Teaching

Time Series Econometrics

Graduate course materials, assignments, dataset, and readings.

Materials

Course resources

Syllabus

Last updated May 10, 2021

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Lecture Notes

Print chapter by chapter if bringing notes to class; the source notes were updated as the course proceeded.

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Assignment 1

In class

Note
Assignment 2

In class

Note
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References

Reading list

  1. Baillie, R. T. and Bollerslev, T. (1989). The message in daily exchange rates: A conditional-variance tale. Journal of Business & Economic Statistics, 7(3):297-305.
  2. Baxter, M. and King, R. G. (1999). Measuring business cycles: Approximate band-pass filters for economic time series. The Review of Economics and Statistics, 81(1):575-593.
  3. Beaudry, P. and Portier, F. (2006). Stock prices, news, and economic fluctuations. American Economic Review, 96(4):1293-1307.
  4. Bernanke, B. S., Boivin, J., and Eliasz, P. (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. The Quarterly Journal of Economics, 120(1):387-422.
  5. Blanchard, O. J. (1989). A traditional interpretation of macroeconomic fluctuations. The American Economic Review, 79(5):1146-1164.
  6. Cochrane, J. H. (1988). How big is the random walk in GNP? Journal of Political Economy, 96(5):893-920.
  7. Diebold, F. X. and Nerlove, M. (1989). The dynamics of exchange rate volatility: A multivariate latent factor arch model. Journal of Applied Econometrics, 4(1):1-21.
  8. Engel, C. and Hamilton, J. D. (1990). Long swings in the dollar: Are they in the data and do markets know it? American Economic Review, 80(4):689-713.
  9. Engle, R. F. and Ng, V. K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48(5):1749-1778.
  10. Fama, E. F. and French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2):427-465.
  11. Filardo, A. J. (1994). Business-cycle phases and their transitional dynamics. Journal of Business & Economic Statistics, 12(3):299-308.
  12. Gali, J. (1999). Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review, 89(1):249-271.
  13. Hall, R. E. (1978). Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence. Journal of Political Economy, 86(6):971-987.
  14. Hansen, L. P. and Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 88(5):829-853.
  15. Harvey, A. and Jaeger, A. (1993). Detrending, stylized facts and the business cycle. Journal of Applied Econometrics, 8(3):231-247.
  16. Nelson, C. R. and Plosser, C. I. (1982). Trends and random walks in macroeconomic time series. Journal of Monetary Economics, 10(2):139-162.
  17. Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6):1361-1401.
  18. Sims, C. A. (1972). Money, income, and causality. American Economic Review, 62(4):540-552.
  19. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1):1-48.
  20. Stock, J. H. and Watson, M. W. (1989). Interpreting the evidence on money-income causality. Journal of Econometrics, 40(1):161-181.
  21. Stock, J. H. and Watson, M. W. (1999). Chapter 1: Business cycle fluctuations in US macroeconomic time series. In Handbook of Macroeconomics, volume 1, pages 3-64. Elsevier.