Do we need time series econometrics?

Abstract

It is argued that whether the need for unit roots and cointegration-based econometric methods is a methodological issue. An alternative is the econometrics of the London School of Economics (LSE) and Hendry approach based on the simpler classical methods of estimation. This is known as the general to specific method (GETS). Like all other methodological issues this is also difficult to resolve, but we think that GETS is very useful.