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George Monokroussos Department of Economics University at Albany, State University of New York BA 109B, x2-4759 gmonokroussos@albany.

edu http:/www.albany.edu/~gm681884/802.htm Office Hours: Fridays after the lectures (or by appointment).

Economics 802 – Time Series Analysis Fridays 12:10PM-01:30PM, BA 214, and 01:40PM-03:15PM, BA 213

Course Description: This course is intended for 2nd year and advanced PhD students who are interested in time series econometrics, and/or applied macroeconomics. It provides an introduction to the econometric techniques needed for inference and forecasting using time series data, primarily in macroeconomics, but also in finance. Its focus is on both the theoretical foundations and the applications of the various topics covered. Note: This syllabus is a working document and is subject to change. Updated versions will be posted in the Blackboard page for the course.

Required Text:

James D. Hamilton, Time Series Analysis, Princeton University Press, 1994 (also available at the university bookstore).
Other recommended books: Additional books that you may find useful are listed below (in no particular order): Granger, C.W.J., Newbold, P.: Forecasting Economic Time Series, Academic Press (2nd edition, 1986). Enders, Walter: Applied Econometric Time Series, Wiley, 2009. Hayashi, Fumio, Econometrics, Princeton University Press, 2001. Lütkepohl, Helmut, New Introduction to Multiple Time Series Analysis, Springer (2010). White, Halbert, Asymptotic Theory for Econometricians, Academic Press 2000 (Revised Edition). Amemiya, Takeshi, Advanced Econometrics, Harvard University Press 1985. Harvey, Andrew, Time Series Models, MIT Press (2nd edition, 1993).

W. (worth 40% of the grade). Chang-Jin. MIT Press 1999. Structural Time Series Models and the Kalman Filter. C. Clements. . Chapter 4. Forecasting. Topic 1: Univariate Stationary Time Series. Note: * Denotes required readings. * Hamilton Chapters 4. Newbold. Forecasting Economic Time Series. * Hamilton Chapter 3. Oxford University Press 2001. 2nd edition. Academic Press (Boston). Andrew. Durbin. 5. Michael. Thomas J. Nelson. Topic 2: Estimation. Cambridge University Press 1998. There will also be problem sets (worth the remaining 25% of the grade). Topic 0: Difference equations and Lag Operators. * Hamilton Chapters 1. P. Advanced Econometrics. Amemiya. Harvard University Press 1985. Hypothesis Testing. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. I will be referring throughout the semester to papers related to techniques and models covered in class Grading: There will be two in-class exams: a midterm (worth 35% of the grade) and a final. Forecasting.. 2 and Appendix A. Course Outline: (The list below will be getting updated with references as the semester progresses). Sargent. and David Hendry. Additionally. and Siem Jan Koopman.Harvey. Cambridge University Press 1991. Granger.: Forecasting Economic Time Series. Takeshi. James.J. (1987): Macroeconomic Theory. Time Series Analysis by State Space Methods (Oxford Statistical Science Series). and Charles R. Academic Press (2nd edition. Kim. 1986).

371-402. A. “In-sample or out-of-sample tests of predictability: Which one should we use?” Econometric Reviews. Cogley. 64. Michael P. 1986).J. T. 253-278. West. Newbold. 1. Newey. Topic 3: Spectral Analysis – Theory and Applications. 253-263. 10671084.Clements... 1986). D. (2006) “Forecast Evaluation. "Tests for Parameter Instability and Structural Change with Unknown Change Point. 74. Newbold. Wiley. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Granger. S. C. D.K. C. C. and Ulrich Muller (2006). L.J. Kilian. Mariano (1995) “Comparing Predictive Accuracy. Vol. Hendry (1998) Forecasting Economic Time Series. 821-856. F. Enders. * West.” Journal of Business and Economic Statistics.. .W. 13. R. Giacomini. Positive Semi-Definite. Hamilton Chapters 7. 55. (1993). Inoue. Timmerman (eds).” Econometrica. 1545-1578. P. Andrews.W. 703-708. West (1987): “A Simple. and H.” Econometrica. Amsterdam: Elsevier (2006). 17.” Econometrica. White (2004) “Tests of Conditional Predictive Ability. Walter: Applied Econometric Time Series. K. (2005). Graham. X..” Journal of Economic Dynamics and Control. * Diebold.M Nason (1995): “Effects of the Hodrick-Prescott filter on trend and difference stationary time series: Implications for business cycle research. 19. Academic Press (2nd edition. 23(4). W. Granger and A." Econometrica 61. Topic 4: Unit Roots and Time Trends.. and K.: Forecasting Economic Time Series. P. (1996) “Asymptotic Inference about Predictive Ability. Academic Press (2nd edition.” Review of Economic Studies 73 (2006). 16. Elliott. Elliott. K.” 100-134 in Handbook of Economic Forecasting. * Hamilton Chapter 6. 907 – 940.: Forecasting Economic Time Series. and R. and J. and David F. Granger. Cambridge: Cambridge University Press. “Efficient Tests for General Persistent Time Variation in Regression Coefficients. Donald W.8 (review material). * Hamilton Chapters 15. 2009. G.

Topic 5: Covariance Stationary Vector Time Series. 4. 1591-99. * Engle. Granger (1987): “Co-Integration and Error Correction: Representation. * Sims. New York. 277-301. 11 Enders. 20 Enders. 64. Elliott.” Biometrika 75. James (1994). * Johansen. . (1987): “Time Series Regression with a Unit Root. Walter: Applied Econometric Time Series. and W. North Holland. and Trends. * Granger. and M.” Journal of Economic Dynamics and Control. Topic 6: Cointegration. Sims. P.. S.W.” Econometrica 55. 2009. Lütkepohl. Lütkepohl. R. (1988): “Statistical Analysis of Cointegration Vectors.. * Hamilton Chapters 18. (1980): “Macroeconomics and Reality. 251-276. Walter: Applied Econometric Time Series. 427-431. “Unit Roots. * Sims.B. Wiley. Helmut. 231-254.” Econometrica 59.” Econometrica. Helmut. 12.C.J. and Testing. Structural Breaks.” Econometrica 37: 424-38. Christopher A. and Pierre Perron (1988): “Testing for a Unit Root in Time Series Regression. (edited by R. Rothenberg. 335-46. Phillips. Wiley. 55.” Econometrica. Watson (1990): “Inference in Linear Time Series Models with Some Unit Roots. J. Phillips.W.B. and Harald Uhlig (1991): “Understanding Unit Rooters: A Helicopter Tour. Dickey.” Handbook of Econometrics.Stock. and C. C. 48. New Introduction to Multiple Time Series Analysis.” Journal of the American Statistical Association. (1969): “Investigating Causal Relations by Econometric Models and CrossSpectral Methods.J. Springer (2010).” Econometrica 58. Christopher A.” Econometrica. 1-48. Estimation. Engle and D. 19. Stock (1996): “Efficient Tests for an Autoregressive Unit Root. 74. Springer (2010). T. D. Fuller (1979): “Distribution of the Estimators for Autoregressive Time Series with a Unit Root. vol. G. * Hamilton Chapters 10.C. C. 813-836. 2009.. 2740-2841. 113-144. P. Stock. McFadden).. New Introduction to Multiple Time Series Analysis. and J.

MIT Press 1999. Hamilton Chapter 13.” Journal of Econometrics. Topic 9: Nonlinear Univariate Models. Topic 8: State Space Models and the Kalman Filter. 83. Watson (1988): “Testing for Common Trends. and M. and Charles R. J. Wiley. . Further topics (time permitting): Topic 7: Time Series Models for Higher Moments. Walter: Applied Econometric Time Series. Hamilton Chapter 21. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications.* Granger. Nelson. C. Enders.” Journal of the American Statistical Association. Stock. and P.J. 2.W. Walter: Applied Econometric Time Series. 2009. Enders.. Newbold (1974): “Spurious Regressions in Econometrics. 2009. Chang-Jin. 1097-1107. 111-120. Hamilton Chapter 22. Wiley. Kim.