Cointegration and Unit Roots.

This paper provides an updated survey of a burgeoning literature in testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non-stationary variables which seem to characterize faithfully the properties of many macroeconomic tie seris. The analysis of cointegration develops out of the esxistence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. Special emphasis is put on the empirical researcher's point of view. Copyright 1990 by Blackwell Publishers Ltd