COINTEGRATION AND UNIT ROOTS |
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Authors: | Juan J Dolado Tim Jenkinson Simon Sosvilla-Rivero |
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Institution: | Bank of Spain;Keble College, University of Oxford and CEPR;University of Birmingham |
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Abstract: | 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 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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Keywords: | Unit root cointegration trends error correction mechanisms |
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