Do we need time series econometrics

B. Rao, Rup Singh and Saten Kumar

MPRA Paper from University Library of Munich, Germany

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.

Keywords: GETS; Cointegration; Box-Jenkins’s Equations; Hendry; Granger (search for similar items in EconPapers)
JEL-codes: B41 B49 C22 (search for similar items in EconPapers)
Date: 2008-01-16, Revised 2008-09-14
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Related works:
Journal Article: Do we need time series econometrics? (2010)
Working Paper: Do we need time series econometrics? (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:10530

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