Saturday 12 April 2008

Preoccupation with unit root tests

While I am talking about lagged models...
The textbook by Maddala, "Introduction to Econometrics", discusses unit roots and other tests of goodness of fit for time series models. The author expresses his opinions more freely than some other introductory textbook authors, and seems to disparage the heavy emphasis on unit root testing vis-a-vis other tests of goodness of fit. It is an interesting point; I might go further and look at the whole emphasis on lagged terms throughout economics because of the reasons in my two last posts.

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