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Cointegration and Unit Roots: A Survey

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 emp...

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Authors


Tim Jenkinson More by this author
Juan Dolado More by this author
Simon Sosvilla-Rivero More by this author
Publication date:
1990
URN:
uuid:0048ef25-679b-4790-9289-cf3fd6152631
Local pid:
oai:eureka.sbs.ox.ac.uk:1392

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