Unit Roots in Macroeconomic Time Series: Some Critical Issues

Bennett McCallum

No 4368, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper suggests that the relevant question concerning unit root' in the U.S. real GNP time series pertains to the relative importance of difference-stationary and trend-stationary components. Various analytical approaches indicate than an accurate answer is not obtainable with existing data. The paper next considers whether trending series should be differences prior to use in regression analysis and suggests it may not matter greatly if autocorrelated residuals are avoided. Finally, the paper argues that the absence of cointegration among variables does not imply the absence of any practically useful long-run relationship.

JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 1993-05
Note: EFG ME
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Citations: View citations in EconPapers (32)

Published as Economic Quarterly, Federal Reserve Bank of Richmond, Vol. 79, No. 2, pp. 13-44, (Spring 1993).

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Journal Article: Unit roots in macroeconomic time series: some critical issues (1993)
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