ECONOMETRIC METHODOLOGY II : STRENGTHENING TIME SERIES ANALYSIS

This article reviews some of the recent methodology developed for the analysis of time series data stressing that the statistical properties of the individual series need to be analysed to avoid spurious regressions. A convergence of econometric methodology is entertained with specific focus on cointegration and error correction models which allows the testing of long run relationships between variables and allows for a more dynamic structure than some of the previous models that appear in the literature. An example of this is the commonly used partial adjustment model in supply analysis which is nested in the less restrictive error correction model. Tests can be performed on the validity of these restrictions. These models have a wide application in agricultural economic analysis.


Issue Date:
1998-03
Publication Type:
Journal Article
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/54908
PURL Identifier:
http://purl.umn.edu/54908
Published in:
Agrekon, 37, 1
Page range:
83-99
Total Pages:
17




 Record created 2017-04-01, last modified 2020-10-28

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)