CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONS

David Greasley · Les Oxley

24 citations0/0 files storedJournal of Economic Surveys

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Monetary Policy and Economic Impact Historical Economic and Social Studies Diverse Scientific and Economic Studies

Abstract

AbstractThe paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality, structural time series methods, including time varying parameter models, are introduced as are the estimation and testing implications that they involve. Applications include a discussion of the timing and potential causes of the British Industrial Revolution, income ‘convergence’ and the long‐run behaviour of English real wages 1264–1913. Finally some new and potentially useful developments are discussed including the mildly explosive processes; graphical modelling and long memory.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1986Generalized autoregressive conditional heteroskedasticity 2001Bounds testing approaches to the analysis of level relationships 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 2003Testing for unit roots in heterogeneous panels

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2015The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries

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