Cointegration and Unit Roots
This paper provides an updated survey of a burgeoning literature on testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non-stationary variables which seem to characterise faithfully the properties of many macroeconomic time series. The analysis of cointegration develops out of the existence 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.
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|Authors:||Dolado, Juan ; Jenkinson, Tim ; Sosvilla-Rivero, Simon|
|Type of publication:||Article|
Dolado, Juan, Jenkinson, Tim and Sosvilla-Rivero, Simon (1990) Cointegration and Unit Roots. Journal of Economic Surveys, 4 (3). pp. 249-273.