The methodological problem of unit roots: stationarity and its consequences in the context of the Tinbergen debate
Annals of Operations Research, vol.347, no.1, pp.113-130, 2025 (SCI-Expanded, Scopus)
- Publication Type: Article / Article
- Volume: 347 Issue: 1
- Publication Date: 2025
- Doi Number: 10.1007/s10479-023-05172-1
- Journal Name: Annals of Operations Research
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, ABI/INFORM, Applied Science & Technology Source, Business Source Elite, Business Source Premier, Computer & Applied Sciences, INSPEC, Public Affairs Index, zbMATH, Civil Engineering Abstracts
- Page Numbers: pp.113-130
- Keywords: Causal inference, Policy targeting, Research methods, Tinbergen debate
- Open Archive Collection: Article
- Azerbaijan State University of Economics (UNEC) Affiliated: Yes
Abstract
In this paper we highlight an important yet often neglected issue that arises within the context of the broader set of concerns set out in Keynes’s seminal critique of Tinbergen’s early work in econometrics and that is the problem of “trend” in the dataset. We use the example of conforming data to achieve stationarity to solve a problem of unit roots to highlight that Keynes concerns with the “logical issues” regarding the “conditions which the economic material must satisfy” still gains little attention in theory and practice. There is a lot more discussion of the technical aspects of method than there is reflection on conditions that must be satisfied when methods are applied. Concomitantly, there is a tendency to respond to problems of method by applying fixes rather than addressing the underlying problem. We illustrate various facets of the argument using central bank policy targeting and using examples of differencing, co-integration and Bayesian applications.