Slides Linear Time Series in the Time Domain

Reading: Fernandez-Villaverde, J., Rubio-Ramirex, J.F., Sargent, T.J. and Watson, M.W. (2007), "ABCs (and Ds) of Understanding VARs," American Economic Review, 97, 1021-1026. VARs, state-space reps, invertibility, much else. Your head will be spinning...

Light Reading: "The Meaning of Slutzky," FRB Minneapolis Review, December 2009. The rare pop account that's both beautifully-written and well-informed.

Even Lighter Reading: Read about Nobel Prize winners Frisch, Tinbergen, Kuznets, Tobin, Klein, Modigliani, Friedman, Lucas, Engle, Granger, Prescott, Sargent, and Sims. Each made extensive use of, and contributions to, the analysis of economic time series.

Slides Linear Time Series in the Frequency Domain

Reading, Cogley, T. (2008), "Data Filters," in L. Blume and S. Durlauf (eds.), The New Palgrave Dictionary of Economics, Second Edition. London: Macmillan. Short, sweet, useful.

Reading, Cogley, T., Sargent, T.J. and Surico, P. (2011), "The Return of the Gibson Paradox," Manuscript, NYU. Frequency-domain analysis of the Gibson paradox in terms of low-frequency comovements between inflation and nominal interest rates.

Slides Elements of Markovian Structure

Reading: Tauchen, G. (1986), "Finite-State Markov Chain Approximations to Univariate and Vector Autoregressions," Economics Letters, 177-181. Simple and still useful.

Slides State Space and the Kalman Filter

Reading: Harvey, A.C. (2008), "Modeling the Phillips Curve with Unobserved Components," Manuscript, Cambridge University. Unobserved-components modeling in state space, using the Kalman filter (smoother) for estimation and component extraction, by a master of the genre.

Slides Simulation and Simulation-Based Methods

Reading: Goncalves, S. and Perron, B. (2011), "Bootstrapping Factor-Augmented Regression Models," Manuscript, University of Montreal. Interesting recent bootstrap implementation in FAVAR context. To be presented at Penn by Gonclaves in 23 April 2012 Econometrics Workshop.

Slides Gaussian MLE in Time and Frequency Domains (Including Numerical Optimization)

Reading: Diebold, F.X., Rudebusch, G.D. and Aruoba, B. (2006), “The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach,” Journal of Econometrics, 131, 309-338. The Diebold-Li dynamic-factor yield curve model generalized to include macroeconomic variables, written in state-space form, estimated using the the Kalman filter, analyzed using impulse-response functions, etc.

Slides Bayesian Analysis and Filtering

Slides Integration, Cointegration and Long Memory

Slides Nonlinear/Non-Gaussian State Space

Reading: Hamilton, J. (2008), "Regime-Switching Models," in L. Blume and S. Durlauf (eds.), The New Palgrave Dictionary of Economics, Second Edition. London: Macmillan. Another piece from the New Palgrave; again, short, sweet, useful.

Slides Volatility

Readings:

Andersen, T.G., Bollerslev, T., Christoffersen, P.F. and Diebold, F.X. (in press), "Financial Risk Measurement for Financial Risk Management," in G. Constantinedes, M. Harris and Rene Stulz (eds.), Handbook of the Economics of Finance, Elsevier.

Andersen, T., Bollerslev, T., Diebold, F.X. and Labys, P. (2003), "Modeling and Forecasting Realized Volatility," Econometrica, 71, 529-626.

Slides "Seminar 1"

Slides "Seminar 2"