Econ 718
Time Series Econometrics
ARMA
Models
Hamilton,
chapters 2, 3, 6, 10
VAR
Models
Hamilton,
chapter 11
Mark
Watson (1994) “Vector Autoregressions and Cointegration,” Handbook of
Econometrics, vol IV, chapter 47.
Thomas
Cooley and Mark Dwyer (1998) “Business cycle analysis without much theory: A
look at structural VARs” Journal of Econometrics, 83. pdf
Hamilton,
chapters 1, 2, 3, 6, 7, 15-18
Donald
Andrews (1988) “Laws of large numbers for dependent non-identically distributed
random variables,” Econometric Theory. pdf
James
Davidson (1994) Stochastic Limit Theory, Parts III-VI
Robert
de Jong (1997) “Central limit theorems for dependent heterogenous random
variables” Econometric Theory. pdf
Robert de Jong and James Davidson, (2000) “The functional central limit theorem
and weak convergence to stochastic integrals I: weakly dependent processes,” Econometric
Theory. pdf
Whitney
Newey and Kenneth West (1987) “A simple, positive semi-definite,
heteroskedasticity and autocorrelation consistent covariance matrix,” Econometrica.
pdf
Donald
Andrews (1991) “Heteroskedasticity and autocorrelation consistent covariance
matrix estimation,” Econometrica. pdf
Donald
Andrews and Chris Monahan (1992) “An improved heteroskedasticity and
autocorrelation consistent covariance matrix estimator,” Econometrica. pdf
Whitney
Newey and Kenneth West (1994) “Automatic lag selection in covariance matrix
estimation,” Review of Economic Studies. pdf
Robert
de Jong and James Davidson, (2000) “Consistency of kernel estimators of
heteroskedastic and autocorrelated covariance matrices” Econometrica pdf
Nicholas
Kiefer and Timothy Vogelsang (2002) “Heteroskedasticity-Autocorrelation robust
standard errors using the Bartlett kernel without truncation,” Econometrica pdf
Nicholas
Kiefer and Timothy Vogelsang (2005) “A new asymptotic theory for
heteroskedasticity-autocorrelation robust tests.” Econometric Theory pdf
Michael
Jansson (2004) “The error in rejection probability of simple autocorrelation
robust tests,” Econometrica pdf
Masayuki
Hirukawa (2004) “A two-stage bandwidth selection and its implementation in HAC
covariance matrix estimation,” pdf
Yixiao
Sun, Peter Phillips, and Sainan Jin (2006) “Optimal bandwidth selection in
heteroskedasticity-autocorralation robust testing” pdf
Hamilton,
chapter 14
Lars
Hansen, John Heaton and Masao Ogaki (1988) “Efficiency bounds implied by
multiperiod conditional moment restrictions,” Journal of the American
Statistical Association. pdf
Lars
Hansen, John Heaton and Yaron (1996) “Finite-sample properties of some
alternative GMM estimators,” Journal of Business and Economic Statistics.
pdf
Alastair
Hall (2000) “Covariance matrix estimation and the power of the overidentifying
restrictions test,” Econometrica.
pdf
James
Stock and Jonathan Wright (2000) “GMM with Weak Identification” Econometrica pdf
Bruce
Hansen and Kenneth West (2002) “Generalized Method of Moments and
Macroeconomics,” Journal of Business and Economic Statistics. pdf
Manuel
Dominguez and Ignacio Lobato (2004) “Consistent Estimation of Models Defined by
Conditional Moment Restrictions,” Econometrica
pdf.
Qin
and Lawless (1994) “Empirical likelihood and general estimating equations,” Annals
of Statistics. pdf
Yuichi
Kitamura (1997) “Empirical likelihood methods with weakly dependent processes,”
Annals of Statistics. pdf
Yuichi
Kitamura and Mark Stutzer (1997) “An information-theoretic alternative to
generalized method of moments estimation,” Econometrica. pdf
Stanislav
Anatolyev (2005) “GMM, GEL, Serial correlation, and asymptotic bias,” Econometrica, pdf
Hamilton,
chapter 17
James
Stock (1994) “Unit Roots, Structural Breaks and Trends,” Handbook of
Econometrics, vol IV, chapter 46.
Graham
Elliott, Thomas Rothenberg and James Stock (1996) “Efficient tests for an
autoregressive unit root,” Econometrica. pdf
Joon
Park and Peter Phillips (1999) “Asymptotics for nonlinear transformations of
integrated time series” Econometric Theory. pdf
Herman
Bierens (2001) “Complex unit roots and the business cycle: are they real?” Econometric
Theory. pdf
Ulrich
Muller and Graham Elliott (2003) “Tests for unit roots and the initial
condition” Econometrica pdf
Joon
Park and Peter Phillips (2000) “Nonstationary binary choice,” Econometrica, pdf
Hamilton,
chapters 18-20
Mark
Watson (1994) “Vector Autoregressions and Cointegration,” Handbook of
Econometrics, vol IV, chapter 47.
Soren
Johansen (1995) Likelihood-Based Inference in Cointegrated Vector
Auto-Regressive Models
James
Stock and Mark Watson (1993) “A simple estimator of cointegrating estimators in
higher order integrated systems” Econometrica
pdf
Graham
Elliott (1998) “On the robustness of cointegration methods when regressors
almost have unit roots” Econometrica. pdf
Soren Johansen (2002) “A small sample correction for the test of cointegrating
rank in the vector autoregressive model” Econometrica
pdf
Michael
Jansson and Marcelo Moreira (2006) “Optimal inference in regression models with
nearly integrated regressors,” Econometrica
pdf
Donald
Andrews (1993) “Tests for parameter instability and structural change with
unknown change point,” Econometrica. pdf (2003) “Corrigendum” pdf
James
Stock (1994) “Unit Roots, Structural Breaks and Trends,” Handbook of
Econometrics, vol IV, chapter 46.
Jushan
Bai (1997) “Estimation of a change point in multiple regression models” Review
of Economics and Statistics. pdf
Jushan
Bai (1997) “Estimating multiple breaks one at a time” Econometric Theory.
pdf
Bruce Hansen (2000) “Testing
for structural change in conditional models,” Journal of Econometrics, pdf
Bruce
Hansen (2001) “The new econometrics of structural change: dating changes in
U.S. Labor Productivity, Journal of Economic Perspectives. pdf
Donald
Andrews (2003) “End-of-Sample Instability Tests” Econometrica pdf
Hamilton,
chapter 22
James
Hamilton (1989) “A new approach to the econometric analysis of nonstationary
time series and the business cycle” Econometrica. pdf
Terasvirta,
Tjostheim and Granger (1994) “Aspects of Modelling Nonlinear Time Series,” Handbook
of Econometrics, vol IV, chapter 48.
Bruce
Hansen (1996) “Inference when a nuisance parameter is not identified under the
null hypothesis,” Econometrica. pdf
Bruce
Hansen (1997) “Inference in TAR models,” Studies in Nonlinear Dynamics and
Econometrics. pdf
Bruce
Hansen (1999) “Testing for linearity,” Journal of Economic Surveys. pdf
Bruce Hansen (2000)
“Sample Splitting and Threshold Estimation” Econometrica pdf
Pierre
Perron (1989) “The great crash, the oil-price shock and the unit-root
hypothesis,” Econometrica. pdf
Eric
Zivot and Donald Andrews (1992) “Further evidence on the great crash, the
oil-price shock, and the unit-root hypothesis,” Journal of Business and
Economic Statistics. pdf
Robert
de Jong (2001) “Nonlinear estimation using estimated cointegrating relations” Journal of Econometrics, 101. pdf
Mehmet
Caner and Bruce Hansen (2001) “Threshold autoregression with a unit root,” Econometrica.
pdf
Bruce
Hansen and Byeongseon Seo (2002) “Testing for two-regime threshold
cointegration in vector error-correction models,” Journal of Econometrics.
pdf
Helmut
Lutkepohl, Pentti Saikkonen, and Carsten Trenkler (2004) “Testing for the
cointegrating rank of a VAR process with level shift at unknown time,” Econometrica pdf
Myunghwan
Seo (2006) “Bootstrap testing for the null of no cointegration in a threshold
vector error correction model” Journal of
Econometrics pdf
Impulse
Response Analysis
Helmut
Lutkepohl (1990) “Asymptotic distributions of impulse response functions and
forecast error variance decompositions of vector autoregressive models,” Review of Economics and Statistics. pdf
Peter
C.B. Phillips (1998) “Impulse response and forecasts error variance asymptotics
in non-stationary VARs” Journal of
Econometrics. pdf
Lutz
Kilian (1998) “Small-sample confidence intervals for impulse response
functions,” Review of Economics and Statistics. pdf
Christopher
Sims and Tao Zha (1999) “Error bands for impulse responses,” Econometrica.
pdf
Jonathan
Wright (2000) “Confidence Intervals for univariate impulse responses with a
near unit root” Journal of Business and
Economic Statistics. pdf
Graham
Elliott and James Stock (2001) “Confidence intervals for autoregressive
coefficients near one.” Journal of
Econometrics. pdf
Nikolay
Gosposinov (2004) “Asymptotic Confidence Intervals for Impulse Reponses of
Near-Integrated Processes,” Econometrics
Journal pdf
Forecasting
Francis
Diebold and Robert Mariano (1995) “Comparing Predictive Accuracy” Journal of Business and Economic Statistics
pdf
Kenneth
West (1996) “Asymptotic Inference about Predictive Ability” Econometrica pdf
Peter
Christoffersen (1998) “Evaluating Interval Forecasts” International Economic Review pdf
Francis
Diebold, Todd Gunther, and Anthony Tay (1998) “Evaluating Density Forecasts
with Applications to Financial Risk Management” International Economic Review pdf
Nikolay
Gosposinov (2002) “Median unbiased forecasts for highly persistent
autoregressive processes,” Journal of
Econometrics. pdf
Bruce
Hansen (2004) “Interval Forecasts and
Parameter Uncertainty” pdf
Kenneth West (2004) “Forecast
Evaluation” pdf
Valentina Corradi and Norman
Swanson (2004) “Predictive Density Evaluation” pdf
James Stock and Mark Watson
(2005) “An empirical comparison of methods for forecasting using many
predictors” pdf
Max Marcellino, James Stock, and Mark
Watson (2006) “A Comparison of Direct and Iterated Multistep AR Methods
for Forecasting Macroeconomic Time Series” Journal
of Econometrics, forthcoming pdf
Factor
Models
Jushan
Bai and Serena Ng (2002) “Determining the Number of Factors in Approximate
Factor Models,” Econometrica pdf.
Jushan
Bai (2003) “Inferential Theory for Factor Models of Large Dimensions,” Econometrica, pdf
Jushan
Bai and Serena Ng (2004) “A PANIC Attack on Unit Roots and Cointegration” Econometrica, pdf
Jushan
Bai and Serena Ng (2006) “Confidence intervals for diffusion index forecasts
and inference for factor-augmented regressions” Econometrica, pdf
NonParametric
Time Series
Peter
Hall, S.N. Lahiri, and Y.K. Truong (1995) “On bandwidth choice for density
estimation with dependent data” Annals of
Statistics pdf
Jianqing
Fan, Qiwei Yao and Howell Tong (1996) “Estimation of conditional densities and
selectivity measures in dynamical systems,” Biometrika. pdf
Peter
Robinson (1997) “Large-sample inference for nonparametric regression with
dependent errors” Annals of Statistics
pdf
Jianqing
Fan and Qiwei Yao (1998) “Efficient estimation of conditional variance
functions in stochastic regression” Biometrika
pdf
Peter
Hall, R.C.L. Wolff and Qiwei
Peter
Hall and Brett Presnell (1999) “Density Estimation under Constraints”, Journal
of Computational and Graphical Statistics. pdf
Jianqing
Fan and Qiwei Yao (2003) Nonlinear Time
Series: Nonparametric and Parametric Methods
Peter
Hall (1994) “Methodology and theory for the Bootstrap,” Handbook of
Econometrics, vol IV, chapter 39.
Peter
Hall (1992) The Bootstrap and Edgeworth Expansion.
Bradley
Efron and Tibshirani (1993) An Introduction to the Bootstrap.
Shao
and Tu (1995) The Jackknife and Bootstrap.
A.C.
Davison and D.V. Hinkley (1997) Bootstrap Methods and Their Application.
Dimitris
Politis, Romano and Michael Wolf (1999) Subsampling.
Joel
Horowitz (2001) “The Bootstrap”, Handbook of Econometrics, vol V,
chapter 52.
Peter
Buhlmann (2002) “Bootstraps for Time Series,” Statistical Science. pdf
Wolfgang
Hardle, Joel Horowitz and Kreiss (2002) “Bootstrap methods for time series,” International
Statistical Review, forthcoming. pdf
Bose
(1988) “Edgeworth correction by bootstrap in autoregressions,” Annals of
Statistics. pdf
Choi
and Peter Hall (2000) “Bootstrap confidence regions computed from
autoregressions of arbitrary order,” Journal of the Royal Statistical
Society, Series B. pdf
Sílvia Gonçalves and Lutz Kilian (2004) “Bootstrapping autoregressions with
conditional heteroskedasticity of unknown form” Journal of Econometrics pdf
Dimitris
Politis and Joseph Romano (1994) “The stationary bootstrap,” Journal of the
American Statistical Association. pdf
Peter
Hall, Joel Horowitz, and B-Y Jing (1995) “On blocking rules for the bootstrap,”
Biometrika. pdf
Gotze
and Kunsch (1996) “Second-order correctness of the Blockwise bootstrap for
stationary observations,” Annals of Statistics. pdf
Lahiri
(1999) “Theoretical comparisons of block bootstrap methods,” Annals of
Statistics. pdf
Janis
Zvingelis (2001) “On bootstrap coverage probability with dependent data,” in Computer
Aided Econometrics. pdf
Silvia
Goncalves and Halbert White (2002) “The bootstrap of the mean for dependent
heterogeneous arrays,” Econometric Theory. pdf
Donald
Andrews (2004) “The Block-Block Bootstrap: Improved Asymptotic Refinements,” Econometrica, pdf
Peter
Hall and Joel Horowitz (1996) “Bootstrap critical values for tests based on
generalized-method-of-moments estimation,” Econometrica. pdf
Donald
Andrews (2002) “Higher-order improvements of a computationally attractive
k-step bootstrap for extremum estimators,” Econometrica. pdf
Atsushi
Inoue and Mototsugu Shinani (2006) “Bootstrapping GMM estimator for time
series.” Journal of Econometrics, pdf
Bryan
Brown and Whitney Newey (2002) “GMM, bootstrapping, and improved inference,” Journal
of Business and Economic Statistics. pdf
Halbert
White (2000) “A reality check for data snooping” Econometrica. pdf
Basawa,
Mallik, McCormick, Reeves, Taylor (1991) “Bootstrapping unstable first-order
autoregressive processes” Annals of Statistics. pdf
Bruce
Hansen (1999) “The grid bootstrap and the autoregressive model,” Review of
Economics and Statistics. pdf
Joseph
Romano and Michael Wolf (2001) “Subsampling intervals in autoregressive models
with linear time trend” Econometrica pdf
Atsushi
Inoue and Lutz Kilian (2002) “Bootstrapping autoregressive processes with
possible unit roots” Econometrica pdf
Joon
Park (2002) “An invariance principle for sieve bootstrap in time series” Econometric
Theory. pdf
Efstathios
Paparoditis and Dimitris Politis (2003) “Residual-Based Block Bootstrap for
Unit Root Testing” Econometrica pdf
Joon
Park (2006) “A bootstrap theory for weakly integrated processes,” Journal of Econometrics pdf
Efstathios
Paparoditis and Dimitris Politis (2001) “A Markovian local resampling scheme
for nonparametric estimators in time series analysis,” Econometric Theory.
pdf
Efstathios
Paparoditis and Dimitris Politis (2002) “The Local Bootstrap for Markov
processes” Journal of Statistical Planning and Inference. pdf
Andrews
(2001) “Higher-order improvements of the parametric bootstrap for Markov
processes” pdf
Joel
Horowitz (2003) “Bootstrap methods for Markov processes,” Econometrica pdf
ARCH
Gabriele
Fiorentini, Enrique Sentana and Neil Shephard (2004) “Likelihood-based
estimation of latent generalized ARCH structures,” Econometrica pdf
Soren
Tolver Jensen and Anders Rahbek (2004) “Asymptotic normality of the QMLE
estimating of ARCH in the nonstationary case” Econometrica pdf
Oliver
Linton and
Financial
Econometrics
Federico
Bandi and Peter C.B. Phillips (2003) “Fully nonparametric estimation of scalar
diffusion models” Econometrica pdf
Torben
Andersen, Tim Bollerslev, Francis Diebold and Paul Labys (2003) “Modeling and
forecasting realized volatility” Econometrica
pdf
Yacine
Ait-Sahalia and Per Mykland (2003) “The effects of random and discrete sampling
when estimating continuous-time diffusions,” Econometrica pdf
Ole
Barndorff-Nielsen and Neil Shephard: (2004) “Econometric analysis of realized
covariation: High frequency based covariance, regression, and correlation in
financial econometrics” Econometrica pdf
Torben
Andersen, Tim Bollerslev, and Nour Meddahi (2005) “Correcting the errors:
Volatility forecast evaluation using high-frequency data and realized
volatility,” Econometrica pdf
Model
Selection
Werner
Ploberger and Peter C.B. Phillips (2003) “Empirical limits for time series
econometric models,” Econometrica pdf
Joseph
Romano and Michael Wolf (2005) “Stepwise multiple testing as formalized data
snooping,” Econometrica pdf
Rissanen
(1986) “Order estimation by accumulated prediction errors,” Journal of Applied Probability pdf
Burman
and Nolan (1992) “Data dependent estimation of prediction functions” Journal of Time Series Analysis pdf
Burman,
Chow, and Nolan (1994) “A cross-validatory method for dependent data” Biometrika pdf
Ching-Kang
Ing (2004) “Selecting optimal multistep
predictors for autoregressive processes of unknown order”, Annals of Statistics pdf
Ching-Kang
Ing and Ching-Zong Wei (2005) “Order
selection for same-realization predictions in autoregressive processes”, Annals of Statistics pdf
Ching-Kang
Ing (2006) “Accumulated prediction errors, information criteria and optimal
forecasting for autoregressive time series”, Annals of Statistics , forthcoming, pdf
Ching-Kang
Ing, Jin-Lung Lin and Shu-Hui Yu (2006) “Toward optimal multistep forecasts in
unstable autoregressions,” pdf