The methodological problem of unit roots: stationarity and its consequences in the context of the Tinbergen debate
本文基于凯恩斯对廷伯根早期计量工作的批判，指出数据趋势（单位根）问题在理论和实践中仍被忽视，并举例说明差分、协整和贝叶斯方法如何回避而非解决根本问题。
Abstract In this paper we highlight an important yet often neglected issue that arises within the context of the broader set of concerns set out in Keynes’s seminal critique of Tinbergen’s early work in econometrics and that is the problem of “trend” in the dataset. We use the example of conforming data to achieve stationarity to solve a problem of unit roots to highlight that Keynes concerns with the “logical issues” regarding the “conditions which the economic material must satisfy” still gains little attention in theory and practice. There is a lot more discussion of the technical aspects of method than there is reflection on conditions that must be satisfied when methods are applied. Concomitantly, there is a tendency to respond to problems of method by applying fixes rather than addressing the underlying problem. We illustrate various facets of the argument using central bank policy targeting and using examples of differencing, co-integration and Bayesian applications.