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Time series econometrics and applied economics: a methodological perspective

Rao, Bhaskara B. (2006) Time series econometrics and applied economics: a methodological perspective. Indian Journal of Economics and Business, 5 (2). pp. 153-169. ISSN 0972-5784

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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, it is hard to say which one is the best. 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. Finally, we also explain that GETS is a simple and useful technique to understand some difficult choices in the VECM technique of Johansen.

Item Type: Journal Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Business and Economics (FBE) > School of Economics
Depositing User: Ms Neha Harakh
Date Deposited: 17 Mar 2006 02:18
Last Modified: 14 May 2012 04:40

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