Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity

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No 2003-1, Nobel Prize in Economics documents from Nobel Prize Committee

Abstract: Advanced information on the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, 2003. Empirical research in macroeconomics as well as in financial economics is largely based on time series. Ever since Economics Laureate Trygve Haavelmo's work it has been standard to view economic time series as realizations of stochastic processes. This approach allows the model builder to use statistical inference in constructing and testing equations that characterize relationships between economic variables. This year's Prize rewards two contributions that have deepened our understanding of two central properties of many economic time series - nonstationarity and time-varying volatility - and have led to a large number of applications

Keywords: time-series; cointegration (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2003-10-08
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Citations: View citations in EconPapers (2)

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