Skip to main content
Log in

New developments in time series econometrics: An overview

  • Published:
Empirical Economics Aims and scope Submit manuscript

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

References

  • Box GEP, Tiao GC (1977) A, canonical analysis of multiple time series. Biometrika 64:355–365

    Google Scholar 

  • Campbell B, Dufour J-M (1991) Over-rejections in rational expectations models: A nonparametric approach to the Mankiw-Shapiro problem. Economics Letters 35:285–290

    Google Scholar 

  • Campbell JY, Mankiw NG (1987) Are output fluctuations transitory? Quarterly Journal of Economics 102:857–880

    Google Scholar 

  • Chan NH, Tsay RS (1991) On the use of canonical correlation analysis in testing common trends. Technical report, Department of Statistics, Carnegie Mellon University

  • Cochrane JH (1988) How big is the random walk in GNP? Journal of Political Economy 96:893–920

    Google Scholar 

  • Dufour J-M (1982) Recursive stability analysis of linear regression relationships: An exploratory methodology.Journal of Econometrics 19:31–76

    Google Scholar 

  • Dufour J-M, Hallin M (1993) Improved Eaton bounds for linear combinations of bounded random variables, with statistical applications. Journal of the American Statistical Association (forthcoming)

  • Engle RF, Granger CWJ (1987) Co-integration and error correction: representation, estimation and testing, Econometrica 55:251–276

    Google Scholar 

  • Engle RF, Granger CWJ, Hallman JJ (1989) Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting. Journal of Econometrics 40:45–62

    Google Scholar 

  • Granger CWJ (1980) Long memory relationships and the aggreagation of dynamic models. Journal of Econometrics 14:227–238

    Google Scholar 

  • Granger CWJ, Joyeux R (1980) An introduction to long memory times series models and fractional differencing. Journal of Time Series Analysis 1:15–39

    Google Scholar 

  • Haavelmo T (1944) The probability approach in econometrics. Econometrica 12 (supplement):1–118

    Google Scholar 

  • Hosking JRM (1981) Fractional differencing. Biometrika 68:165–176

    Google Scholar 

  • Hylleberg S, Engle RF, Granger CWJ, Yoo BS (1990) Seasonal integration and cointegration. Journal of Econometrics 44:215–238

    Google Scholar 

  • Johansen S (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12:231–254

    Google Scholar 

  • Johansen S (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59:1551–1580

    Google Scholar 

  • Kalaba R, Tesfatsion L (1989) Time-varying linear regression via flexible least squares. Computers and Mathematics with Applications 17:1215–1245

    Google Scholar 

  • Kalaba R, Tesfatsion L (1990) Flexible least squares for approximately linear systems. IEEE Transactions on Systems, Man and Cybernetics. SMC 20:978–989

    Google Scholar 

  • Kydland FE, Prescott EC (1982) Time to build and aggregate fluctuations. Econometrica 50:1345–1370

    Google Scholar 

  • Lucas RE (1967) Adjustment costs and the theory of supply. Journal of Political Economy 75:321–334

    Google Scholar 

  • Lucas RE (1976) Econometric policy evaluation. In: Brunner K, Meltzer AH (eds) Carnegie-Rochester Conference Series on Public Policy, Volume 1, Journal of Monetary Economics, supplement 19–46

  • Nelson CR, Plosser CI (1982) Trends and random walks in macroeconomic times series. Journal of Monetary Economics 10:139–162

    Google Scholar 

  • Ogaki M, Park JY (1992) A Cointegration approach to estimating preference parameters. Technical Report, Department of Economics, University of Rochester

  • Perron P (1989) The great crash, the oil price schock and the unit root hypothesis. Econometrica 57:1361–1401

    Google Scholar 

  • Raj B (1992) International evidence on persistence in output in the presence of episodic change. Journal of Applied Econometrics 7:281–293

    Google Scholar 

  • Raj B (1993) The size of the random walk in macroeconomic time series. Journal of Macroeconomics 15:139–151

    Google Scholar 

  • Stock JH, Watson MW (1988) Testing for common trends. Journal of the American Statistical Association 83:1097–1107

    Google Scholar 

  • Summers LH (1991) The scientific illusion in empirical macroeconomics. Scandinavian Journal of Economics 93:129–148

    Google Scholar 

  • Tiao GC, Box GEP (1981) Modeling multiple time series with applications. Journal of the American Statistical Association 76:802–816

    Google Scholar 

  • Tiao GC, Tsay RS (1989) Model specification in multivariate time series. Journal of the Royal Statistical Society B51:157–213

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Additional information

This work was supported by the Academic Development Fund of Wilfrid Laurier University, the Institut de Statistique (Université Libre de Bruxelles), the Intercollegiate Center for Management Sciences (Bruxelles), the School of Economics, Kwansei Gakuin University (Japan), the Social Sciences and Humanities Research Council of Canada, the Natural Sciences and Engineering Research Council of Canada, the Government of Québec (Fonds FCAR), and the Ontario-Québec Academic Exchange Program.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Dufour, JM., Raj, B. New developments in time series econometrics: An overview. Empirical Economics 18, 557–564 (1993). https://doi.org/10.1007/BF01205411

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01205411

JEL Classification System-Numbers

Navigation