ECON 224A

TIME SERIES ECONOMETRICS

Spring 2010

Professor: Fabio Milani, fmilani@uci.edu
Office Hours: SSPA 3145, by appointment.

Time and Location: SSPA 3132, Th 5.00-7.40 p.m.

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COURSE MATERIAL

 Syllabus


Readings for Paper Presentations

Trends and Unit Roots

1) C. Nelson, and C. Plosser. “Trends and Random Walks in Macroeconomic Time Series." Journal of Monetary Economics 10 (1982): 139-162.
2) Hodrick and Prescott “Postwar US Business Cycles: An Empirical Investigation." Journal of Money, Credit and Banking (1980, 1997).
3) Campbell and Mankiw, “Permanent and transitory components in macroeconomic fluctuations" American Economic Review (1987).
4) Harvey and Jaeger. “Detrending, Stylized Facts and the Business Cycle" Journal of Applied Econometrics (1993).
5) Stock and Watson. “Variable trends in economic time series" Journal of Economic Perspectives (1988).
6) Sims, C.A. & H. Uhlig, 1991. "Understanding Unit Rooters: A Helicopter Tour", Econometrica, vol. 59(6), pages 1591-99, November.
7) Phillips. "To criticize the critics: an objective Bayesian analysis of stochastic trends", Journal of Applied Econometrics (1991).


Structural Change

1) Stock and Watson. "Evidence on Structural Instability in Macroeconomic Time Series Relations ", Journal of Business & Economic Statistics (1996).
2) Clarida, Gali', and Gertler. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory", Quarterly Journal of Economics (2000).



Forecasting

1) Elliott and Timmermann. "Economic Forecasting", Journal of Economic Literature (2008).
2) Diebold and Mariano. "Comparing Predictive Accuracy", JBES (1995).
3) Patton and Timmermann. "Testing Forecast Optimality under Unknown Loss", JASA (2007).
4) Pesaran and Timmermann. "Predictability of Stock Returns: Robustness and Economic Significance ", Journal of Finance (1995).
5) Geweke and Whiteman. "Bayesian Forecasting", The Handbook of Economic Forecasting.
6) Meese and Rogoff. "Empirical exchange rate models of the seventies: do they fit out of sample?", Journal of International Economics, (1983).
7) Stock and Watson. "Why has U.S. inflation become harder to forecast?", JMCB, (2007).
8) Mishkin. "Are Market Forecasts Rational?", AER, (1981).
9) Elliott, Komunjer, and Timmermann. "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?", JEEA, (2008).


VARs

1) Sims, C.A. (1980), "Macroeconomics and Reality," Econometrica, 48, 1-48.
2) Stock, J., and M. Watson (2001), "Vector Autoregressions," JEP, 101-115.


 REFEREE REPORT

RIE hints for referees, CJE's advice










 Useful Links: Department of Economics