Estimating Short and Long Run Relationships: A Guide to the Applied Economist
AbstractMany applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction models (VECM). 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 may be only minor differences in their estimates. Therefore a computationally attractive technique is likely to be popular.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0508013.
Length: 28 pages
Date of creation: 13 Aug 2005
Date of revision:
Note: Type of Document - pdf; pages: 28. Useful to the applied economists.
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Var; Cointegration; General to Specific Approach;
Other versions of this item:
- B. Bhaskara Rao, 2007. "Estimating short and long-run relationships: a guide for the applied economist," Applied Economics, Taylor & Francis Journals, vol. 39(13), pages 1613-1625.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-09 (All new papers)
- NEP-ECM-2005-11-09 (Econometrics)
- NEP-ETS-2005-11-09 (Econometric Time Series)
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