Do we need time series econometrics?
AbstractIt is argued that whether the need for unit roots and cointegration-based econometric methods is a methodological issue. An alternative is the econometrics of the London School of Economics (LSE) and Hendry approach based on the simpler classical methods of estimation. This is known as the general to specific method (GETS). Like all other methodological issues this is also difficult to resolve, but we think that GETS is very useful.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 17 (2010)
Issue (Month): 7 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
Other versions of this item:
- Rao, B. Bhaskara & Singh, Rup & Kumar, Saten, 2008. "Do we need time series econometrics," MPRA Paper 10530, University Library of Munich, Germany, revised 14 Sep 2008.
- Rao, B. Bhaskara & Singh, Rup & Kumar, Saten, 2008. "Do we need time series econometrics?," MPRA Paper 6627, University Library of Munich, Germany.
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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- Neil R. Ericsson & James G. MacKinnon, 2002.
"Distributions of error correction tests for cointegration,"
Royal Economic Society, vol. 5(2), pages 285-318, 06.
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
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