Cointegration and Unit Roots: A Survey
Documentos de trabajo del Banco de EspañaPublished 1 January 1990
Juan J. Dolado, Tim Jenkinson, Simón Sosvilla‐Rivero
Citations24
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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.
Keywords
Economics, Econometrics and Finance