Relationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates
- 1 March 1977
- journal article
- application
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 72 (357) , 11-22
- https://doi.org/10.1080/01621459.1977.10479899
Abstract
Extensions of time-series modeling procedures of Box and Jenkins [5] reveal that numerous economic variables which are generally regarded as being strongly interrelated may with equal validity, based on recent empirical evidence, be regarded as independent or only weakly related. Differences between these results and the bulk of econometric literature are attributed to the failure of the latter to satisfactorily account for autocorrelation. Due to limitations in the data, it is concluded that in many instances where economic relationships clearly do exist, econometric or other empirical means cannot reliably enable their existence to be ascertained.Keywords
All Related Versions
This publication has 14 references indexed in Scilit:
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation ApproachJournal of the American Statistical Association, 1976
- A Classical Macroeconometric Model for the United StatesJournal of Political Economy, 1976
- Dynamic Modeling of Multivariate Time Series for Use in Bank AnalysisJournal of Money, Credit and Banking, 1976
- The inefficiency of least squaresBiometrika, 1975
- Intervention Analysis with Applications to Economic and Environmental ProblemsJournal of the American Statistical Association, 1975
- Time series analysis and simultaneous equation econometric modelsJournal of Econometrics, 1974
- Some Comments on a Paper of Coen, Gomme and KendallJournal of the Royal Statistical Society. Series A (General), 1971
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series ModelsJournal of the American Statistical Association, 1970
- Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent VariablesEconometrica, 1970
- Investigating Causal Relations by Econometric Models and Cross-spectral MethodsEconometrica, 1969