Twenty Years of Time Series Econometrics in Ten Pictures
نویسندگان
چکیده
منابع مشابه
Econometrics, Time Series Analysis
Central banks and funds investment managers work with mathematical models. In recent years, a new class of model has come into prominence-generalized dynamic factor models. These are characterized by having a modest number of inputs, corresponding to key economic variables and industry-sector-wide variables for central banks and funds managers respectively, and a large number of outputs, econom...
متن کاملTime Series Econometrics
Major lines of the development of time series econometrics are discussed. The presentation is primarily aimed to system theorists. Emphasis is both on history and on recent developments. A discussion of basic ideas and driving forces and of important model classes (more than of identiication procedures), together with a critical view on the relevance for application is given.
متن کاملNew Developments in Econometrics and Time Series
Friday, 11:45 Brendan K. Beare, University of California Vine Copula Specifications for Stationary Multivariate Markov Chains Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we discuss the use of vine copulae to build flexible semiparametric models for stationary ...
متن کاملNew Developments in Econometrics and Time Series
• Matteo Barigozzi, The London School of Economics and Political Science (joint work with Roxana Halbleib and David Veredas) Which Model to Match?
متن کاملFinancial Time Series- Recent Trends in Econometrics
The paper points to a coverage of the latest research techniques and findings relating to the econometric analysis of financial markets. It contains a wealth of new materials reflecting the developments during the last decade or so. Particular attention is paid to the wide range of nonlinear models that are used to analyze financial data observed at high frequencies and to the long memory chara...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Perspectives
سال: 2017
ISSN: 0895-3309
DOI: 10.1257/jep.31.2.59