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Econometric Methodology Ii : Strengthening Time Series Analysis

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  • Townsend, Rob F.

Abstract

This article reviews some of the recent methodology developed for the analysis of time series data stressing that the statistical properties of the individual series need to be analysed to avoid spurious regressions. A convergence of econometric methodology is entertained with specific focus on cointegration and error correction models which allows the testing of long run relationships between variables and allows for a more dynamic structure than some of the previous models that appear in the literature. An example of this is the commonly used partial adjustment model in supply analysis which is nested in the less restrictive error correction model. Tests can be performed on the validity of these restrictions. These models have a wide application in agricultural economic analysis.

Suggested Citation

  • Townsend, Rob F., 1998. "Econometric Methodology Ii : Strengthening Time Series Analysis," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 37(1), pages 1-17, March.
    • Handle: RePEc:ags:agreko:54908
    DOI: 10.22004/ag.econ.54908
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    References listed on IDEAS

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    Cited by:

    1. Mashamaite, P. & Moholwa, B., 2005. "Price asymmetry in South African futures markets for agricultural commodities," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 44(3), pages 1-11, September.

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