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Unit Roots and Cointegration: A Panel Discussion with David Hendry, Peter Phillips, Katarina Juselius, and Søren Johansen

Author

Listed:
  • Neil R. Ericsson

  • Andrew B. Martinez

Abstract

In April 2025, the Department of Economics at the University of Oxford hosted the "Workshop to Celebrate Forty Years of Unit Roots and Cointegration", which commemorated the 40th anniversary of the Oxford Bulletin of Economics and Statistics’s 1986 special issue "Economic Modelling With Cointegrated Variables". The current article summarizes that workshop's panel discussion with major contributors to the literature on cointegration-David Hendry, Peter Phillips, Katarina Juselius, and Soren Johansen—and includes additional remarks by Martin Ellison and the conference's audience. The discussion highlights key roles that the panelists and the Bulletin have played in advancing the literature on cointegration.

Suggested Citation

  • Neil R. Ericsson & Andrew B. Martinez, 2026. "Unit Roots and Cointegration: A Panel Discussion with David Hendry, Peter Phillips, Katarina Juselius, and Søren Johansen," Working Papers 2026-009, The George Washington University, The Center for Economic Research.
    • Handle: RePEc:gwc:wpaper:2026-009
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    References listed on IDEAS

    as
    1. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
    2. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-563, September.
    3. Peter C.B. Phillips, 1987. "Multiple Regression with Integrated Time Series," Cowles Foundation Discussion Papers 852, Cowles Foundation for Research in Economics, Yale University.
    4. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
    5. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
    6. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    7. Peter C. B. Phillips & Mico Loretan, 1991. "Estimating Long-run Economic Equilibria," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 407-436.
    8. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    9. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    10. Carlos Santos & David Hendry & Soren Johansen, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 317-335, April.
    11. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
    12. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • N1 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations

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