Cointegration and Unit Roots

Juan Dolado, Tim Jenkinson and Simon Sosvilla-Rivero

Journal of Economic Surveys, 1990, vol. 4, issue 3, 249-73

Abstract: This paper provides an updated survey of a burgeoning literature in testing, estimation and model specification in the presence of integrated variables. Integrated variables are a specific class of non-stationary variables which seem to characterize faithfully the properties of many macroeconomic tie seris. The analysis of cointegration develops out of the esxistence 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. Copyright 1990 by Blackwell Publishers Ltd

Date: 1990
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