Time Series Econometrics: A Critique


This is a critical note regarding the currently established econometrics of time series. The criticism involves commonly practiced mechanistic modeling and testing of relationships, taking econometrics away from economics. Among others, modeling economic trends as simple functions of time is extremely naive and testing for cointegration lacks a proper economic foundation.

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Kmenta, J. (2015) Time Series Econometrics: A Critique. Open Journal of Applied Sciences, 5, 841-843. doi: 10.4236/ojapps.2015.512081.

Conflicts of Interest

The authors declare no conflicts of interest.


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