IDEAS home Printed from https://ideas.repec.org/a/taf/jecmet/v6y1999i2p239-258.html
   My bibliography  Save this article

Unit roots and all that: the impact of time-series methods on macroeconomics

Author

Abstract

Over the past two decades applied macroeconomics has been transformed by the widespread adoption of a set of new statistical techniques: unit-root tests, vector autoregressions, Granger causality and cointegration. Although these techniques were developed to answer statistical questions, they diffused very rapidly through applied economics because they were thought to be able to answer important theoretical questions in macroeconomics. This paper argues that these techniques have not delivered on the early promises; not because they were not useful - they are very useful for many purposes - but because economists expected too much: they wanted to believe that a statistical summary of the data (an estimate or test statistic) could answer an economic question without interpretation. The paper sets out the statistical motivation for the procedures; the economic questions they were supposed to answer; and the issues that arise in trying to answer economic questions about the sources of trends and cycles, ausality and the nature of equilibrium from statistical summaries.

Suggested Citation

  • Ron Smith, 1999. "Unit roots and all that: the impact of time-series methods on macroeconomics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 6(2), pages 239-258.
  • Handle: RePEc:taf:jecmet:v:6:y:1999:i:2:p:239-258
    DOI: 10.1080/13501789900000016
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13501789900000016
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fabiani, Silvia & Locarno, Alberto & Oneto, Gian Paolo & Sestito, Paolo, 2001. "The sources of unemployment fluctuations: an empirical application to the Italian case," Labour Economics, Elsevier, vol. 8(2), pages 259-289, May.
    2. Sproule, Robert, 2002. "The underdetermination of instructor performance by data from the student evaluation of teaching," Economics of Education Review, Elsevier, vol. 21(3), pages 287-294, June.
    3. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22.

    More about this item

    Keywords

    Unit-roots; time-series; macroeconomics;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jecmet:v:6:y:1999:i:2:p:239-258. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RJEC20 .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.