Moving forward with time series analysis

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Authors Peter Enns, Nathan J. Kelly, Takaaki Masaki, Patrick C. Wohlfarth
Journal/Conference Name RESEARCH & POLITICS
Paper Category
Paper Abstract In a recent Research and Politics article, we showed that for many types of time series data, concerns about spurious relationships can be overcome by following standard procedures associated with cointegration tests and the general error correction model (GECM). Matthew Lebo and Patrick Kraft (LK) incorrectly argue that our recommended approach will lead researchers to identify false (i.e., spurious) relationships. In this article, we show how LK’s response is incorrect or misleading in multiple ways. Most importantly, when we correct their simulations, their results reinforce our previous findings, highlighting the utility of the GECM when estimated and interpreted correctly.
Date of publication 2017
Code Programming Language R

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