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Dynamic Specification and Testing for Unit Roots and Co-Integration

Author

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  • Anindya Banerjee

Abstract

This 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.

Suggested Citation

  • Anindya Banerjee, 1994. "Dynamic Specification and Testing for Unit Roots and Co-Integration," Working Papers 914, Queen's University, Department of Economics.
  • Handle: RePEc:qed:wpaper:914
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_914.pdf
    File Function: First version 1994
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    Cited by:

    1. 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.

    More about this item

    Keywords

    dynamic specification; co-integration; unit roots; exogeneity;

    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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