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Do we need time series econometrics?

Author

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

Abstract

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.

Suggested Citation

  • Rao, B. Bhaskara & Singh, Rup & Kumar, Saten, 2008. "Do we need time series econometrics?," MPRA Paper 6627, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:6627
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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-Jenkin’s Equations; Hendry; Granger;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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