Anomalies in Testing and Estimation with Nonstationary Variables
Dr. Robert McNown
Fulbright Lecturer
National Economics University, Hanoi
University of Colorado, Boulder
6.00-7.30pm, Tuesday, December 5, 2006
Ho Chi Minh Conference Room , World Bank
7th floor, 63 Ly Thai To, Hanoi
Abstract
Pre-1970 time series econometrics simplified issue of nonstationary. In 1970s and early 1980, econometricians began to be aware of the stochastic trend (integrated time series) and its implications. 1980 is the time of the cointegration revolution with the works of Engle and Granger (1987), Stock (1986), Pack and Phillips (1988) and Jonhansen (1986). In 1990s, cointegration analysis experience futher developments.
Econometricians find out the three characteristics of the Anomalies and pitfalls in nonstationary regressions as follow:
• I. Stationary transformations of cointegrating relations can induce simultaneity bias
• II. Stationary linear combinations of integrated regressors may exist, such that simultaneity bias is induced even if these linear restrictions are not imposed.
• III. Least squares methods may not find cointegrating relation.
Objectives of this paper is to
• To demonstrate these statements with empirical examples, simulations and analytical propositions.
• To offer suggestions for analysis with nonstationary variables.
Dr. Robert McNown
Dr. Robert McNown is a Professor of Economics and Faculty Research Associate with the Institute of Behavioral Science at the University of Colorado, Boulder. He is currently a Fulbright Lecturer in the Masters in Development Economics (MDE) Program at the National Economics University in Hanoi, Vietnam. His primary areas of research and teaching interest are Econometrics, Time Series Analysis, Demography, and International Economics. He has published over fifty research articles in academic journals covering these fields of specialization.
Professor McNown earned his Bachelor of Arts in Economics at UCLA and his PhD in Economics from UC San Diego. He has held visiting faculty positions at Tribhuvan University (Kathmandu, Nepal) as a Fulbright Lecturer, People's University (Beijing) under World Bank sponsorship, Semester at Sea, and Sydney University (Australia).
His current project with the National Economics University is centered on teaching the Basic Econometrics course for students in the MDE program. As part of this course he is developing an open source instructional package for an econometrics program that is available without cost on the internet. The purpose of this instructional package is to provide training in the use of this econometrics program for research and teaching, allowing advanced empirical research without the need for expensive proprietary software.
In addition to teaching Professor McNown serves on MDE thesis examination committees, participates in faculty planning meetings, provides assistance to colleagues in their publications, and is active in the public and internal lecture series of the MDE Program.
Further information on Professor McNown's academic activities is available on his internet page at http://spot.colorado.edu/~mcnownr , or he can be reach by email at mcnownr@colorado.edu.
All are welcome, and admission if free. Your feedbacks on any aspects of the seminar are appreciated. Email neuiss2003@yahoo.com or hallomici@yahoo.com to register for notification about future Seminars. For more information about the MDE and our Seminars, please visit http://www.mde.edu.vn/seminars.aspx .