Cointegration and Unit Roots: A Survey

Dolado, Juan, Jenkinson, Tim and Sosvilla-Rivero, Simon (1990) Cointegration and Unit Roots: A Survey. Journal of Economic Surveys, 4 (3). pp. 249-273.

Abstract

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.

Item Type: Article
Keywords: Unit root; cointegration; trends; error correction mechanisms; finance
Subject(s): Finance
Private equity
Centre: Oxford Private Equity Institute
Date Deposited: 11 Jan 2012 16:22
Last Modified: 24 Feb 2017 15:22
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/1392

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