Twenty Years of Time Series Econometrics in Ten Pictures

James H. Stock and Mark Watson

Journal of Economic Perspectives, 2017, vol. 31, issue 2, 59-86

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.

JEL-codes: C22 C32 (search for similar items in EconPapers)
Date: 2017
Note: DOI: 10.1257/jep.31.2.59
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

Downloads: (external link)
https://www.aeaweb.org/articles?id=10.1257/jep.31.2.59 (application/pdf)
https://www.aeaweb.org/articles/attachments?retrie ... q4Bq98cQgr838WRRG4I2 (application/zip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions

Access Statistics for this article

Journal of Economic Perspectives is currently edited by Enrico Moretti

More articles in Journal of Economic Perspectives from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().