Time Domain - The General Linear Process and its Approximation.
- Very
Light Reading: Read about Nobel Prize winners Frisch, Tinbergen, Kuznets, Tobin,
Klein, Modigliani, Friedman, Lucas, Engle, Granger, Prescott, Sargent, Sims, Fama, Shiller, and Hansen. Each made extensive
contributions to, or use of, time series analysis. Other econometricians and
empirical economists winning the Prize include Leontief, Heckman, McFadden,
Koopmans, Friedman, Stone, Modigliani, and Haavelmo.
- Light
Reading: "The Meaning of Slutzky," FRB
Minneapolis Review, December 2009. The rare pop account that's both well
written and well informed.
- Reading:
Demirer, M., Diebold, F.X., Liu, L., and Yilmaz, K.
(2018), "Estimating Global Bank Network Connectedness," Journal of Applied Econometrics. Slides here.
Markovian Structure, State Space, and the Kalman
Filter
Likelihood Evaluation and Optimization
Reading:
Aruoba, S.B. and Diebold, F.X. (AER 2010; FRB Philadelphia, 2008-present), "Real-Time
Macroeconomic Monitoring: Real Activity, Inflation, and
Interactions," American Economic Review, 100, 20-24. Slides here. ADS area on the FRB
Philadelphia web site here.
Bayesian Filtering with Markov Chain Monte Carlo
Reading:
Aruoba, S.B., Diebold, F.X., Nalewaik,
J. Schorfheide, F. and Song, D.
(2016), "Improving GDP Measurement: A Measurement-Error
Perspective," Journal of Econometrics, 191, 384-397. Slides here. Also
see the ADNSS area on the ADNSS area on the FRB Philadelphia web site
here.
Volatility
Reading:
Andersen, T.G., Bollerslev, T., Christoffersen,
P.F. and Diebold, F.X. (2013), "Financial Risk Measurement for
Financial Risk Management," in G. Constantinedes,
M. Harris and R. Stulz (eds.), Handbook of
the Economics of Finance, Elsevier, 1127-1220.