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Do we need time series econometrics

Author

Listed:
  • Rao, B. Bhaskara
  • Singh, Rup
  • Kumar, Saten
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.

Suggested Citation

  • Rao, B. Bhaskara & Singh, Rup & Kumar, Saten, 2008. "Do we need time series econometrics," MPRA Paper 10530, University Library of Munich, Germany, revised 14 Sep 2008.
    • Handle: RePEc:pra:mprapa:10530
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    References listed on IDEAS

    as
    1. 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, June.
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    More about this item

    Keywords

    GETS; Cointegration; Box-Jenkins’s Equations; Hendry; Granger;
    All these keywords.

    JEL classification:

    • B49 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Other
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology

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