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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 13.2.
 H, chapters 1 3.
 MK, chapters 1 and 2.


Estimation, Forecasting
and Asymptotic Theory 
Textbook
Readings 
Additional
Readings 
 F, sections 3.33.5.
 H, chapters 4 (pgs. 7285, 102113), 5 (117126, 133148) and 7 (main
result is Proposition 7.11)

 Diebold, F.X. (1998), "The Past and Present of
Macroeconomic Forecasting," Journal of Economic Perspectives, 12,
175192.
 *Diebold, F.X. and R.S. Mariano (1995), "Comparing Predictive Accuracy," Journal
of Business and Economic Statistics, 13, 253265.
 Mark, N. (1995), "Exchange Rates and Fundamentals:
Evidence on LongHorizon 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 1517.
 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, 139162.
 *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 BeveridgeNelson 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 89.
 MK, chapter 13, sections 15.

 BenDavid, 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, 453475.
 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), "WaldType Tests for Detecting Breaks
in the Trend Function of a Dynamic Time Series," Econometric Theory, Vol.
13(6), 818849.
 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, 25170.
 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, 11.111.6

 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, HumboldtUniversitat zu Berlin.
 Sims, C.A. (1980), "Macroeconomics and Reality," Econometrica, 48,
148. 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 17.

 Blanchard, O.J. and D. Quah (1989), "The Dynamic Effects of
Aggregate Demand and Supply Disturbances," American Economic Review,
79, 655673.
 Bernanke, B. (1986), "Alternative Explanations of the
MoneyIncome Correlation," Carnegie Rochester Conference Series on Public
Policy, 25, 4999.
 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, 709735.
 Jorda, Oscar (1999). Lecture notes on VAR modeling,
Lecture
notes on dynamic modeling. (UC Davis)
 King, R.G. and M. Watson (1997), "Testing LongRun 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, PD (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 longrun 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 13) 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 

Inference in Cointegration Models 
Textbook
Readings 
Additional
Readings 
 F, chapter 10.
 H, chapters 19 and 20.
 MK, chapter 6


 *Johansen, S. (1996), "Likelihoodbased Inference for
Cointegration of Some Nonstationary Time Series," chapter 2 in D.R. Cox, D.V.
Hinkley and O.E. BarndorffNielsen (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

Textbook
Readings

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), 114.
 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)

