Econ 584 Reading List

Last updated: May 26, 1998

Note: H denotes "Hamilton", C denotes "Cochrane" and F denotes "Franses"
* denotes "required reading".

Difference Equations, Stationary Time Series Models, Box-Jenkins Methodology and Forecasting (about 3 lectures)

Textbooks

• *C, chapters 1 - 6.
• *H, chapters 1- 5.
• *F, chapters 1-3.

Reading packet

• None

Univariate Nonstationary Models: Deterministic Trends, Structural Breaks and Unit Roots (about 5 lectures)

Textbooks

• *C, chapters 10.
• *H, chapters 13, 15-17.
• *F, chapters 4-6.

Reading packet

• 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.
• _____ (1987), "Permanent and Transitory Components in Macroeconomic Fluctuations," American Economic Review.
• Clark. P.K. (1987), "The Cyclical Component of U.S. Economic Activity," Quarterly Journal of Economics.
• Cochrane, J. (1988), "How Big is the Random Walk Component in GNP," Journal of Political Economy, No. 5.
• Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin (1992), "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Root," Journal of Econometrics 54, 159-78.
• Perron, P. (1989), "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis," Econometrica 57, 1361-401.
• Stock, J.S. (1995), "Unit Roots and Trend Breaks", 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.
• 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.
  

Other reading by topic

Unit roots and the persistence of shocks

• 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.

Structural breaks

Nonlinear Models (about 4 lectures)

• *H, chapters 21-22.
• *F, chapter 8.

Reading Packet

• Hansen, B.E. (1997): "Inference in TAR Models," Studies in Nonlinear Dynamics and Econometrics, 1(2): 119-131.
• Kim and Nelson, State Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications, chapters 3 and 4.
• Hamilton, J. (1994), "State Space Models," in Handbook of Econometrics, Vol 4, chapter 50.

Other Reading by Topic

State space models and the Kalman filter

• Harvey, A.F. (1987), "Applications of the Kalman Filter in Econometrics," in T.F. Bewely ed. Advances in Econometrics, Fifth World Congress, Vol 1, Cambrigde University Press.
•  

ARCH/GARCH Models

• Bera, A. and M.L. Higgins (1995), "On ARCH Models: Properties, Estimation and Testing," chapter 8 in Surveys in Econometrics, Basil Blackwell.
• Bollerslev et. al. (1994) "ARCH Models," chapter 49 in the Handbook of Econometrics, Vol. 4.
• Diebold, F.X. and J.A. Lopez (1995), "Modeling Volatility Dynamics," NBER Technical Working Paper No. 173.
• Shephard, N. (1996), "Statistical Aspects of ARCH and Stochastic Volatility," in Times Series Models in Econometrics, Finance and Other Fields, D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen eds., Chapman & Hall.

Markov switching

• Lam, P. (1990), "The Hamilton Model with a General Autoregressive Component: Estimation and Comparison with Other Models of Economic Time Series," Journal of Monetary Economics 26, 409-32.

Threshold models

• Tsay

Nueral Networks

• White

Introduction to VAR Models (about 2 lectures)

Textbook

• *C, chapter 7.
• *H, chapters 10-11 (section 1).
• F, chapter 9

Reading packet

• *Sims, C.A. (1980), "Macroeconomics and Reality," Econometrica, 48, 1-48.
• *Darnell, A.C. and J.L. Evans (1990), The Limits of Econometrics, chapter 7 (Sims and Vector Autoregressions), Edward Elgar.
• Lutkepohl, H. (1993), Introduction to Multiple Time Series Analysis, Second Edition, chapter 2.

Other Reading by Topic

Impulse Response Functions

• Sims, C.A. (1992), "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," European Economic Review.
• Killian, L. (1997), "Confidence Intervals for Impulse Responses Under Departures from Normality," working paper, Department of Economics, University of Michigan.
• Killian, L. (1996), "Small-Sample Confidence Intervals for Impulse Response Functions," working paper, Department of Economics, University of Michigan.

Bayesian Methods

• Sims, C.A. and T. Zha (1996), "Bayesian Methods for Dynamic Multivariate Models," unpublished manuscript, Yale University.

Structural Analysis in VAR Models: (1 lecture)

• *H, chapter 11, sections 2-7.
• *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.
• Watson, M. (1995), "VARs and Cointegration" chapter 47 (section 4) in Handbook of Econometrics, Vol 4.

Other Reading by Topic

Structural VARs

• Leeper, E. M., C.A. Sims and T. Zha (1996), "What Does Monetary Policy Do," Brookings Papers on Economic Activity, vol. 2, 1-63.
• Gali, Jordi (1992), "How Well Does the IS/LM Model Fit Postwar U.S. Data?," Quarterly Journal of Economics, 702-738.

Introduction to Multivariate Nonstationary Models: Spurious Regression and Cointegration (about 2 lectures)

• *C, chapter 11.
• *H, chapters 18; chapter 19, section 1.
• Campbell, J.Y. and P. Perron (1991), "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
• 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.

Other Reading by Topic

Spurious Regression

• Phillips, P.C.B. "Understanding Spurious Regression

Inference in Cointegrated Models (about 4 lectures)

• *H, chapter 19, sections 2-3; chapter 20.
• *Johansen, S. (1996), "Likelihood-based Inference for Cointegration of Some Nonstationary Time Series," chapter 2 in Times Series Models in Econometrics, Finance and Other Fields, D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen eds., Chapman & Hall.
• _____ and S. K. Juselius (1992), "Testing Structural Hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, 53, 211-244.
• Juselius, K. and C.P. Hargreaves (1992), "Long-Run Relations in Australian Monetary Data," in C.P. Hargreaves (eds.), Economic Analysis of the Long-Run, Edward Elgar.
• Watson, M. (1995), "VARs and Cointegration" chapter 47 (section 3) in Handbook of Econometrics, Vol 4.

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