Do we need time series econometrics?
It is argued that whether or not there is a need for unit roots and cointegration based 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 this is also difficult to resolve but we think that GETS is very useful.
|Date of creation:||09 Jan 2008|
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- Neil R. Ericsson & James G. MacKinnon, 1999.
"Distributions of error correction tests for cointegration,"
International Finance Discussion Papers
655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, 06.
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
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