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Cointegration versus traditional econometric techniques in applied economics

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  • Joachim Zietz

    ()
    (Department of Economics and Finance, Middle Tennessee State University)

Abstract

The 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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File URL: http://college.holycross.edu/RePEc/eej/Archive/Volume26/V26N4P469_482.pdf
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Bibliographic Info

Article provided by Eastern Economic Association in its journal Eastern Economic Journal.

Volume (Year): 26 (2000)
Issue (Month): 4 (Fall)
Pages: 469-482

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Handle: RePEc:eej:eeconj:v:26:y:2000:i:4:p:469-482

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Related research

Keywords: Autoregressive; Co integration; Cointegration; Econometrics; Estimation;

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Cited by:
  1. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22.

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