Journal Article

Twenty Years of Time Series Econometrics in Ten Pictures

Stock, James H., Watson, Mark W.

2017

Overview

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.

• Publisher: American Economic Association
• Subject: Big Data / Econometrics / Economic forecasting models / Economic models / Economic theory / Equilibrium / Estimation / Forecasting / Forecasting models / Inference / Macroeconomic modeling / Macroeconomics / Monetary policy / Statistical inference / Stochastic models / Structural models / Symposium: Recent Ideas in Econometrics / Theory / Time / Time series / Time series forecasting / Vector autoregression