A Perspective on Unit Root and Cointegration in Applied Macroeconomics

I discuss econometric issues of high relevance to economists in central banks whose job is to interpret the permanency of shocks and provide policy advice to policymakers. Trend, unit root, and persistence are difficult to interpret. There are numerous econometric tests, which vary in their power and usefulness. I provide a set of strategies on dealing with macro time series.

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Year of publication:	2007
Authors:	Razzak, W A
Published in:	International Journal of Applied Econometrics and Quantitative Studies. - Euro-American Association of Economic Development. - Vol. 4.2007, 1, p. 77-102
Publisher:	Euro-American Association of Economic Development
Subject:	Unit root \| trend \| persistence \| cointegration

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Type of publication:	Article
Language:	English
Classification:	C13 - Estimation ; C22 - Time-Series Models ; E1 - General Aggregative Models ; F4 - Macroeconomic Aspects of International Trade and Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005406700