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1、TimeSeriesTechniques&ApplicationsPeterC.B.PhillipsYaleUniversity,Supplement,Fall2010ModelingTrends,TrendExtraction,AutomatedDiscovery1.(2003).“LawsandLimitsofEconometrics”,EconomicJournal,113,C26-C52..2.(2005).“ChallengesofTrendingTimeSeriesEconometrics”,MathematicsandCom-putersi
2、nSimulation,68,401-416.3.(2005).“AutomatedDiscoveryinEconometrics”.EconometricTheory,21,3-20.4.(2009).“EconometricTheoryandPractice”.EconometricTheory,25,583-586.5.(2010).“TheMysteryofTrends”.MacroeconomicReview,OctoberIssue1SomeoftheBiggestIssuesinEconomicsandFinanceconcernTrend
3、²Macroeconomics:—theprocessofeconomicgrowth—thestudyofgrowthconvergence+divergence—emergentpeaks—evolutioninthedistributionofworldincome—trendsinworldconsumerculture/transportation²Finance:—reconcilingmartingalemodelsofefficientpricedeterminationwithlongrungrowthandlongrunpredictab
4、ility—modelingandpredictingfinancialbubbles2TrendsinKernelDensityEstimatesofDistributionofpercapitaGDPinconstantUSdollarsover119Countries(Bianchi,1997,JAE)3NoisefunctionforAAfromConsolidatedNoisefunctionforGEfromConsolidated645433RVX10000RVX10000221105000150002500050001500025000Nu
5、mberofObservastionsNumberofObservastionsMarketmicrostructurenoisefunctionsforAAandGE.Thehorizontalaxisisthenumberofpricesusedtoconstructtherealizedvolatility.Theverticalaxisistherealizedvolatility.ConsolidatedmarketTradeprices(November1,2004toNovember24,2004)4AndOtherFields²Natur
6、alHistory—paleodiversity+historyoflife—originationandextinctionofspecies²Environmetrics—atmosphericpollution—climatechange—deforestation,ozonedepletion,exoticafforestation²Humancharacteristics&demographics—athleticrecords—obesity—lifeexpectancy&trendsinaging5ClimateChangeClimateCh
7、ange:icecoredataVostokIceCoreDataClimateChange:icecoredataModelingissues:VostokIceCoreDataClimateChange:icecoredataModelingissues:a.irregularcycle&heterogeneityVostokIceCoreDataClimateChange:icecoredataModelingissues:a.irregularcycle&heterogeneityb.driftandrandomwanderingwithincy
8、cleVostokIceCoreDataClimateChange:icecor
