Share This Article:

Time Series Econometrics: A Critique

Abstract Full-Text HTML XML Download Download as PDF (Size:191KB) PP. 841-843
DOI: 10.4236/ojapps.2015.512081    5,364 Downloads   6,134 Views  
Author(s)    Leave a comment

ABSTRACT

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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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

References

[1] Cobb, C.W. and Douglas, P.H. (1928) A Theory of Production. American Economic Review, 18, 139-165. https://www.aeaweb.org/aer/top20/18.1.139-165.pdf
[2] Malinvaud, E. (1983) Econometric Methodology at the Cowles Commission: Rise and Maturity. In: Klevorick, A.K., Ed., Coles Fiftieth Anniversary—Four Essays and an Index of Publications, Presented at Yale Conference June 3-4, 1983, Cowles Foundation Monograph No. 23, Yale University Press, New Haven. https://www.cowles.yale.edu/sites/default/files/files/conf/50th/50th-malinvaud.pdf
[3] Klein, L.R. (1950) Economic Fluctuations in the United States, 1921-1941. Wiley, New York.
[4] Sims, C.A. (1980) Macroeconomics and Reality. Econometrica, 48, 1-48.
http://EconPapers.repec.org/RePEc:ecm:emetrp:v:48:y:1980:i:1:p:1-48
[5] Engle, R. and Granger, C (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica: Journal of the Econometric Society, 55, 251-276.
http://links.jstor.org/sici?sici=0012-9682%28198703%2955%3A2%3C251%3ACAECRE%3E2.0.CO%3B2-T
[6] White, H. and Granger Clive, W.J. (2011) Journal of Time Series Econometrics, 3.
www.degruyter.com/view/j/jtse.2011.3.1.1092
[7] Kmenta, J. (2009) Review of Kocenda, E. and A. Cerny. Elements of Time Series Econometrics in Economic Systems, 33, 185-187. https://ideas.repec.org/e/pkm5.htm

  
comments powered by Disqus

Copyright © 2020 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.