Advanced Search
MyIDEAS: Login to save this paper or follow this series

Time Series Analysis

Contents:

Author Info

  • Francis X. Diebold

    ()
    (Department of Economics, University of Pennsylvania)

  • Lutz Kilian

    ()
    (Department of Economics, University of Michigan)

  • Marc Nerlove

    ()
    (Department of Agricultural and Resource Economics, University of Maryland)

Abstract

We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://economics.sas.upenn.edu/system/files/working-papers/06-019.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 06-019.

as in new window
Length: 24 pages
Date of creation: 01 May 2006
Date of revision:
Handle: RePEc:pen:papers:06-019

Contact details of provider:
Postal: 3718 Locust Walk, Philadelphia, PA 19104
Phone: 215-898-9992
Fax: 215-573-2378
Email:
Web page: http://economics.sas.upenn.edu/pier
More information through EDIRC

Related research

Keywords: time series analysis; time domain; frequency domain;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, American Economic Association, vol. 79(4), pages 655-73, September.
  2. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring monetary policy," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco 95-09, Federal Reserve Bank of San Francisco.
  3. Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
  4. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 783-820, July.
  5. Hatanaka, Michio, 1975. "On the Global Identification of the Dynamic Simultaneous Equations Model with Stationary Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 545-54, October.
  6. David M. Grether & Marc Nerlove, 1968. "Some Properties of 'Optimal' Seasonal Adjustment," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 261, Cowles Foundation for Research in Economics, Yale University.
  7. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 2(2), pages 111-120, July.
  8. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, Elsevier, vol. 16(1), pages 121-130, May.
  9. Peter R. Winters, 1960. "Forecasting Sales by Exponentially Weighted Moving Averages," Management Science, INFORMS, INFORMS, vol. 6(3), pages 324-342, April.
  10. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  11. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, American Economic Association, vol. 83(1), pages 264-72, March.
  12. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct.
  13. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier, Elsevier.
  14. Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521321969.
  15. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
  16. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
  17. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  18. Uhlig, H.F.H.V.S. & Ravn, M., 1997. "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper, Tilburg University, Center for Economic Research 1997-50, Tilburg University, Center for Economic Research.
  19. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
  20. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  21. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(06), pages 808-817, December.
  22. Hannan, E J, 1971. "The Identification Problem for Multiple Equation Systems with Moving Average Errors," Econometrica, Econometric Society, Econometric Society, vol. 39(5), pages 751-65, September.
  23. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
  24. James H. Stock, 1991. "Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0105, National Bureau of Economic Research, Inc.
  25. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198523543, October.
  26. Simon Kuznets & Elizabeth Jenks, 1961. "Capital in the American Economy: Its Formation and Financing," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number kuzn61-1.
  27. Burridge, Peter & Wallis, Kenneth F, 1984. "Calculating the Variance of Seasonally Adjusted Series," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 251, University of Warwick, Department of Economics.
  28. Jon Faust, 1998. "The robustness of identified VAR conclusions about money," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 610, Board of Governors of the Federal Reserve System (U.S.).
  29. Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," NBER Working Papers 11285, National Bureau of Economic Research, Inc.
  30. Nelson, Charles R & Kang, Heejoon, 1979. "Spurious Periodicity in Inappropriately Detrended Time Series," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 161, University of Warwick, Department of Economics.
  31. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 107, Board of Governors of the Federal Reserve System (U.S.).
  32. Marc Nerlove, 1967. "Distributed Lags and Unobserved Components in Economic Time Series," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 221, Cowles Foundation for Research in Economics, Yale University.
  33. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 25(1), pages 49-99, January.
  34. Durlauf, Steven N & Phillips, Peter C B, 1988. "Trends versus Random Walks in Time Series Analysis," Econometrica, Econometric Society, Econometric Society, vol. 56(6), pages 1333-54, November.
  35. H. Theil & S. Wage, 1964. "Some Observations on Adaptive Forecasting," Management Science, INFORMS, INFORMS, vol. 10(2), pages 198-206, January.
  36. Jon Faust & Eric Swanson & and Jonathan H. Wright, 2002. "Identifying vars based on high frequency futures data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 720, Board of Governors of the Federal Reserve System (U.S.).
  37. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  38. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 14(2), pages 227-238, October.
  39. Faust, Jon, 1998. "The robustness of identified VAR conclusions about money," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 49(1), pages 207-244, December.
  40. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 131-159, November.
  41. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 33(3), pages 311-340, December.
  42. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 768, Cowles Foundation for Research in Economics, Yale University.
  43. Sargan, J D & Bhargava, Alok, 1983. "Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle," Econometrica, Econometric Society, Econometric Society, vol. 51(3), pages 799-820, May.
  44. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 165-188.
  45. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521562607.
  46. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  47. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 3-30, September.
  48. Wallis, Kenneth F, 1977. "Multiple Time Series Analysis and the Final Form of Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 45(6), pages 1481-97, September.
  49. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  50. M. Nerlove & S. Wage, 1964. "On the Optimality of Adaptive Forecasting," Management Science, INFORMS, INFORMS, vol. 10(2), pages 207-224, January.
  51. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 1(4), pages 299-307, October.
  52. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
  53. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  54. Hannan, E J, 1976. "The Identification and Parameterization of ARMAX and State Space Forms," Econometrica, Econometric Society, Econometric Society, vol. 44(4), pages 713-23, July.
  55. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, National Bureau of Economic Research, Inc, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Francis X. Diebold & Lutz Kilian, 1998. "Measuring Predictability: Theory and Macroeconomic Applications," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 98-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  2. Nyankori, James Cyprian Okuk & Wabukawo, Veronica & Sakyi-Dawson, Esther & Sefa-Dedeh, Sam, 2002. "Product Life Cycle Model Of Cowpea Based Products In Ghana," Working Papers, Clemson University, Department of Agricultural and Applied Economics 18803, Clemson University, Department of Agricultural and Applied Economics.
  3. R. Scott Hacker & Hyunjoo Kim Karlsson & Kristofer Månsson, 2012. "The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach," The World Economy, Wiley Blackwell, Wiley Blackwell, vol. 35(9), pages 1162-1185, 09.
  4. Jonas Dovern, 2006. "Predicting GDP Components. Do Leading Indicators Increase Predictability?," Kiel Advanced Studies Working Papers, Kiel Institute for the World Economy 436, Kiel Institute for the World Economy.
  5. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0401, Econometric Society.
  6. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-04, Board of Governors of the Federal Reserve System (U.S.).
  7. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany.
  8. Andersson, Fredrik N. G. & Edgerton, David & Opper, Sonja, 2011. "A Matter of Time: Revisiting Growth Convergence in China," Working Papers, Lund University, Department of Economics 2011:23, Lund University, Department of Economics, revised 01 Mar 2012.
  9. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 144, Money Macro and Finance Research Group.
  10. Thabo M. Mokoena & Gupta, R. & Van Eyden, R., 2009. "Half-Life Deviations from PPP in the South African Development Community (SADC)," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 9(1).
  11. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7266, C.E.P.R. Discussion Papers.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pen:papers:06-019. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dolly Guarini).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.