Many applied economists face problems in selecting an appropriate technique to estimate short and long-run relationships with the time series methods. This article reviews three alternative approaches viz., general to specific, vector autoregressions and the vector error correction models. As in other methodological controversies, definite answers are difficult. It is suggested that if these techniques are seen as tools to summarize data, as in Smith (2000), often there maybe only minor differences in their estimates. Therefore a computationally attractive technique is likely to be popular.
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Article provided by Taylor and Francis Journals in its journal Applied Economics.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Hendry, David F. & Pagan, Adrian R. & Sargan, J.Denis, 1984.
"Dynamic specification,"
Handbook of Econometrics,
in: Z. Griliches†& M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 18, pages 1023-1100
Elsevier.
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