A Perspective on Unit Root and Cointegration in Applied Macroeconomics

Weshah Razzak

MPRA Paper from University Library of Munich, Germany

Abstract: I discuss econometric issues of high relevance to economists in central banks whose job is to interpret the permanency of shocks and provide policy advice to policymakers. Trend, unit root, and persistence are difficult to interpret. There are numerous econometric tests, which vary in their power and usefulness. I provide a set of strategies on dealing with macro time series.

Keywords: Unit root; trend; persistence; cointegration (search for similar items in EconPapers)
JEL-codes: C13 C22 F4 (search for similar items in EconPapers)
Date: 2003, Revised 2007
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A Perspective on Unit Root and Cointegration in Applied Macroeconomics (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1970

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