Do we need time series econometrics

Rao, B. Bhaskara and Singh, Rup and Kumar, Saten (2008): Do we need time series econometrics. Forthcoming in: Applied Economic Letters : pp. 1-4.

Abstract

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
• Language: English
• 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

References

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