REVISED 10/15/09
AREC699, Fall 2009: Special Topics in Econometrics, Seminar/Study Group
Time-Series Econometrics
Dates, Times, Topics and
Rules of the game:
At least six
students must register for one or two credits by August 14, 2009. Otherwise,
this course is cancelled. No audits are permitted.
All students who have taken AREC 623/624 Applied Econometrics, or its equivalent, are eligible for this Seminar/Study Group. Those who are required to take Professor Just's AREC869J may register for his course but attend the Seminar/Study Group to receive credit.
Three credits AREC 699 will count as one three-credit field course in applied econometrics if all three units are taken for a letter grade (not S/U or P/F). This credit will not count toward fulfilling the requirement of one two-course field of the three offered in the department as described at
http://www.arec.umd.edu/Academics/Graduate/PhDProgram/CourseRequirements.cfm
.
No other AREC 699 credit may be used to fulfill the requirement of 6 second-year field courses in the PhD program.
You can take Special Topics in Econometrics more than once for one or two credits in order to fulfill the requirement of three credits for a field course in applied econometrics.
You should also be aware that while students can take AREC 869J and attend AREC 699 course meetings in lieu of most other attendance requirements, credit for AREC 869J with that approach cannot be combined with two other credits of AREC 699 to constitute the equivalent of a field-level course.
Each student, who wishes to attend our study group, whether registered for independent study with me or AREC669J with Professor Just, must attend the organizational session on Monday, September 21, 3:30-5:30, Room 2200B, to assume responsibility for presenting all or part of one of the following topics. Thereafter, each must attend every one of the 2-hour sessions on each of the topics, do the suggested reading, and participate. If there is not a quorum of at least 6 students, the session will be cancelled. Failure to attend the organizational session will mean the student will not be allowed to attend further sessions. If you fail to attend other sessions during the semester,
I may throw you out. Come to our organizational meeting prepared to choose your topic.
Apart from the organizational meeting, we will meet on Mondays from 3:30 – 5:30 when there is no faculty meeting. Faculty meetings are scheduled on Sept. 14, Oct. 12, Nov. 9, and Dec. 14, which means we potentially have 9 meeting times starting Sept. 29.
I have asked Katherine to place the following books on reserve in the AREC Library for Fall Semester, 2009:
Analysis of Economic Time Series, Revised Edition
by M. Nerlove, David M. Grether,
(Paperback - REV) ISBN-13: 9780125157513
Time Series Analysis
by Henrik Madsen
ISBN-13: 9781420059670
The Analysis of Time Series An Introduction (Texts in Statistical Science Series)
by Chris Chatfield
ISBN-13: 9781584883173
Time Series Analysis
by James Douglas Hamilton
ISBN-13: 9780691042893
Introduction to Statistical Time Series
by Wayne A. Fuller
ISBN-13: 9780471552390
Unit Roots, Cointegration, and Structural Change
by G. S. Maddala, In-Moo Kim
ISBN-13: 9780521587822
Econometric Analysis of Seasonal Time Series
by Eric Ghysels, Denise R. Osborn,
ISBN-13: 9780521565882
Time Series Analysis: Forecasting and Control
by George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel
ISBN-13: 9780470272848
Financial Econometrics: Problems, Models, and Methods
by Christian Gourieroux, Joann Jasiak,
ISBN-13: 9780691088723
I think Fuller, Introduction to Statistical Time Series is the best general book on the subject but it's a bit difficult.
Topics and
For the first seven topics we will follow the outline of my paper with Diebold and Killian, which along with other good articles on time series analysis in the New Palgrave Dictionary of Economics is available on line through ResearchPort (click on Databases and the on the New Palgrave): Gourieroux and Jasiak cover almost all the topics, and then some, with excellent examples from finance. Our finance people may want to add some of these examples to their presentations. We will almost certainly want to divide Topic 7 into two or more parts depending on the availability of presenters, interests, and time available. Suggested readings for Topic 7 will be modified after our first meeting and depending on the interests of participants. Since we have 10 possible meetings, there is room on our schedule for 2 more two-hour sessions.
Diebold, Francis X.,
The sections from
Diebold, et al. should be the first thing you read on each topic.
Topic 1: Basic
Theory
Presenters: Claudia and Rubaba
1.1 Stationarity and Ergodicity of Time Series Processes
1.2 The Wold Decomposition and General Linear Processes
2.1 Autocovariance and Autocovariance Generating Functions
Nerlove, et al., Chap. 2, pp. 22-36.
Chatfield, Chap.3, pp. 33-54.
Madsen, Chaps. 5-6, pp. 97-186.
Fuller, Chaps. 1-2, pp. 1-111.
Box, et al., Chap. 2.1, pp. 21-35; Chap. 3
Hong,
Yongmiao. "serial correlation and serial dependence."
The New Palgrave Dictionary of Economics.
Second Edition. Eds. Steven N. Durlauf and
Topic 2: Linear
Processes in the Frequency Domains
Presenters: Denny and Onur
2.2 Spectral Density Functions
My old paper: “Spectral Analysis of Seasonal Adjustment Procedures,” Econometrica, 32: 241-86, 1964, also contains an introduction to spectral analysis.
Chatfield, Chaps. 6-7, pp. 107-154; Chaps. 9-10, pp. 169-216.
Madsen, Chaps. 4-5, pp. 69-144; Chaps. 7-8, pp. 187-246.
Fuller, Chaps. 3-4, pp 112-213.
Box, et al., Chaps. 3-4, pp. 47-91.
Vogelsang,
Timothy J. "spectral analysis." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Topic 3:
Specification, Estimation, Inference and Prediction
Presenters: Andy and Ariel
3.1 Autocovariance and Spectral Density Functions
3.2 ARMA Models
3.3 Prediction and Extraction
Nerlove, et al., Chap. 5, pp. 86-102; Chap. 7, pp. 120-146; Chap. 10, pp. 201-228.
Chatfield, Chaps. 4-5, pp. 55-106.
Madsen, Chaps. 6-7, pp. 145-214.
Fuller, Chaps. 6-8, pp. 355-474.
Box, et al., Chaps. 6-7, pp. 195-331.
Granger,
Clive. "spurious regressions." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Franses,
Philip Hans. "distributed lags." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Topic 4: Multiple
Time Series Analysis
Nerlove, et al., Chap. 11, pp. 229-260.
Chatfield, Chaps 8, pp. 155-168; Chap. 12, pp. 241-254.
Madsen, Chap. 9-10, pp.247-312.
Box, et al., Chap. 14, pp. 551-596.
Zha, Tao.
"vector autoregressions." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Sims,
Christopher A. "continuous and discrete time models."
The New Palgrave Dictionary of Economics.
Second Edition. Eds. Steven N. Durlauf and
Kuersteiner,
G. M. "Granger–Sims causality." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Lütkepohl,
Helmut. "impulse response function." The New
Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf
and
Harvey,
Andrew. "state space models." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Topic 5: Unit Roots,
Co-integration and Long Memory
Fuller, Chaps. 9-10, pp. 475-663.
Maddala and Kim, Chaps. 1-12, pp. 1-386.
Phillips,
Peter C. B. "unit roots." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Watson, Mark
W. "cointegration." The New Palgrave Dictionary of
Economics. Second Edition. Eds. Steven N. Durlauf and
Kuersteiner,
G. M. "Granger–Sims causality." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Robinson, P.
M. "long memory models." The New Palgrave
Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and
Topic 6: Nonlinear
Time Series Models
6.1 Nonlinear dynamics in the conditional mean
6.2 Nonlinear dynamics in the conditional variance
Mizrach,
Bruce. "nonlinear time series analysis." The New
Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf
and
Hamilton,
James D. "regime switching models." The New
Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf
and
Linton, Oliver
B. "ARCH models." The New Palgrave Dictionary of
Economics. Second Edition. Eds. Steven N. Durlauf and
All Topics which follow should be regarded as tentative and subject to change. Note that there are two unrelated topics for each 2-hour session.
Topic 7: Bubbles and Volitility and Thick-Tailed Distributions
7.1 Analysis of the Cyclic Properties of Economic Time Series
Lecture on "Bubbles" by Jose A. Scheinkman, http://2009video.nasonline.org.s3.amazonaws.com/2009am-scheinkman-jose.html
Shephard, Neil, Stochastic Volitility: Selected Readings, Oxford University Press, 2005
Topic 8: Seasonality and Forecasting
7.2 Description of Seasonality and Seasonal Adjustment
Nerlove, et al. Chap, 1, pp. 1-21; Chap. 8, pp. 147-171; App. A, pp. 354-360.
Ghysels and Osborn, Chaps. 1-7, pp. 1-202.
7.3 Forecasting
Topic 9: Interrelated Commodity Futures Prices Relation between Vegetative Cover and Food Prices in Africa
Presenters: John and Tim
For an early paper modeling volitility of exchange rates and the relationship among them using a latent-factor model to express the flows of specific and general information, see
“The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model” (with F.X. Diebold), Journal of Applied Econometrics, 4, 1-21, 1989.
Reprinted in Shephard, pp.130-155. Something useful for John?
Here's something for Tim: Martin Ravallion, "Testing Market Integration" AJAE, 68(1):102-109 (Feb.1986)