Advertisement

Econometrics pp 363-386 | Cite as

Time-Series Analysis

  • Badi H. Baltagi

Abstract

Recently, there has been an enormous amount of research in time-series econometrics, and many economics departments have required a time-series econometrics course in their graduate sequence. Obviously, one chapter on this topic will not do it justice. Therefore, this chapter will focus on some of the basic concepts needed for such a course. Section 14.2 defines what is meant by a stationary time-series, while sections 14.3 and 14.4 briefly review the Box-Jenkins and Vector Autoregression (VAR) methods for time-series analysis. Section 14.5 considers a random walk model and various tests for the existence of a unit root. Section 14.6 studies spurious regressions and trend stationary versus difference stationary models. Section 14.7 gives a simple explanation of the concept of cointegration and illustrates it with an economic example. Finally, section 14.8 looks at autoregressive conditionally heteroskedastic time-series.

Keywords

Random Walk Unit Root Unit Root Test Money Supply Error Correction Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Banerjee, A., J.J. Dolado, J.W. Galbraith and D.F. Hendry (1993), Co-Integration, Error-Correction, and The Econometric Analysis of Non-Stationary Data ( Oxford University Press: Oxford).CrossRefGoogle Scholar
  2. Bierens, H.J. and S. Guo (1993), “Testing for Stationarity and Trend Stationarity Against the Unit Root Hypothesis,” Econometric Reviews, 12: 1–32.CrossRefGoogle Scholar
  3. Bollerslev, T. (1986), “Generalized Autoregressive Heterskedasticity,” Journal of Econometrics, 31: 307–327.CrossRefGoogle Scholar
  4. Box, G.E.P. and G.M. Jenkins (1970), Time Series Analysis, Forecasting and Control ( Holden Day: San Francisco).Google Scholar
  5. Box, G.E.P. and D.A. Pierce (1970), “The Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models,” Journal of American Statistical Association, 65: 1509–1526.CrossRefGoogle Scholar
  6. Chamberlain, G. (1982), “The General Equivalence of Granger and Sims Causality,” Econometrica, 50: 569–582.CrossRefGoogle Scholar
  7. Davidson, R. and J.G. MacKinnon (1993), Estimation and Inference in Econometrics ( Oxford University Press: Oxford).Google Scholar
  8. Dickey, D.A. and W.A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root,” Journal of the American Statistical Association, 74: 427–431.Google Scholar
  9. Durlauf, S.N. and P.C.B. Phillips (1988), “Trends Versus Random Walks in Time Series Analysis,” Econometrica, 56: 1333–1354.CrossRefGoogle Scholar
  10. Enders, W. (1995), Applied Econometric Time Series ( Wiley: New York).Google Scholar
  11. Engle, R.F. (1982), “Autogressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50: 987–1007.CrossRefGoogle Scholar
  12. Engle, R.F. and C.W.J. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation and Testing,” Econometrica, 55: 251–276.CrossRefGoogle Scholar
  13. Fuller, W.A. (1976), Introduction to Statistical Time Series ( John Wiley and Sons: New York).Google Scholar
  14. Geweke, J., R. Meese and W. Dent (1983), “Comparing Alternative Tests of Causality in Temporal Systems: Analytic Results and Experimental Evidence,” Journal of Econometrics, 21: 161–194.CrossRefGoogle Scholar
  15. Ghysels, E. and P. Perron (1993), “The Effect of Seasonal Adjustment Filters on Tests for a Unit Root,” Journal of Econometrics, 55: 57–98.CrossRefGoogle Scholar
  16. Godfrey, L.G. (1979), “Testing the Adequacy of a Time Series Model,” Biometrika, 66: 67–72.CrossRefGoogle Scholar
  17. Granger, C.W.J. (1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods,” Econometrica, 37: 424–438.CrossRefGoogle Scholar
  18. Granger, C.W.J. and P. Newbold (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2: 111–120.CrossRefGoogle Scholar
  19. Gujarati, D.N. (1995), Basic Econometrics ( McGraw Hill: New York).Google Scholar
  20. Hamilton,J.D. (1994), Time Series Analysis (Princeton University Press: Princeton, New Jersey).Google Scholar
  21. Johansen, S. (1988), “Statistical Analysis of Cointegrating Vectors,” Journal of Economic Dynamics and Control, 12: 231–254.CrossRefGoogle Scholar
  22. Judge, G.G., R.C. Hill, W.E. Griffiths, H. Lütkepohl and T.-C. Lee (1985), The Theory and Practice of Econometrics ( John Wiley and Sons: New York).Google Scholar
  23. Litterman, R.B. (1986), “Forecasting with Bayesian Vector Autoregressions-Five Years of Experience,” Journal of Business and Economic Statistics, 4: 25–38.Google Scholar
  24. Ljung, G.M. and G.E.P. Box (1978), “On a Measure of Lack of Fit in Time-Series Models,” Biometrika, 65: 297–303.CrossRefGoogle Scholar
  25. MacKinnon, J.G. (1991), “Critical Values for Cointegration Tests,” Ch. 13 in Long-Run Economic Relationships: Readings in Cointegration, eds. R.F. Engle and C.W.J. Granger ( Oxford University Press: Oxford).Google Scholar
  26. Maddala, G.S. (1992), Introduction to Econometrics ( Macmillan: New York).Google Scholar
  27. Mills, T.C. (1990), Time Series Techniques for Economists ( Cambridge University Press: Cambridge).Google Scholar
  28. Nelson, C.R. and C.I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10: 139–162.CrossRefGoogle Scholar
  29. Perron, P. (1989), “The Great Cash, The Oil Price Shock, and the Unit Root Hypothesis,” Econometrica, 57: 1361–1401.CrossRefGoogle Scholar
  30. Phillips, P.C.B. (1986), “Understanding Spurious Regressions in Econometrics,” Journal of Econometrics, 33: 311–340.CrossRefGoogle Scholar
  31. Phillips, P.C.B. and P. Perron (1988), “Testing for A Unit Root in Time Series Regression,” Biometrika, 75: 335–346.CrossRefGoogle Scholar
  32. Sims, C.A. (1972), “Money, Income and Causality,” American Economic Review, 62: 540–552.Google Scholar
  33. Sims, C.A. (1980), “Macroeconomics and Reality,” Econometrica, 48: 1–48.CrossRefGoogle Scholar
  34. Sims, C.A., J.H. Stock and M.W. Watson (1990), “Inference in Linear Time Series Models with Some Unit Roots,” Econometrica, 58: 113–144.CrossRefGoogle Scholar
  35. Stock, J.H. and M.W. Watson (1988), “Variable Trends in Economic Time Series,” Journal of Economic Perspectives, 2: 147–174.CrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin · Heidelberg 1998

Authors and Affiliations

  • Badi H. Baltagi
    • 1
  1. 1.Department of EconomicsTexas A&M UniversityCollege StationUSA

Personalised recommendations