Moving forward with time series analysis:

Research & Politics

Peter K. Enns¹ 

关键词: Cointegration;    general error correction model;    error correction model;    time series;   

DOI  :  10.1177/2053168017732231

学科分类：社会科学、人文和艺术（综合）

来源: Sage Journals

【 摘 要 】

In a recent Research and Politics article, we showed that for many types of time series data, concerns about spurious relationships can be overcome by following standard procedures associated with cointegration tests and the general error correction model (GECM). Matthew Lebo and Patrick Kraft (LK) incorrectly argue that our recommended approach will lead researchers to identify false (i.e., spurious) relationships. In this article, we show how LK’s response is incorrect or misleading in multiple ways. Most importantly, when we correct their simulations, their results reinforce our previous findings, highlighting the utility of the GECM when estimated and interpreted correctly.

【 授权许可】

CC BY-NC-ND