Skip to main content

Twenty Years of Time Series Econometrics in Ten Pictures

Author(s): Stock, James H.; Watson, Mark W.

To refer to this page use:
Abstract: This review tells the story of the past 20 years of time series econometrics through ten pictures. These pictures illustrate six broad areas of progress in time series econometrics: estimation of dynamic causal effects; estimation of dynamic structural models with optimizing agents (specifically, dynamic stochastic equilibrium models); methods for exploiting information in "big data" that are specialized to economic time series; improved methods for forecasting and for monitoring the economy; tools for modeling time variation in economic relationships; and improved methods for statistical inference. Taken together, the pictures show how 20 years of research have improved our ability to undertake our professional responsibilities. These pictures also remind us of the close connection between econometric theory and the empirical problems that motivate the theory, and of how the best econometric theory tends to arise from practical empirical problems.
Publication Date: May-2017
Citation: Stock, James H., Watson, Mark W. (2017). Twenty Years of Time Series Econometrics in Ten Pictures. Journal of Economic Perspectives, 31 (2), 59 - 86. doi:10.1257/jep.31.2.59
DOI: doi:10.1257/jep.31.2.59
ISSN: 0895-3309
Pages: 59 - 86
Type of Material: Journal Article
Journal/Proceeding Title: Journal of Economic Perspectives
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

Items in OAR@Princeton are protected by copyright, with all rights reserved, unless otherwise indicated.