Time Series Econometrics

A topic within Econometrics, itself one of 10 topics in that field and part of Economics.

Reading on Time Series Econometrics

2 works

Lecture2003

Time Series Analysis, Cointegration, and Applications

Clive W. J. Granger

Explains why regressing one non-stationary economic series on another can produce a statistically significant relationship that is entirely spurious, and how cointegration identifies the cases where the relationship is real.

Nobel Prize lecturelink checked 17 Sept 2026

Economics · Econometrics

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Lecture2003

Risk and Volatility: Econometric Models and Financial Practice

Robert F. Engle

Argues that volatility itself is predictable even when returns are not, and traces how the ARCH family of models turned that observation into the standard tool for forecasting financial risk.