|
|
|
|
|
|
1 |
|
|
|
Univariate Time Series |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.1 |
|
|
|
Introduction, stochastic processes, stationarity, models for trends and detrending. |
|
|
|
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapter 1.
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 3.
- W. Enders. Applied Econometric Time Series. New York: Wiley, 1995. 2-3.
- C. Nelson, and C. Plosser. “Trends and Random Walks in Macroeconomic Time Series." In Journal of Monetary Economics 10 (1982): 139-162.
|
|
|
|
|
|
|
|
|
|
|
|
|
1.2 |
|
|
|
Stationary time series models, ARMA models, ACF, PACF, lag operators, linear difference equations. |
|
|
|
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapters 2, 3.
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapters 1-3.
- W. Enders. Applied Econometric Time Series. New York: Wiley, 1995. 1-2.
|
|
|
|
|
|
|
|
|
|
|
|
|
1.3 |
|
|
|
Spectral representation, spectral densities of ARMA models. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 6.
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapter 4.
|
|
|
|
|
|
|
|
|
|
|
|
|
1.4 |
|
|
|
Wald decomposition and prediction of stationary time series. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 4.
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapter 5.
|
|
|
|
|
|
|
|
|
|
|
|
|
1.5 |
|
|
|
Estimation of time series models. Least squares, ML and frequency domain techniques. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 5.
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapters 8 and 10.
|
|
|
|
|
|
|
|
|
|
|
|
|
1.6 |
|
|
|
Specification testing, order selection. |
|
|
|
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapter 9.
- Andrews and Ploberger. “Testing for Serial Correlation Against an ARMA (1, 1) Process.” In Journal of the American Statistical Association 91 (1996): 1331-1342.
- Breusch. “Testing for Autocorrelation in Dynamic Linear Models.” In Australian Economic Papers 17 (1978): 534-355.
- Godfrey. “Testing Against General Autoregressive and Moving Average Error Models when the Regressors include Lagged Dependent Variables.” In Econometrica 46 (1978): 1293-1303.
- B.M. Pötscher. ”Estimation of Autoregressive Moving-Average Order Given an Infinite Number of Models and Approximation Of Spectral Densities.” In Journal of Time Series Analysis Vol. 11, No 2 (1990): 165-179.
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
|
|
|
Multivariate Models |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2.1 |
|
|
|
Vector autoregressions, impulse response functions, variance decomposition, identification, exogeneity, causality. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 11.
- P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991. Chapter 11.
- W. Enders. Applied Econometric Time Series. New York: Wiley, 1995. Chapter 5.
- O. Blanchard, and D.Quah. "The Dynamic Effects of Aggregate Demand and Supply Disturbances.” In The American Economic Review (1989): 655-672.
- C. A. Sims. “Money, Income and Causality.” In American Economic Review 62 (1972): 540-552.
|
|
|
|
|
|
|
|
|
|
|
|
|
2.2 |
|
|
|
Multivariate nonlinear models, GMM estimation, covariance matrix estimation. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 14.
- L.P. Hansen. “Large Sample Properties of Generalized Method of Moments Estimators.” In Econometrica 50 (1982): 1029-1053.
- L.P. Hansen, and K.J. Singleton. “Generaliuzed Instrumental Variables Estimation of Nonlinear Rational Expectation Models.” In Econometrica 50:5 (1982): 1269-1286.
- W. Newey, and K.West. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covaiance Matrix.” In Econometrica 55 (3) (1987): 703-708.
|
|
|
|
|
|
|
|
|
|
|
|
|
3 |
|
|
|
Time Series Models for Integrated Processes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.1 |
|
|
|
Regressions with integrated regressors, testing for unit roots. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 17.
- P.C.B. Phillips. “Understanding Spurious Regressions in Econometrics.” In Journal of Econometrics 33 (1986): 311-340.
- P.C.B. Phillips. “Time Series Regression with a Unit Root.” In Econometrica 55 (1987): 277-302.
- P.C.B. Phillips, and P. Perron. “Testing for a Unit Root in Time Series Regression." In Biometrika 75 (1987): 335-346.
- Schmidt, and P.C.B. Phillips. “LM Tests for a Unit Root in the Presence of Deterministic Trends.” In Oxford Bulletin of Economics and Statistics 54 (1992): 257-289.
|
|
|
|
|
|
|
|
|
|
|
|
|
3.2 |
|
|
|
Multiple time series with unit roots, cointegration, estimation and cointegrating vectors. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapters 18, 20.
- R. Engle, and C. Granger. ”Cointegration and Error Correction, Representation, Estimation and Testing.” In Econometrica 55 (1987): 251-276.
- S. Johansen. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” In Econometrica 59 (1991): 1551-1580.
|
|
|
|
|
|
|
|
|
|
|
|
|
3.3 |
|
|
|
Testing for Cointegration. |
|
|
|
- J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994. Chapter 19.
- P.C.B. Phillips, and S. Ouliaris. “Asymptotic Properties of Residual Based Tests for Cointegration.” In Econometrica 58 (1990): 165-193.
- J. Stock, and M. Watson. “Testing for Common Trends.” In Journal of the American Statistical Association 83(404) (1988): 1097-1107.
- J.Y. Campbell, and R.J. Shiller. “Cointegration and Tests of Present Value Models.” In Journal of Political Economy 95 (1987): 1062-1088.
|
|
|
|
|
|
|