Time Series Econometrics: A Critique
Author(s)
Jan Kmenta1,2
Affiliation(s)
1 Department of Economics, University of Michigan, Ann Arbor, USA. 2 Center for Economic Research and Graduate Studies (CERGE_EI), Charles University, Prague, Czech Republic.
1 Department of Economics, University of Michigan, Ann Arbor, USA. 2 Center for Economic Research and Graduate Studies (CERGE_EI), Charles University, Prague, Czech Republic.
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.
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.
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.
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
[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