Equation balance in time series analysis: lessons learned and lessons needed

Abstract

Abstract The papers in this symposium use Monte Carlo simulations to demonstrate the consequences of estimating time series models with variables that are of different orders of integration. In this summary, I do the following: very briefly outline what we learn from the papers; identify an apparent contradiction that might increase, rather than decrease, confusion around the concept of a balanced time series model; suggest a resolution; and identify a few areas of research that could further increase our understanding of how variables with different dynamics might be combined. In doing these things, I suggest there is still a lack of clarity around how a research practitioner demonstrates balance, and demonstrates what Pickup and Kellstedt (2021) call I(0) balance.