Rao, B. Bhaskara and Singh, Rup and Kumar, Saten (2008): Do we need time series econometrics. Forthcoming in: Applied Economic Letters : pp. 1-4.
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Whether or not there is a need for the unit roots and cointegration based time series 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 it is difficult to resolve which approach is better. However, we think that GETS is conceptually simpler and very useful in applied work.
|Item Type:||MPRA Paper|
|Original Title:||Do we need time series econometrics|
|Keywords:||GETS, Cointegration, Box-Jenkins’s Equations, Hendry, Granger|
|Subjects:||B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology > B49 - Other
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology > B41 - Economic Methodology
|Depositing User:||B. Bhaskara Rao|
|Date Deposited:||18. Sep 2008 11:27|
|Last Modified:||11. Jan 2014 19:19|
Ericsson, N. R. and MacKinnon, J. G., (2002) “Distributions of error correction tests for cointegration”, Econometrics Journal, 5: pp. 285-318. Granger, C.W. J., (1990) “Introduction”, in Granger, C. J. (ed.) Modeling Economic Series: Readings in Econometric Methodology, Oxford: Clarendon Press, pp.277-278.
Hendry, D. F., (2000) “Econometrics techniques: General discussion” in Backhouse, R. E. and Salanti, A. (eds.) Macroeconomics and the Real World, Oxford: Oxford University Press, pp.239-242.
Hendry, D. F. and Krolzig, H. M., (2001) Automatic Econometric Model Selection, Oxford: Timberlake Consultants Press.
-------and ------- (2005) ``The properties of automatic GETS modeling", the Economic Journal, 115: pp.C32-C61.
Smith, R. P., (2000) ``Unit Roots and all that: the impact of time-series methods on macroeconomics", in Backhouse, R. E. and Salanti, A. (eds.) Macroeconomics and the Real World, Oxford: Oxford University Press, pp. 199-218.
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