Dolado, Juan, Jenkinson, Tim and Sosvilla-Rivero, Simon (1990) Cointegration and Unit Roots: A Survey. Journal of Economic Surveys, 4 (3). pp. 249-273.
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:||Unit root; cointegration; trends; error correction mechanisms; finance|
|Centre:||Oxford Private Equity Institute|
|Date Deposited:||11 Jan 2012 16:22|
|Last Modified:||24 Feb 2017 15:22|
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