The Methodology of Cointegration

Abstract

It is hardly surprising that I applaud the fine work of both Durr and Ostrom and Smith. I am on record in favor of the utility of the error correction model (e.g., Beck 1985) and it is impossible to obtain a visa to visit the economics department at UCSD without swearing an oath of loyalty to the methodology of cointegration. The two works here are notable for their methodological sophistication, their exposition of a relatively unknown and highly technical area, and, most important, their substantive contributions. Both articles show that political attitudes (approval and policy mood) adjust, in the long run, to changes in objective and subjective economic circumstance. Both articles are good examples of the synergy of methods and theory, since it is the methodology of cointegration that leads to this type of theorizing, and this type of theorizing can most easily be tested in the context of cointegration or error correction.