Dynamic Specification and Testing for Unit Roots and Co-Integration
AbstractThis paper provides an interpretation of the vast literature on testing for unit roots and estimating co-integrating relations. Emphasis is placed on identifying the particular ways in which methods of dynamic specification need to be modified in order to take account of the possible presence of unit roots in the time series being modelled. The discussion is undertaken in the settings of both single-equation and systems methods and attention is paid to problems of estimation and inference. It is argued that the importance of issues such as exogeneity and rich dynamic specification, developed in the context of stationary time series, carry over to a very large extent when dealing with non-stationary series.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 914.
Length: 45 pages
Date of creation: Nov 1994
Date of revision:
dynamic specification; co-integration; unit roots; exogeneity;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Kevin Hoover & Stephen J. Perez, 2003.
"Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search,"
9727, University of California, Davis, Department of Economics.
- Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
- Kevin D. Hoover & Stephen J. Perez, . "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
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