Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189235 
Year of Publication: 
1994
Series/Report no.: 
Queen's Economics Department Working Paper No. 914
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
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.
Subjects: 
dynamic specification
co-integration
unit roots
exogeneity
JEL: 
C10
C13
C51
C52
Document Type: 
Working Paper

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