The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Time Series Analysis

  • Francis X. Diebold
  • Lutz Kilian
  • Marc Nerlove
Reference work entry


The analysis of economic time series is central to a wide range of applications, including business cycle measurement, financial risk management, policy analysis based on structural dynamic econometric models, and forecasting. This article provides an overview of the problems of specification, estimation and inference in linear stationary and ergodic time series models as well as non-stationary models, the prediction of future values of a time series and the extraction of its underlying components. Particular attention is devoted to recent advances in multiple time series modelling, the pitfalls and opportunities of working with highly persistent data, and models of nonlinear dependence.


ARFIMA models ARIMA models ARMA models ARMAX models Autocovariance generating functions Autoregressive conditional heteroskedasticity (ARCH) Band-Pass filter Co-integration Common factors Cournot, A. Ergodicity and non-ergodicity Estimation Factor model forecasts Forecasting Generalized autoregressive conditionally heteroskedastic (GARCH) Generalized method of moments Granger, C. Heteroskedasticity Hodrick–Prescott (HP) filter Inference Jevons, W. Kalman filter Least squares Linear processes Long memory models Markov chain methods Maximum likelihood Minimum mean-square error (MMSE) criterion Multiple time series analysis Noise Nonlinear time series analysis Optimal prediction and extraction theory Prediction Principal components analysis Regime switching models Seasonal adjustment Simultaneous-equations model Slutsky, E. Smooth transition regression models Specification Spectral analysis Spurious regressions State-space methods Stationarity Stochastic volatility models Structural vector autoregressions Time domain analysis Time series analysis Unit root Unobserved components models Vector autoregressions Volatility dynamics Wiener–Kolmogorov theory Wold decomposition theorem Yule, G 

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Francis X. Diebold
    • 1
  • Lutz Kilian
    • 1
  • Marc Nerlove
    • 1
  1. 1.