Consultancy Report 155 views
Cointegration and spurious regression: Enhancing delivery via replication, empirical application and simulation
Steve Cook 
Swansea University Author:
Steve Cook
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DOI (Published version): 10.53593/n3536a
Abstract
Spurious regression and cointegration are familiar components of higher-level undergraduate and postgraduate econometrics courses. Drawing upon both empirical and simulation analysis, this paper discusses and demonstrates an active learning approach to the delivery of these topics. The approach pres...
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The Economics Network
The Economics Network
2022
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa70088 |
| Abstract: |
Spurious regression and cointegration are familiar components of higher-level undergraduate and postgraduate econometrics courses. Drawing upon both empirical and simulation analysis, this paper discusses and demonstrates an active learning approach to the delivery of these topics. The approach presented emphasises two forms of replication. While the first form relates to the familiar reproduction of empirical findings, the second alternative form considers the replication of results automatically generated by software. To support the adoption of the proposed active learning approach within the classroom, the resources employed in this paper are provided. These resources include both an adaptable programme to simulate artificial data and a data set allowing cointegration analysis to be illustrated via examination of the much-researched hypothesis of a ripple effect within the UK housing market. |
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| College: |
Faculty of Humanities and Social Sciences |