(c) Felix Pretis
Wytham Woods (Photo: Felix Pretis)

General-to-Specific Time Series Modelling

Economies are high dimensional, interdependent, evolving from many sources of innovation, and non-constant from intermittent and often unanticipated shifts, making discovering their properties the key objective of empirical economic modelling. The course covers time-series general-to-specific modelling with a focus on embedding theory in general models as a starting point for selection, the validity of conditional modelling and loss of information through concepts of exogeneity and the theory of reduction, as well as the automatic detection of structural breaks and outliers through indicator saturation.

Lecture Slides

Lecture 1

Lecture 2

Lecture 3

Lecture 4

Readings and References

Main references marked with *

Lecture 1 Core References

Lecture 2 Core References

Lecture 3 Core References