Cliometrics and Time Series Econometrics: Some Theory and Applications

David Grreasley ()
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David Grreasley: University of Canterbury, https://www.canterbury.ac.nz
Authors registered in the RePEc Author Service: Les Oxley

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: The paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality, structural time series methods, including time varying parameter models, are introduced as are the estimation and testing implications that they involve. Applications include a discussion of the timing and potential causes of the British Industrial Revolution, income „convergence? and the long run behaviour of English Real Wages 1264 – 1913. Finally some new and potentially useful developments are discussed including the mildly explosive processes; graphical modelling and long memory.

Keywords: Time series; cointegration; unit roots; persistence; causality; cliometrics; convergence; long memory; graphical modelling; British Industrial Revolution (search for similar items in EconPapers)
JEL-codes: C22 C32 N33 O47 O56 (search for similar items in EconPapers)
Pages: 109 pages
Date: 2010-09-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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https://repec.canterbury.ac.nz/cbt/econwp/1056.pdf (application/pdf)

Related works:
Journal Article: CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONS (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:10/56

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