TITLE:
Time Series Econometrics: A Critique
AUTHORS:
Jan Kmenta
KEYWORDS:
Time Series Econometrics, Trends, Cointegration
JOURNAL NAME:
Open Journal of Applied Sciences,
Vol.5 No.12,
December
30,
2015
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.