Teaching Time Series

Unit Root Testing Reading List

Required: Stock, J. (1994) Chapter 46: Unit Roots, Structural Breaks, and Trends. Handbook of Econometrics.

Advice for Empirical Work:

(HLT2009) Harvey, D.I., Leybourne, S.J., and Taylor, A.M.R. (2009) Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition. Econometric Theory 25, 587-636.

Allen, G. and Fildes, R. (2004) Levels, Differences and ECMs - Principles for Improved Econometric Forecasting. University of Massachusetts Amherst, Department of Resource Economics, WP # 2004-2.

Theoretical: Mueller, U.K., and Elliott, G. (2003) Tests for Unit Roots and the Initial Condition. Econometrics 71(4), 1269-1286.

Bayesian Tests: Xia, C. and Griffiths, W. (2012) Bayesian Unit Root Testing: The Effect of Choice of Prior on Test Outcomes. University of Melbourne, Department of Economics, WP 1152.

Kalman Filter

Hamilton, J.D. (1994) Chapter 50: State Space Models. Handbook of Econometrics.

Applications:

Adrian and Franzoni (2009) Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM. Journal of Empirical Finance 16(4) 537-556.

Pasricha (2006) The Kalman Filter and Economic Its Applications. Working paper.

Factor Models

Bai and Ng (2008) Large Dimensional Factor Models: http://www.columbia.edu/~sn2294/pub/survey.pdf

Tutorial on Principal Components Analysis.