A Perspective on Unit Root and Cointegration in Applied Macroeconomics

Weshah Razzak

International Journal of Applied Econometrics and Quantitative Studies, 2007, vol. 4, issue 1, 77-102

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 E1 F4 (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.usc.es/economet/reviews/ijaeqs416.pdf
No

Related works:
Working Paper: A Perspective on Unit Root and Cointegration in Applied Macroeconomics (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eaa:ijaeqs:v:4:y2007:i:1_6

Ordering information: This journal article can be ordered from
http://www.usc.es/economet/info.htm

Access Statistics for this article

More articles in International Journal of Applied Econometrics and Quantitative Studies from Euro-American Association of Economic Development
Bibliographic data for series maintained by M. Carmen Guisan ().