Economics 584:  Time Series Econometrics

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Syllabus

Spring 2006

Last updated: May 31, 2006

Note: H denotes "Hamilton", HY denotes "Hayashi",  "C" denotes Cochrane, and MFTS denotes "Modeling Financial Time Series with S-PLUS".  * denotes the most relevant reading.

Stationary Univariate Models, Estimation and Model Selection

Textbook Readings

Additional Readings
  • C, chapters 1-4, and 6
  • H, chapters 1- 3.
  • HY, chapter 2, section 2; chapter 6, sections 1 and 2.
  • MFTS, 3 (sections 1-4).

 State-Space Models, Forecasting and  Asymptotic Theory

Textbook Readings

Additional Readings
  • C, chapter 5
  • H, chapters 4 (pgs. 72-85, 102-113), 5 (117-126, 133-148) 7 (main result is Proposition 7.11), and 13 (sections 1 - 5)

 Introduction to Univariate Nonstationary Time Series

Textbook Readings

Additional Readings
  • C, chapter 10
  • H, chapters 14, 15.
  • HY, chapter 9.
  • MFTS, chapter 14.
  • Beveridge, S. and C.R. Nelson (1981), "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle," Journal of Monetary Economics, 7, 151-74.
  • Campbell, J. and G. Mankiw (1987), "Are Output Fluctuations Transitory?," American Economic Review.
  • Clark. P.K. (1987), "The Cyclical Component of U.S. Economic Activity," Quarterly Journal of Economics. Available in JSTOR.
  • *Morley, J., C.R. Nelson and E. Zivot (2003), "Why are Beveridge Nelson and Unobserved Components Decompositions of GDP so Different?," Review of Economics and Statistics.
  • *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., J. Wang and S.-J. Koopman (2003). "State Space Modeling in Macroeconomics and Finance using SsfPack in S+FinMetrics". 
  • Zivot, E. (2006). Lecture notes on trend-cycle decompositions. (updated: April 18, 2006)
  • Zivot, E. (2006). Class slides on trend-cycle decompositions; Powerpoint examples.  (updated: April 18, 2006).

 Asymptotics for Nonstationary Data and Unit Root Tests

Textbook Readings

Additional Readings
  • H, chapter 17.
  • HY, chapter 9.
  • MFTS, chapter 4.
  • *Campbell, J.Y. and P. Perron (1991), "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
  • Kiwiatkowski, D., Phillips, P.C.B., Schmidt, P., and Shin, Y. (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: 159-178.
  • Phillips, P.C.B. (1987), "Time Series Regression with a Unit Root," Econometrica, 55, 277-301.
  • 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.
  • Ng, S., and P. Perron (1995). "Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag," Journal of the American Statistical Association, 90, 268-281.
  • Elliot, G., T.J. Rothenberg, and J.H. Stock (1996). "Efficient Tests for an Autoregressive Unit Root," Econometrica, 64, 813-836.
  • Ng, S., and P. Perron (2001). "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, 69, 1519-1554.
  • Zivot, E. (2005). Class slides on unit root tests. (updated: April 26, 2006)
  • Zivot, E. (2005). Class slides on unit root tests part II (updated: April  26, 2006)
  • Zivot, E. (2006). Class slides on asymptotics for nonstationary processes. (updated: April 26, 2006).

 

 Structural Change and Nonlinear Models (not covered in class)

Textbook Readings

Additional Readings
  • *Andrews, D.W.K. (1993), "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, 59, 817-858.
  • Andrews, D.W.K. and W. Ploeberger (1994), "Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative," Econometrica, 62, 1383-1414.
  • *Bai, J. and P. Perron (1998), "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, 66, 47-78.
  • Bai, J. and P. Perron (2002), "Computation and Analysis of Multiple Structrual Change Models," Journal of Applied Econometrics, 18, 1-22.
  • 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.
  • Greene, Econometric Analysis 5th Edition, chapter 7 (section 5).
  • Hansen, B.E. (1992). "Testing for Parameter Instability in Linear Models, Journal of Policy Modeling, 14(4), 517-533.
  • Sakoulis, G. and E. Zivot (2004), "Time Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis," Working Paper, Department of Economics, University of Washington.
  • *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. Re-printed in Journal of Business and Economic Statistics, 20(1), January 2002.

Introduction to Stationary VAR Models

Textbook Readings

Additional Readings
  • C, chapter 7
  • H, chapters 10, 11.1-11.6
  • MFTS, chapter 11
  • Canova, F. (1995), "The Economics of VAR Models," chapter 3 in Hoover, K.D. (ed.) Macroeconometrics: Developments, Tensions, and Prospects, Kluwer.
  • Lutkepohl, H. (2000), "Vector Autoregressions," Chapter 32 in Baltagi, B. (ed.) A Companion to Theoretical Econometrics. Basil Blackwell.
  • 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.
  • *Stock and Watson (2001), "Vector Autoregressions", Journal of Economic Perspectives, 15(4).
  • *Zivot, E. (2005). Class slides on multivariate time series and VAR models (updated: May 3, 2006). Powerpoint examples.

Structural VAR Models

Textbook Readings

Additional Readings
  • H, chapter 11, sections 1-7.

 Spurious Regression and Cointegration

Textbook Readings

Additional Readings
  • C, chapter 11
  • H, chapters 18; chapter 19, section 1.
  • HY, chapter 10.
  • MFTS, chapter 12.
  • Campbell, J.Y. and P. Perron (1991), "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Macroeconomics Annual, Cambridge, MA: MIT Press.
  • *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 (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.
  • Zivot, E. (2000), "Cointegration and Forward and Spot Exchange Rate Regressions," Journal of International Money and Finance.
  • Zivot, E. (2005). Class slides on cointegration (updated: May 31, 2006). Powerpoint examples.
  • Zivot, E. (2005). Class slides on cointegration part 2 (updated: May 31, 2006).

Structural VARs and Cointegration

Textbook Readings

Additional Readings