Posted
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June 10, 2011 10:12:24 PM |
Date
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2006-10 |
Author
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Juan Dolado, Tim Jenkinson, and Simon Sosvilla-Rivero |
Affiliation
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Bank of Spain, University of Oxford, and University of Birmingham |
Title
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Cointegration and Unit Roots |
Summary / Abstract
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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 characterize faithfully the properties of many macroeconomic time series. The analysis of co-integration 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. |
Keywords
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Unit root, co-integration, trends, error correction mechanisms |
URL
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http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.1990.tb00088.x/pdf
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See
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