  • "Improved Inference in Weakly Identified Instrumental Variables Regression," with Richard Startz and Charles Nelson, in Frontiers in Analysis and Applied Research: Essays in Honor of Peter C.B. Phillips, Cambridge University Press, January 2006.

  • "State Space Modeling in Macroeconomics and Finance Using SsfPack in S+FinMetrics," with Siem-Jan Koopman and Jiahui Wang, in State Space and Unobserved Component Models: Theory and Applications, (edited by Andrew Harvey, Siem-Jan Koopman and Neil Shepard) Cambridge University Press, 2004.

  • "Why are Beveridge-Nelson and Unobserved Components Decompositions of GDP so Different?", with James Morley and Charles Nelson.  Review of Economics and Statistics, May 2003.

  • "Bayesian and Classical Approaches to Instrumental Variables Regression", with Frank Kleibergen.  Journal of Econometrics, May 2003.

Working Papers

  • "Improved Small Sample Inference for Efficient Method of Moments and Indirect Inference Estimators," with Veronika Czellar. April, 2008. Downloads:
  • "Trends of U.S. Emissions of Nitrogen Oxides and Volatile Organic Compounds," with Nina S. Jones. November, 2007. Downloads:

  • "Split-Sample Score Tests in Linear Instrumental Variables Regression," with Saraswata Chaudhuri, Thomas Richardson, and James Robins. March, 2007.

  • "Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP", with Daisuke Nagakura. January, 2007.

  • "A Comparison of Univariate Stochastic Volatility Models for U.S. Short Rates Using EMM Estimation," with Ying Gu. August, 2006. Downloads

  • Evaluating Structural Models for the U.S. Short Rate Using EMM and Particle Filters," with Drew Creal and Ying Gu. August, 2006. Updated on March 21, 2007. Downloads:

  • "The Clark Model with Correlated Components," with Kum Hwa Oh. January, 2006. Downloads: 

    • paper: pdf.  

  • "A Structural Analysis of Price Discovery Measures, with Bingcheng Yan. January 2006. Updated, April 2007. Downloads:

  • "The Dynamics of Price Discovery," with Bingcheng Yan. April 2005. Updated on March 26, 2007. Downloads:

  • "Analysis of High-Frequency Financial Data with S-PLUS", with Bingchen Yan. November 2003. Downloads:

    • paper: pdf

    • S-PLUS script for examples in paper: HFAnalysis.ssc

    • S-PLUS HF library: HFLibrary.SSC. Note: some of the functions in the HF library require the FinMetrics function diff.timeSeries and will not work without FinMetrics loaded. I am working on a pure S-PLUS version of the library that will work without FinMetrics. 

    • Data: eur_usd.zip, TAQ_MSFT_GE.zip

  • "Improved Inference for the Instrumental Variables Estimator", with Charles Nelson and Richard Startz. October 2003. Downloads:

  • "Time Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis", with George Sakoulis. October 2002. Downloads:

  • "Inference on Unit Roots and Trend Breaks in Macroeconomic Time Series," with Chris Murray. October 1998.

Invited Lectures

  • Short course on Analysis of High Frequency Financial Time Series presented at the 11th  Brazilian Time Series and Econometrics Meeting (ESTE), July 31 - August 3, 2005. Also presented at the University of Sao Paulo (USP), August 5 - August 9, 2005.

    lecture 1 (overview of high frequency data in finance)

    lecture 2 (survey of realized variance)

     

  • ETH Zurich lectures on simulation based estimation of probabilistic discrete choice models and continuous-time financial models with examples in SPLUS. January 2004.

    lectures 1-2 (choice models)

    lectures 3-4 (continuous-time financial models)

     

  • SEG Lisbon lectures on structrual change. April 2003.

    • S-PLUS scripts

    • lecture 1 (tests for structural change)

    • lecture 2 (estimating linear models with structural change)

    • lecture 3 (time varying parameter models)

    Grants

  • NSF SBIR Phase II DMI-0132076 "Next Generation Component Software for Simulation-based Estimation and Inference". Research conducted with Insightful Corporation. March 2002 - March 2004

  • NSF Grant SBR-9711301 "Improved Inference for Instrumental Variables Estimation" (with Charles Nelson and Richard Startz)

Last updated: March 12, 2006

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