Twenty Years of Time Series Econometrics in Ten Pictures
Twenty Years of Time Series Econometrics in Ten Pictures
复制标题
十张图看二十年时间序列计量经济学
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
M. Watson
中科院分区：
文献类型：
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作者：
J. Stock;M. Watson
本文通过十幅图讲述了时间序列计量经济学20年来的发展历程。这些图片说明了时间序列计量经济学的六大进展领域：动态因果效应的估计;使用优化代理估计动态结构模型（特别是动态随机均衡模型）;利用专门用于经济时间序列的“大数据”中的信息的方法;预测和监测经济的改进方法;对经济关系中的时间变化进行建模的工具;和改进的统计推断方法。综合起来看，这些照片显示了20年的研究如何提高了我们承担专业责任的能力。这些图像也提醒我们，计量经济学理论与激发该理论的实证问题之间存在着密切联系，最好的计量经济学理论往往产生于实际的实证问题。
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.