Whether or not there is a need for the unit roots and cointegration based time series 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 it is difficult to resolve which approach is better. However, we think that GETS is conceptually simpler and very useful in applied work.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
10530.
Find related papers by JEL classification: B49 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Other C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
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