Error correction methods with political time series

Political Analysis

Volumn 24, Issue 1, 2016, Pages 3-30

  Grant, Taylor ^a   Lebo, Matthew J ^a  

^a STONY BROOK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84963604345     PISSN: 10471987     EISSN: 14764989     Source Type: Journal    
DOI: 10.1093/pan/mpv027     Document Type: Article

References (89)

1. Baillie, Richard T., and Tim Bollerslev. 1994. Cointegration, fractional cointegration, and exchange rate dynamics. Journal of Finance 492:737-45.
2. Baillie, Richard T. 1996. Long memory processes and fractional integration in econometrics. Journal of Econometrics 731:5-59.
3. Baillie, R., and George Kapetanios. 2007. Semiparametric estimation of long memory: The holy grail or a poisoned chalice. In International Symposium on Financial Econometrics, pp. 1-2.
4. Banerjee, Anindya, Juan Dolado, and Ricardo Mestre. 1998. "Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework." Journal of Time Series Analysis 19(3):267-283.
5. Banerjee, Anindya, Juan J. Dolado, John W. Galbraith, and David Hendry. 1993a. Co-integration, error correction, and the econometric analysis of non-stationary data. OUP Catalogue.
6. Banerjee, Anindya, Juan J. Dolado, John W. Galbraith, and David Hendry. 1993b. Integration, error correction, and the econometric analysis of non-stationary data. Oxford: Oxford University Press.
7. Bårdsen, Gunnar. 1989. Estimation of long run coefficients in error correction models. Oxford Bulletin of Economics and Statistics 513:345-350.
8. Bauwens, Luc, Michel Lubrano, and Jean-Francois Richard. 2000. Bayesian inference in dynamic econometric models. New York: Oxford University Press.
9. Beck, Nathaniel. 1992. Comparing dynamic specifications: The case of presidential approval. Political Analysis 3:27-50.
10. Beran, Jan. 1994. Statistics for long-memory processes, vol. 61. Boca Raton, FL: CRC Press.
11. Bernhard, William, and David Leblang. 2002. Democratic processes, political risk, and foreign exchange markets. American Journal of Political Science 46:316-33.
12. Box, George E.P., and David A. Pierce. 1970. Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association 65332:1509-26.
13. Box, George E.P., and Gwilym M. Jenkins. 1976. Time series analysis: Forecasting and control. San Francisco: Holden-Day.
14. Box-Steffensmeier J.M., and Renée M. Smith. 1996. The dynamics of aggregate partisanship. American Political Science Review 90:567-80.
15. Box-Steffensmeier J.M., and Renée M. Smith. 1998. Investigating political dynamics using fractional integration methods. American Journal of Political Science 42:661-89.
16. Box-Steffensmeier J.M., and Andrew R. Tomlinson. 2000. Fractional integration methods in political science. Electoral Studies 191:63-76.
17. Brandt, Patrick T., and John R. Freeman. 2006. Advances in Bayesian time series modeling and the study of politics: Theory testing, forecasting, and policy analysis. Political Analysis 141:1-36.
18. Büthe, Tim, and Helen V. Milner. 2014. Foreign direct investment and institutional diversity in trade agreements: Credibility, commitment, and economic flows in the developing world, 1971-2007. World Politics 661:88-122.
19. Byers, David, James Davidson, and David Peel. 2000. The dynamics of aggregate political popularity: Evidence from eight countries. Electoral Studies 191:49-62.
20. Casillas, Christopher J., Peter K. Enns, and Patrick C. Wohlfarth. 2011. How public opinion constrains the US Supreme Court. American Journal of Political Science 551:74-88.
21. Cavaliere, Giuseppe. 2005. Limited time series with a unit root. Econometric Theory 21:907-45.
22. Cavaliere, Giuseppe, and Fang Xu. 2014. Testing for unit roots in bounded time series. Journal of Econometrics 1782:259-72.
23. Cheung, Yin-Wong, and Kon S. Lai. 1993. A fractional cointegration analysis of purchasing power parity. Journal of Business & Economic Statistics 111:103-12.
24. Clarke, Harold D., and Marianne C. Stewart. 1994. Prospections, retrospections and rationality: The "Bankers" model of presidential approval reconsidered. American Journal of Political Science 38:1104-23.
25. Clarke, Kevin A. 2003. Nonparametric model discrimination in international relations. Journal of Conflict Resolution 471:72-93.
26. Clarke, Harold D., and Matthew Lebo. 2003. Fractional (co)integration and governing party support in Britain. British Journal of Political Science 332:283-301.
27. Davidson, James E.H., David F. Hendry, Frank Srba, and Steven Yeo. 1978. Econometric modelling of the aggregate time-series relationship between consumer's expenditure and income in the United Kingdom. Economic Journal 88:661-92.
28. DeBoef, Suzanna. 2001. Modeling equilibrium relationships: Error correction models with strongly autoregressive data. Political Analysis 91:78-94.
29. DeBoef, Suzanna, and Jim Granato. 1997. Near-integrated data and the analysis of political relationship. American Journal of Political Science 41:619-40.
30. DeBoef, Suzanna, and Jim Granato. 1999. Testing for cointegrating relationships with near-integrated data. Political Analysis 81:99-117.
31. DeBoef, Suzanne, and Luke Keele. 2008. Taking time seriously. American Journal of Political Science 521:184-200.
32. Dickinson, Matthew J., and Matt J. Lebo. 2007. Reexamining the growth of the institutional presidency, 1940-2000. Journal of Politics 691:206-19.
33. Dueker, Michael, and Richard Startz. 1998. Maximum-likelihood estimation of fractional cointegration with an application to US and Canadian bond rates. Review of Economics and Statistics 803:420-26.
34. Durr, Robert H. 1992. Of forests and trees. Political Analysis 4:255-58.
35. Durr, Robert H. 1993. What moves policy sentiment? American Political Science Review 87:158-70.
36. Durr, Robert H., Andrew D. Martin, and Christina Wolbrecht. 2000. Ideological divergence and public support for the Supreme Court. American Journal of Political Science 44:768-76.
37. Enders, Walter. 2004. Applied econometric time series. 2nd ed. New York: Wiley.
38. Enders, Walter. 2010. Applied econometric time series. 3rd ed. New York: Wiley.
39. Engle, Robert F., and C.W.J. Granger. 1987. Co-integration and error correction: Representation, estimation, and testing. Econometrica 55:251-76.
40. Enns, Peter K. 2014. The public's increasing punitiveness and its influence on mass incarceration in the United States. American Journal of Political Science 58:857-72.
41. Enns, Peter K., Nathan J. Kelly, Janna Morgan, Thomas Volscho, and Christopher Witko. 2014. Conditional status quo bias and top income shares: How U.S. political institutions have benefitted the rich. Journal of Politics 76:289-303.
42. Ericsson, Neil R., and James G. MacKinnon. 2002. Distributions of error correction tests for cointegration. Econometrics Journal 52:285-318.
43. Faricy, Christopher. 2011. The politics of social policy in America: The causes and effects of indirect versus direct social spending. Journal of Politics 731:74-83.
44. Fuller, Wayne A. 2009. Introduction to statistical time series, vol. 428, Wiley.com.
45. Granger, Clive W.J. 1980. Long memory relationships and the aggregation of dynamic models. Journal of Econometrics 142:227-38.
46. Granger, Clive W.J., and Paul Newbold. 1974. Spurious regressions in econometrics. Journal of Econometrics 26:1045-66.
47. Granger, Clive W.J., and Roselyne Joyeux. 1980. An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis 11:15-29.
48. Granger, C.W.J. 2010. Some thoughts on the development of cointegration. Journal of Econometrics 158:3-6.
49. Grant, Taylor, and Matthew J. Lebo. 2016. Replication data for: Error correction methods with political time series. Harvard Dataverse, V1 http://dx.doi.org/10.7910/DVN/VAKZ2G.
50. Hansen, Bruce E. 1995. Rethinking the univariate approach to unit root testing. Econometric Theory 115:1148-71.
51. Hendry, David F., and G.J. Anderson. 1977. Testing dynamic specification in small simultaneous systems: An application to a model of building society behaviour in the United Kingdom. New Haven, CT: Yale University.
52. Hendry, David F., Frank Srba, and Stephen Yeo. 1978. Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom. Economic Journal 88352:661-92.
53. Hosking, Jonathan R.M. 1981. Fractional differencing. Biometrika 681:165-76.
54. Jennings, Will, and Peter John. 2009. The dynamics of political attention: Public opinion and the queen's speech in the United Kingdom. American Journal of Political Science 534:838-54.
55. Kayser, Mark Andreas. 2009. Partisan waves: International business cycles and electoral choice. American Journal of Political Science 534:950-70.
56. Keele, Luke. 2007. Social capital and the dynamics of trust in government. American Journal of Political Science 512:241-54.
57. Kelly, Nathan J., and Peter K. Enns. 2010. Inequality and the ynamics of public opinion: The self-reinforcing link between economic inequality and mass preferences. American Journal of Political Science 544:855-70.
58. Kono, Daniel Yuichi. 2008. Democracy and trade discrimination. Journal of Politics 704:942-55.
59. Kremers, Jeroen J.M., Neil R. Ericsson, and Juan J. Dolado. 1992. The power of cointegration tests. Oxford Bulletin of Economics and Statistics 543:325-48.
60. Layman, Geoffrey C., Thomas M. Carsey, John C. Green, Richard Herrera, and Rosalyn Cooperman. 2010. Activists and conflict extension in American party politics. American Political Science Review 1042:324-46.
61. Leblang, David, and William Bernhard. 2006. Parliamentary politics and foreign exchange markets: The world according to GARCH. International Studies Quarterly 501:69-92.
62. Lebo, Matthew J., Robert W. Walker, and Harold D. Clarke. 2000. You must remember this: Dealing with long memory in political analyses. Electoral Studies 191:31-48.
63. Lebo, Matthew J., and Will H. Moore. 2003. Dynamic foreign policy behavior. Journal of Conflict Resolution 471:13-32.
64. Lebo, Matthew J., Adam J. McGlynn, and Greg Koger. 2007. Strategic party government: Party influence in Congress, 1789-2000. American Journal of Political Science 513:464-81.
65. Lebo, Matthew J., and Everett Young. 2009. The comparative dynamics of party support in Great Britain: Conservatives, Labour and the Liberal Democrats. Journal of Elections, Public Opinion and Parties 191:73-103.
66. MacKinnon, James G. 1994. Approximate asymptotic distribution functions for unit-root and cointegration tests. Journal of Business & Economic Statistics 122:167-76.
67. Narayan, Paresh Kumar. 2005. The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics 3717:1979-90.
68. Nicolau, Joao. 2002. Stationary processes that look like random walks: The bounded random walk process in discrete and continuous time. Econometric Theory 181:99-118.
69. Ostrom, Charles W. Jr., and Renée Smith. 1993. Error correction, attitude persistence, and executive rewards and punishments: A behavioral theory of presidential approval. Political Analysis 4:127-84.
70. Pesaran, M. Hashem, Yongcheol Shin, and Richard J. Smith. 2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics 163:289-326.
71. Phillips, A William. 1954. Stabilization policy in a closed economy. Economic Journal 64254:290-323.
72. Phillips, A William. 1957. Stabilization policy and the time-forms of lagged responses. Economic Journal 67266:265-77.
73. Pickup, Mark. 2009. Testing for fractional integration in public opinion in the presence of structural breaks: A comment on Lebo and Young. Journal of Elections, Public Opinion and Parties 191:105-16.
74. Ramirez, Mark D. 2009. The dynamics of partisan conflict on congressional approval. American Journal of Political Science 533:681-94.
75. Rickard, Stephanie J. 2012. Welfare versus subsidies: Governmental spending decisions in an era of globalization. Journal of Politics 74(4): 1171-83.
76. Robinson, Peter M. 1995. Gaussian semiparametric estimation of long range dependence. Annals of Statistics 235:1630-61.
77. Sanchez Urribarri, Raul A., Susanne Schorpp, Kirk A. Randazzo, and Donald R. Songer. 2011. Explaining changes to rights litigation: Testing a multivariate model in a comparative framework. Journal of Politics 732:391-405.
78. Sargan, John Denis. 1964. Wages and prices in the United Kingdom: A study in econometric methodology. Econometric Analysis for National Economic Planning 16:25-54.
79. Stimson, James A. 1991. Public opinion in America: Moods, cycles, and swings. Boulder, CO: Westview Press.
80. Stock, James H., and Mark W. Watson. 2011. Introduction to econometrics, 3/E. Instructor 10.
81. Tsay, Wen-Jay, and Ching-Fan Chung. 2000. The spurious regression of fractional integrated processes. Journal of Econometrics 96:155-82.
82. Ura, Joseph Daniel. 2014. Backlash and legitimation: Macro political responses to Supreme Court decisions. American Journal of Political Science 581:110-26.
83. Ura, Joseph Daniel, and Christopher R. Ellis. 2012. Partisan moods: Polarization and the dynamics of mass party preferences. Journal of Politics 741:277-91.
84. Ura, Joseph Daniel, and Patrick C. Wohlfarth. 2010. "An appeal to the people": Public opinion and congressional support for the Supreme Court. Journal of Politics 724:939-56.
85. Volscho, Thomas W., and Nathan J. Kelly. 2012. The rise of the super-rich power resources, taxes, financial markets, and the dynamics of the top 1 percent, 1949 to 2008. American Sociological Review 775:679-99.
86. Williams, John T. 1992. What goes around comes around: Unit root tests and cointegration. Political Analysis 4:229-35.
87. Young, Everett, and Matthew J. Lebo. 2009. Long memory methods and structural breaks in public opinion time series: A reply to pickup. Journal of Elections, Public Opinion and Parties 191:117-24.
88. Yule, G. Udny. 1926. Why do we sometimes get nonsense-correlations between time-series? A study in sampling and the nature of time-series. Journal of the Royal Statistical Society 891:1-63.
89. Zivot, Eric. 2000. The power of single equation tests for cointegration when the cointegrating vector is prespecified. Econometric Theory 163:407-39.