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Do we need time series econometrics?

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  • B. Bhaskara Rao
  • Rup Singh
  • Saten Kumar

Abstract

It 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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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850802297889&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 17 (2010)
Issue (Month): 7 ()
Pages: 695-697

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Handle: RePEc:taf:apeclt:v:17:y:2010:i:7:p:695-697

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  1. 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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