Cliometrics and Time Series Econometrics: Some Theory and Applications

Abstract

Abstract:The 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.

Australia: a land of missed opportunities?

“…Cointegration, should it exist, would have a property of producing ‘super-consistent’ estimates and the cointegrating relationship could be interpreted as representing a long-run equilibrium (Greasley and Oxley, 2010). If the two variables in our test equations (2) or (3) are integrated of different orders, then a cointegrating relationship cannot exist, and if the two variables are both I(0), any linear combination of the variables (trivially) satisfies the properties of cointegration.…”

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

“…They are generated by simulations, and are tabulated in IPS (Im et al, 1997). The statistic Z converges to a standard normal distribution as N and T become infinitely large; thereby we can compute its significance level (Im et al, 2003;Greasley and Oxley, 2010). Based on Monte Carlo simulation results, the IPS test displayed more favorable finite sample properties than the LLC test.…”

Review of periodical literature published in 2010

“…Turning from the historical development of economics and economic history (both ‘new’ and ‘old’) to the methodological issues that arise from these literatures, a special issue of the Journal of Economic Surveys on the relationship between cliometrics and economics produces some stimulating contributions. Greasley and Oxley present two papers. Their introductory essay presents cliometrics as the reintegration in the 1960s of economics and economic history.…”