OJAppS  Vol.5 No.12 , December 2015
Time Series Econometrics: A Critique
Author(s) Jan Kmenta1,2
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.

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
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[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.
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[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.
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[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

 
 
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