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Cointegration versus traditional econometric techniques in applied economics

Author

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  • Joachim Zietz

    () (Department of Economics and Finance, Middle Tennessee State University)

Abstract

The paper illustrates some of the well-known problems with cointegration analysis in order to provide some perspective on the usefulness of cointegration techniques in applied economics. A number of numerical examples are employed to compare econometric estimation on the basis of both traditional autoregressive distributed lag models and currently popular cointegration techniques. The results suggest that, first, cointegration techniques need to be applied with great care and that, second, they have not made traditional econometric techniques obsolete as is often believed.

Suggested Citation

  • Joachim Zietz, 2000. "Cointegration versus traditional econometric techniques in applied economics," Eastern Economic Journal, Eastern Economic Association, vol. 26(4), pages 469-482, Fall.
  • Handle: RePEc:eej:eeconj:v:26:y:2000:i:4:p:469-482
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    File URL: http://web.holycross.edu/RePEc/eej/Archive/Volume26/V26N4P469_482.pdf
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    Cited by:

    1. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22.
    2. repec:eee:energy:v:127:y:2017:i:c:p:479-488 is not listed on IDEAS

    More about this item

    Keywords

    Autoregressive; Co integration; Cointegration; Econometrics; Estimation;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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