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Subject:
Re: times series question
From:
"B. Dan Wood" <[log in to unmask]>
Reply To:
Political Methodology Society <[log in to unmask]>
Date:
Wed, 5 Mar 2008 11:34:18 -0600
Content-Type:
text/plain
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text/plain (74 lines) 
No. That is not a solution to problems of stationarity. Look at the Springer
monograph entitled "Analysis of Integrated and Cointegrated Time Series with
R" for an accessible treatment of dealing with integrated time series.

B. Dan Wood
Professor
Department of Political Science
Texas A&M University
4348 TAMU
College Station, TX 77843-4348
 
Office Phone: 979-845-1610
Office FAX: 979-847-8924
Web: http://www-polisci.tamu.edu/bdanwood
Email: [log in to unmask]
 

-----Original Message-----
From: Political Methodology Society [mailto:[log in to unmask]] On
Behalf Of Francois Gelineau
Sent: Wednesday, March 05, 2008 10:08 AM
To: [log in to unmask]
Subject: [POLMETH] times series question

Dear colleagues:

Say I have a nonstationary time series that contains a unit root and
is integrated of order 1. Can I simply estimate the equation using the
lagged value of the dependent variable on the right-hand side? Aside
from the potential multicollinearity caused by the addition of the
lagged dependent variable, is that not the same as estimating the
equation using the first difference of the dependent variable?

Thanks!

--
François Gélineau, Ph.D.
Professeur adjoint
Département de science politique
Université Laval
Pavillon Charles-De Koninck, local 4417
Québec, Canada
G1K 7P4

Téléphone : (418) 656-2131 poste 3073
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