Posted

June 10, 2011 10:12:24 PM

Date

2006-10

Author

Juan Dolado, Tim Jenkinson, and Simon Sosvilla-Rivero

Affiliation

Bank of Spain, University of Oxford, and University of Birmingham

Title

Cointegration and Unit Roots

Summary /
Abstract

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

Unit root, co-integration, trends, error correction mechanisms

URL

http://onlinelibrary.wiley.com/doi/10.1111/j.1467-6419.1990.tb00088.x/pdf

See

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