Estimating Short and Long Run Relationships: A Guide to the Applied Economist

B. Rao

Econometrics from University Library of Munich, Germany

Abstract: Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction models (VECM). As in other methodological controversies, definite answers are difficult. It is suggested that if these techniques are seen as tools to summarize data, as in Smith (2000), often there may be only minor differences in their estimates. Therefore a computationally attractive technique is likely to be popular.

Keywords: Var; Cointegration; General to Specific Approach (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2005-08-13
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 28. Useful to the applied economists.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0508/0508013.pdf (application/pdf)

Related works:
Journal Article: Estimating short and long-run relationships: a guide for the applied economist (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0508013

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