Advanced Search
MyIDEAS: Login to save this paper or follow this series

Cliometrics and Time Series Econometrics: Some Theory and Applications

Contents:

Author Info

Abstract

The paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality, structural time series methods, including time varying parameter models, are introduced as are the estimation and testing implications that they involve. Applications include a discussion of the timing and potential causes of the British Industrial Revolution, income „convergence? and the long run behaviour of English Real Wages 1264 – 1913. Finally some new and potentially useful developments are discussed including the mildly explosive processes; graphical modelling and long memory.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1056.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 10/56.

as in new window
Length: 109 pages
Date of creation: 04 Sep 2010
Date of revision:
Handle: RePEc:cbt:econwp:10/56

Contact details of provider:
Postal: Private Bag 4800, Christchurch, New Zealand
Phone: 64 3 369 3123 (Administrator)
Fax: 64 3 364 2635
Web page: http://www.econ.canterbury.ac.nz
More information through EDIRC

Related research

Keywords: Time series; cointegration; unit roots; persistence; causality; cliometrics; convergence; long memory; graphical modelling; British Industrial Revolution;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

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.:
as in new window
  1. Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers, Banca Italia - Servizio di Studi 383, Banca Italia - Servizio di Studi.
  2. Nieuwerburgh, Stijn Van & Buelens, Frans & Cuyvers, Ludo, 2006. "Stock market development and economic growth in Belgium," Explorations in Economic History, Elsevier, Elsevier, vol. 43(1), pages 13-38, January.
  3. Paul Sharp & Jacob Weisdorf, 2007. "From Preventive to Permissive Checks: The changing nature of the Malthusian relationship between nuptiality and the price of provisions in the nineteenth century," Discussion Papers 07-20, University of Copenhagen. Department of Economics.
  4. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  5. Greasley, David & Oxley, Les, 1997. "Time-series based tests of the convergence hypothesis: Some positive results," Economics Letters, Elsevier, vol. 56(2), pages 143-147, October.
  6. Kling, Gerhard, 2006. "The long-term impact of mergers and the emergence of a merger wave in pre-World-War I Germany," Explorations in Economic History, Elsevier, Elsevier, vol. 43(4), pages 667-688, October.
  7. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 2(2), pages 111-120, July.
  8. Baten, Jorg & Murray, John E., 2000. "Heights of Men and Women in 19th-Century Bavaria: Economic, Nutritional, and Disease Influences," Explorations in Economic History, Elsevier, Elsevier, vol. 37(4), pages 351-369, October.
  9. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Granger-causality in cointegrated VAR processes The case of the term structure," Economics Letters, Elsevier, vol. 40(3), pages 263-268, November.
  10. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  11. Clive Granger & Namwon Hyung & Yongil Jeon, 2001. "Spurious regressions with stationary series," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 33(7), pages 899-904.
  12. Terence C. Mills, 2008. "Exploring historical economic relationships: two and a half centuries of British interest rates and inflation," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), Association Française de Cliométrie (AFC), vol. 2(3), pages 213-228, October.
  13. Kennedy, Peter E, 2002. " Sinning in the Basement: What Are the Rules? The Ten Commandments of Applied Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 16(4), pages 569-89, September.
  14. Greasley, David & Madsen, Jakob B. & Oxley, Les, 2001. "Income Uncertainty and Consumer Spending during the Great Depression," Explorations in Economic History, Elsevier, Elsevier, vol. 38(2), pages 225-251, April.
  15. Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," KIER Working Papers 865, Kyoto University, Institute of Economic Research.
  16. Jacks, David S., 2007. "Populists versus theorists: Futures markets and the volatility of prices," Explorations in Economic History, Elsevier, Elsevier, vol. 44(2), pages 342-362, April.
  17. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(1), pages 153-166, March.
  18. Peter L. Rousseau & Richard Sylla, 2000. "Emerging Financial Markets and Early U.S. Growth," Vanderbilt University Department of Economics Working Papers 0015, Vanderbilt University Department of Economics.
  19. David Greasley & Les Oxley, 1994. "Rehabilitation sustained: the industrial revolution as a macroeconomic epoch," Economic History Review, Economic History Society, Economic History Society, vol. 47(4), pages 760-768, November.
  20. Lew, Byron, 2000. "The Diffusion of Tractors on the Canadian Prairies: The Threshold Model and the Problem of Uncertainty," Explorations in Economic History, Elsevier, Elsevier, vol. 37(2), pages 189-216, April.
  21. Giuseppe Tattara & or consequences), 2002. "Paper Money but a Gold Debt. Italy in the Gold Standard," Economic History, EconWPA 0205002, EconWPA.
  22. Yousef, Tarik M., 2000. "The Political Economy of Interwar Egyptian Cotton Policy," Explorations in Economic History, Elsevier, Elsevier, vol. 37(4), pages 301-325, October.
  23. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(03), pages 597-625, June.
  24. Allen, Robert C. & Keay, Ian, 2001. "The First Great Whale Extinction: The End of the Bowhead Whale in the Eastern Arctic," Explorations in Economic History, Elsevier, Elsevier, vol. 38(4), pages 448-477, October.
  25. Rui Pedro Esteves & Jaime Reis & Fabiano Ferramosca, 2005. "Market Integration in the Golden Periphery - the Lisbon/London Exchange, 1854-1891," Working Papers, Banco de Portugal, Economics and Research Department w200515, Banco de Portugal, Economics and Research Department.
  26. Voth, Joachim, 2005. "Credit Rationing and Crowding Out During the Industrial Revolution," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley qt4qw3v8q6, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  27. Greasley, David & Oxley, Les, 1997. "Endogenous Growth or “Big Bang”: Two views of the First Industrial Revolution," The Journal of Economic History, Cambridge University Press, Cambridge University Press, vol. 57(04), pages 935-949, December.
  28. Kerstin Enflo & Astrid Kander & Lennart Schön, 2008. "Identifying development blocks—a new methodology," Journal of Evolutionary Economics, Springer, Springer, vol. 18(1), pages 57-76, February.
  29. Diebolt, Claude & Parent, Antoine, 2008. "Bimetallism: The "rules of the game"," Explorations in Economic History, Elsevier, Elsevier, vol. 45(3), pages 288-302, July.
  30. Chow, Peter C. Y., 1987. "Causality between export growth and industrial development : Empirial evidence from the NICs," Journal of Development Economics, Elsevier, vol. 26(1), pages 55-63, June.
  31. Tsoulouhas, Theofanis C., 1992. "A new look at demographic and technological changes: England, 1550 to 1839," Explorations in Economic History, Elsevier, Elsevier, vol. 29(2), pages 169-203, April.
  32. Kaddour Hadri, 2000. "Testing for stationarity in heterogeneous panel data," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 148-161.
  33. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  34. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, Elsevier, vol. 66(1-2), pages 225-250.
  35. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, May.
  36. Solomou, Solomos & Shimazaki, Masao, 2007. "Japanese episodic long swings in economic growth," Explorations in Economic History, Elsevier, Elsevier, vol. 44(2), pages 224-241, April.
  37. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  38. Pierre L. Siklos, 2007. "The FedÕs Reaction to the Stock Market During the Great Depression: Fact or Artefact?," Working Paper Series, The Rimini Centre for Economic Analysis 33-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  39. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
  40. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  41. Grubb, Farley, 2004. "The circulating medium of exchange in colonial Pennsylvania, 1729-1775: new estimates of monetary composition, performance, and economic growth," Explorations in Economic History, Elsevier, Elsevier, vol. 41(4), pages 329-360, October.
  42. Goodwin, Barry K. & Grennes, Thomas J. & Craig, Lee A., 2002. "Mechanical Refrigeration and the Integration of Perishable Commodity Markets," Explorations in Economic History, Elsevier, Elsevier, vol. 39(2), pages 154-182, April.
  43. Federico, Giovanni, 2007. "Market integration and market efficiency: The case of 19th century Italy," Explorations in Economic History, Elsevier, Elsevier, vol. 44(2), pages 293-316, April.
  44. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, Econometric Society, vol. 66(6), pages 1299-1326, November.
  45. Leandro Prados de la Escosura & Isabel Sanz-Villarroya, 2009. "Contract enforcement, capital accumulation, and Argentina's long-run decline," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), Association Française de Cliométrie (AFC), vol. 3(1), pages 1-26, January.
  46. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  47. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 944, Cowles Foundation for Research in Economics, Yale University.
  48. Marc D. Weidenmier, . "The Market for Confederate Cotton Bonds," Claremont Colleges Working Papers, Claremont Colleges 1999-12, Claremont Colleges.
  49. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  50. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, Elsevier, vol. 14(4), pages 517-533, August.
  51. Officer, Lawrence H., 2005. "The quantity theory in New England, 1703-1749: new data to analyze an old question," Explorations in Economic History, Elsevier, Elsevier, vol. 42(1), pages 101-121, January.
  52. Phillips, Peter C.B., 2005. "Challenges of trending time series econometrics," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 68(5), pages 401-416.
  53. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  54. Eugene N. White & John Landon-Lane & Adam Klug, 2002. "How Could Everyone Have Been So Wrong? Forecasting The Great Depression With The Railroads," Departmental Working Papers, Rutgers University, Department of Economics 200209, Rutgers University, Department of Economics.
  55. Hickson, Charles R. & Turner, John D. & McCann, Claire, 2005. "Much ado about nothing: the limitation of liability and the market for 19th century Irish bank stock," Explorations in Economic History, Elsevier, Elsevier, vol. 42(3), pages 459-476, July.
  56. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 119-43, January.
  57. Greasley, David & Oxley, Les, 1998. "Causality and the First Industrial Revolution," Industrial and Corporate Change, Oxford University Press, vol. 7(1), pages 33-47, March.
  58. Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 53(3), pages 369-84, July.
  59. Vogelsang, Timothy J., 1997. "Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series," Econometric Theory, Cambridge University Press, vol. 13(06), pages 818-848, December.
  60. Crafts, Nicholas & Mills, Terence C., 2009. "From Malthus to Solow: How did the Malthusian economy really evolve?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(1), pages 68-93, March.
  61. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  62. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, Elsevier, vol. 39(1-2), pages 199-211.
  63. David Greasley & Les Oxley, 1994. "Structural change and unit root testing: British industrial production 1700-1913," Applied Economics Letters, Taylor & Francis Journals, vol. 1(3), pages 39-40.
  64. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(4), pages 377-89, October.
  65. Temin, Peter, 2002. "Price Behavior in Ancient Babylon," Explorations in Economic History, Elsevier, Elsevier, vol. 39(1), pages 46-60, January.
  66. Sullivan, Richard J., 1989. "England's Age of invention: The acceleration of patents and patentable invention during the industrial revolution," Explorations in Economic History, Elsevier, Elsevier, vol. 26(4), pages 424-452, October.
  67. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 21(2), pages 161-194, February.
  68. Persson,Karl Gunnar, 2010. "An Economic History of Europe," Cambridge Books, Cambridge University Press, number 9780521840095, 9.
  69. David Greasley & Les Oxley, 2010. "Clio And The Economist: Making Historians Count," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 755-774, December.
  70. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  71. Jacks, David S., 2006. "What drove 19th century commodity market integration?," Explorations in Economic History, Elsevier, Elsevier, vol. 43(3), pages 383-412, July.
  72. Burhop, Carsten, 2006. "Did banks cause the German industrialization?," Explorations in Economic History, Elsevier, Elsevier, vol. 43(1), pages 39-63, January.
  73. Greasley, David & Oxley, Les, 1997. "Endogenous Growth, Trend Output, and the Industrial Revolution: Reply to Crafts and Mills," The Journal of Economic History, Cambridge University Press, Cambridge University Press, vol. 57(04), pages 957-960, December.
  74. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality: A Theoretical Overview and Simulation Study," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1001, Cowles Foundation for Research in Economics, Yale University.
  75. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, Econometric Society, vol. 58(1), pages 113-44, January.
  76. Les Oxley & David Greasley, 1998. "Vector autoregression, cointegration and causality: testing for causes of the British industrial revolution," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(10), pages 1387-1397.
  77. Rousseau, Peter L., 2009. "Share liquidity, participation, and growth of the Boston market for industrial equities, 1854-1897," Explorations in Economic History, Elsevier, Elsevier, vol. 46(2), pages 203-219, April.
  78. Keay, Ian & Redish, Angela, 2004. "The micro-economic effects of financial market structure: evidence from 20th century North American steel firms," Explorations in Economic History, Elsevier, Elsevier, vol. 41(4), pages 377-403, October.
  79. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, Elsevier, vol. 7(2), pages 151-174.
  80. Oxley, Les & Greasley, David, 1995. "A Time-Series Perspective on Convergence: Australia, UK and USA since 1870," The Economic Record, The Economic Society of Australia, vol. 71(214), pages 259-70, September.
  81. Crafts, Nicholas & Mills, Terence C., 2004. "Was 19th century British growth steam-powered?: the climacteric revisited," Explorations in Economic History, Elsevier, Elsevier, vol. 41(2), pages 156-171, April.
  82. Oxley, Les & Greasley, David, 1997. "Convergence in GDP per capita and real wages: Some results for Australia and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 43(3), pages 429-436.
  83. Edoardo Gaffeo & Marco Gallegati & Mauro Gallegati, 2005. "Requiem for the unit root in per capita real GDP? Additional evidence from historical data," Empirical Economics, Springer, Springer, vol. 30(1), pages 37-63, January.
  84. Bodenhorn, Howard, 2007. "Usury ceilings and bank lending behavior: Evidence from nineteenth century New York," Explorations in Economic History, Elsevier, Elsevier, vol. 44(2), pages 179-202, April.
  85. Mishra Tapas & Prskawetz Alexia & Parhi Mamata & Diebolt Claude, 2009. "A Note on Long-Memory in Population and Economic Growth," Working Papers, Association Française de Cliométrie (AFC) 09-06, Association Française de Cliométrie (AFC).
  86. Sergio Rebelo, 1999. "Long Run Policy Analysis and Long Run Growth," Levine's Working Paper Archive 2114, David K. Levine.
  87. N. F. R. Crafts & C. K. Harley, 1992. "Output growth and the British industrial revolution: a restatement of the Crafts-Harley view," Economic History Review, Economic History Society, Economic History Society, vol. 45(4), pages 703-730, November.
  88. Petra Moser & Tom Nicholas, 2004. "Was Electricity a General Purpose Technology? Evidence from Historical Patent Citations," American Economic Review, American Economic Association, vol. 94(2), pages 388-394, May.
  89. Fratianni, Michele & Spinelli, Franco, 2001. "Fiscal Dominance and Money Growth in Italy: The Long Record," Explorations in Economic History, Elsevier, Elsevier, vol. 38(2), pages 252-272, April.
  90. Muscatelli, Vito Antonio & Hurn, A Stan, 1992. " Cointegration and Dynamic Time Series Models," Journal of Economic Surveys, Wiley Blackwell, vol. 6(1), pages 1-43.
  91. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cbt:econwp:10/56. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albert Yee).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.