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Time Series Analysis

PIER Working Paper No. 06-019

24 Pages Posted: 21 Jun 2006

See all articles by Francis X. Diebold

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Lutz Kilian

Federal Reserve Banks - Federal Reserve Bank of Dallas; Centre for Economic Policy Research (CEPR)

Marc Nerlove

University of Maryland

Date Written: May 2006

Abstract

We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.

Keywords: Time series analysis, time domain, frequency domain

JEL Classification: C22

Suggested Citation

Diebold, Francis X. and Kilian, Lutz and Nerlove, Marc L., Time Series Analysis (May 2006). PIER Working Paper No. 06-019, Available at SSRN: https://ssrn.com/abstract=910909 or http://dx.doi.org/10.2139/ssrn.910909

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Lutz Kilian

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Marc L. Nerlove

University of Maryland ( email )

College Park
College Park, MD 20742
United States
301-405-1388 (Phone)

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