Advanced Time Series and Forecasting by 9d1TKr

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									                 Advanced Time Series and Forecasting
                                Recommended Reading List
                                          July 23-27, 2012
                                          Bruce E. Hansen
                                        University of Wisconsin

Forecasting

Massimiliano Marcellino, James Stock, and Mark Watson (2006): “A comparison of direct and iterated
multistep AR methods for forecasting macroeconomic series,” Journal of Econometrics, 135, 499-526,pdf

Handbook of Economic Forecasting (2006) link

C.W.J. Granger, H. White and M. Kamstra: "Interval Forecasting: An Analysis Based Upon ARCH-Quantile
Estimators," Journal of Econometrics, 40, 87-96 (1989). pdf

Structural Change

Donald Andrews (1993): “Tests for parameter instability and structural change with unknown change
point,” Econometrica, 61, 821-856. pdf

Jushan Bai (1997) “Estimation of a change point in multiple regression models,” Review of Economics
and Statistics, 79, 551-563. pdf

Jushan Bai and Pierre Perron (1998): “Estimating and testing linear models with multiple structural
changes,” Econometrica, 66, 47-78. pdf

Margaret McConnell and Gabriel Pérez-Quirós (2000): “Output fluctuations in the United States: what
has changed since the early 1980s?”, American Economic Review, 90, 1464-1476. pdf

Bruce E. Hansen (2000): “Testing for structural change in conditional models,” Journal of Econometrics,
97, 93-115. pdf

Bruce E. Hansen (2001): “The New Econometrics of Structural Change: Dating Changes in U.S. Labor
Productivity.” Journal of Economic Perspectives, 15, 117-128. pdf

Donald Andrews (2003): “End-of-Sample Instability Tests,” Econometrica, 71, 1661-1694. pdf

M. Hashem Pesaran and Allan Timmermann (2007): “Selection of estimation window in the presence of
breaks,” Journal of Econometrics, 137, 134-161. pdf

Graham Elliott and Ulrich Muller (2007): “Confidence sets for the date of a single break in linear time
series regression,” Journal of Econometrics, 141, 1196-1218 pdf
Nonlinear Time Series

Bruce E. Hansen (1996) “Inference when a nuisance parameter is not identified under the null
hypothesis,” Econometrica. pdf

Jianqing Fan, Qiwei Yao and Howell Tong (1996) “Estimation of conditional densities and selectivity
measures in dynamical systems,” Biometrika, 83, 189-206, pdf

Bruce E. Hansen (1997) “Inference in TAR models,” Studies in Nonlinear Dynamics and Econometrics.
pdf

Jianqing Fan and Qiwei Yao (1998): “Efficient estimation of conditional variance functions in stochastic
regression,” Biometrika, 85, 645-660, pdf

Peter Hall, R.C.L. Wolff and Qiwei Yao (1999) “Methods for estimating a conditional distribution
function” JASA, 94, 154-163, pdf

Bruce E. Hansen (1999) “Testing for linearity,” Journal of Economic Surveys. pdf

Bruce E. Hansen (2000) “Sample Splitting and Threshold Estimation” Econometrica pdf

Bruce E. Hansen and Mehmet Caner (2001): Threshold autoregression with a unit root,” Econometrica,
69, 1555-1596, pdf

Bruce E. Hansen and Byeongseon Seo (2002) “Testing for two-regime cointegration in vector error
correction models,” Journal of Econometrics, 110, 293-318, pdf

Jianqing Fan and Qiwei Yao (2003) Nonlinear Time Series: Nonparametric and Parametric Methods.

Bruce E. Hansen (2011) “Threshold autoregression in economics,” Statistics and its Inferface, 4, 123-127,
pdf



Nonparametrics

Jianqing Fan, Qiwei Yao and Howell Tong (1996) “Estimation of conditional densities and selectivity
measures in dynamical systems,” Biometrika, 83, 189-206, pdf

Jianqing Fan and Qiwei Yao (1998): “Efficient estimation of conditional variance functions in stochastic
regression,” Biometrika, 85, 645-660, pdf

Peter Hall, R.C.L. Wolff and Qiwei Yao (1999) “Methods for estimating a conditional distribution
function” JASA, 94, 154-163, pdf

Jianqing Fan and Qiwei Yao (2003) Nonlinear Time Series: Nonparametric and Parametric Methods.
GMM and the Bootstrap

Hall and Horowtiz (1996) “Bootstrap critical values for tests based on generalized-method-of-
moments estimation, Econometrica, 64, 891-916 pdf

Bruce E. Hansen (1999) “The grid bootstrap and the autoregressive model” Review of
Economics and Statistics, 81, 594-607, pdf

Donald Andrews (2002) “Higher-order improvements of a computationally attractive k-step
bootstrap for extremum estimators,” Econometrica, 70, 119-162. pdf

Alastair Hall and Atsushi Inoue (2003) “The large sample behavior of the generalized method of
moments estimator in misspecified models,” Journal of Econometrics, 114, 361-394. pdf

Silvia Goncalves and Lutz Kilian (2004) “Bootstapping autoregressions with conditional
heteroskedasticity of unknown form” Journal of Econometrics, 123, 89-120. pdf

Silvia Goncalves and Halbert White (2004) “Maximum likelihood and the bootstrap for
nonlinear dynamic models,” Journal of Econometrics, 119, 199-219, pdf

Atsushi Inoue and Mototsugu Shintani (2006) “Bootstrapping GMM estimators for time series,”
Journal of Econometrics, 133, 531-555. pdf

Anna Mikusheva (2007) Uniform inference in autoregressive models” Econometrica, 75, 1411-
1452. pdf



Selection and Combination

Bruce E. Hansen (2007): “Least Squares Model Averaging.” Econometrica 75, 1175-1189. pdf

Bruce E. Hansen (2008): “Least Squares Forecast Averaging.” Journal of Econometrics 146, 342-350. pdf

Bruce E. Hansen: “Multi-step forecast selection” pdf

Bruce E. Hansen (2009): “Averaging Estimators for Regressions with a Possible Structural Break,”
Econometric Theory, 35, 1498-1514. pdf

Bruce E. Hansen (2010): “Averaging Estimators for Autoregressions with a Near Unit Root,” Journal of
Econometrics, 158, 142-155. pdf

Bruce E. Hansen and Jeffrey Racine (2012) “Jackknife Model Averaging” Journal of Econometrics, 167,
38-456. pdf

								
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