 Unit roots and all that: the impact of time-series methods on macroeconomicsJournal of Economic Methodology, 1999, vol. 6, issue 2, 239-258 Abstract: Over the past two decades applied macroeconomics has been transformed by the widespread adoption of a set of new statistical techniques: unit-root tests, vector autoregressions, Granger causality and cointegration. Although these techniques were developed to answer statistical questions, they diffused very rapidly through applied economics because they were thought to be able to answer important theoretical questions in macroeconomics. This paper argues that these techniques have not delivered on the early promises; not because they were not useful - they are very useful for many purposes - but because economists expected too much: they wanted to believe that a statistical summary of the data (an estimate or test statistic) could answer an economic question without interpretation. The paper sets out the statistical motivation for the procedures; the economic questions they were supposed to answer; and the issues that arise in trying to answer economic questions about the sources of trends and cycles, ausality and the nature of equilibrium from statistical summaries. Keywords: Unit-roots; time-series; macroeconomics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:jecmet:v:6:y:1999:i:2:p:239-258 Ordering information: This journal article can be ordered from DOI: 10.1080/13501789900000016 Access Statistics for this article Journal of Economic Methodology is currently edited by John Davis and D Wade Hands More articles in Journal of Economic Methodology from Taylor & Francis Journals |
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