The methodological problem of unit roots: stationarity and its consequences in the context of the Tinbergen debate

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NASİR M. A., Morgan J.

Annals of Operations Research, vol.347, no.1, pp.113-130, 2025 (SCI-Expanded, Scopus) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 347 Say: 1
  • Nəşr tarixi: 2025
  • Doi nömrəsi: 10.1007/s10479-023-05172-1
  • jurnalın adı: Annals of Operations Research
  • Jurnalın baxıldığı indekslər: 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
  • Səhifə sayı: pp.113-130
  • Açar sözlər: Causal inference, Policy targeting, Research methods, Tinbergen debate
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Bəli

Qısa məlumat

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.