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:	2003
Authors:	Razzak, Weshah
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Unit root \| trend \| persistence \| cointegration

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	F4 - Macroeconomic Aspects of International Trade and Finance ; C22 - Time-Series Models ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005622184