Cointegration versus traditional econometric techniques in applied economics
AbstractThe paper illustrates some of the well-known problems with cointegration analysis in order to provide some perspective on the usefulness of cointegration techniques in applied economics. A number of numerical examples are employed to compare econometric estimation on the basis of both traditional autoregressive distributed lag models and currently popular cointegration techniques. The results suggest that, first, cointegration techniques need to be applied with great care and that, second, they have not made traditional econometric techniques obsolete as is often believed.
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Bibliographic InfoArticle provided by Eastern Economic Association in its journal Eastern Economic Journal.
Volume (Year): 26 (2000)
Issue (Month): 4 (Fall)
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Autoregressive; Co integration; Cointegration; Econometrics; Estimation;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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