University of Pennsylvania

[Pages:215]Time-Series Econometrics A Concise Course

Francis X. Diebold University of Pennsylvania Edition 2019 Version 2019.01.14

Time Series Econometrics

Time Series Econometrics

A Concise Course

Francis X. Diebold

Copyright c 2013-2019, by Francis X. Diebold.

All rights reserved.

This work is freely available for your use, but be warned: it is highly preliminary, significantly incomplete, and rapidly evolving. It is licensed under the Creative Commons AttributionNonCommercial-NoDerivatives 4.0 International License. (Briefly: I retain copyright, but you can use, copy and distribute non-commercially, so long as you give me attribution and do not modify. To view a copy of the license, visit .) In return I ask that you please cite the book whenever appropriate, as: "Diebold, F.X. (2019), Time Series Econometrics, Department of Economics, University of Pennsylvania, fdiebold/Textbooks.html."

To Marc Nerlove, who taught me time series,

and to my wonderful Ph.D. students, his "grandstudents"

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