Sep 5, 2009

The Dude and Time Series Econometrics

To some of us doing the Gerzensee Study Program, he's informally known as 'The Dude' (not to be confused with the one from the film The Big Lebowski). But to the rest of the world he's more well known as Mark Watson, Professor of Economics and Public Affairs at Princeton University.

One of the foremost academic macroeconometricians in the world, Watson has written extensively on a wide variety of topics. This morning I was watching the first in a series of lectures he gave (together with his coauthor Professor James Stock) at the NBER Summer Institute in 2008 concerning 'What's New In Time Series Econometrics'. Here Watson and Stock serve up a veritable alphabet soup - SVAR, HAC, DSGE, IV and MCMC - as well as other interesting topics such as forecasting with many predictors and time varying models.

For anyone doing time series, these lectures are a must!!

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