Dynamic Specification and Testing for Unit Roots and Co-Integration

Arbeitspapier

This paper provides an interpretation of the vast literature on testing for unit roots and estimating co-integrating relations. Emphasis is placed on identifying the particular ways in which methods of dynamic specification need to be modified in order to take account of the possible presence of unit roots in the time series being modelled. The discussion is undertaken in the settings of both single-equation and systems methods and attention is paid to problems of estimation and inference. It is argued that the importance of issues such as exogeneity and rich dynamic specification, developed in the context of stationary time series, carry over to a very large extent when dealing with non-stationary series.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 914

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; Estimation: General ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection
• Subject: dynamic specification ; co-integration ; unit roots ; exogeneity

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Banerjee, Anindya
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 1994

Further information

• Handle: http://hdl.handle.net/10419/189235
• Last update: 10.03.2025, 11:45 AM CET