Time Series Analysis

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.