Cointegration and Unit Roots: A Survey

Journal article

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.

Authors: Jenkinson, T; Dolado, J; Sosvilla-Rivero, S

• Publication date: 1990-01-01