Cointegration and Unit Roots
Abstract
This paper provides an updated survey of a burgeoning literature in 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 tie seris. The analysis of cointegration develops out of the esxistence 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. Copyright 1990 by Blackwell Publishers LtdDownload Info
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Bibliographic Info
Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.
Volume (Year): 4 (1990)
Issue (Month): 3 ()
Pages: 249-73
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Keywords:Other versions of this item:
- Dolado, Juan José & Jenkinson, Tim & Sosvilla-Rivero, Simón, 1990. "Cointegration and Unit Roots," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3321, Universidad Carlos III de Madrid.
References
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