Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots / John Y. Campbell, Pierre Perron.

Format:

Book

Author/Creator:

Campbell, John Y.

Contributor:

National Bureau of Economic Research.

Perron, Pierre.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0100.

NBER technical working paper series no. t0100

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Pitfalls and Opportunities

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1991.

Summary:

This paper is an introduction to unit root econometrics as applied in macroeconomics. The paper first discusses univariate time series analysis, emphasizing the following topics: alternative representations of unit root processes, unit root testing procedures, the power of unit root tests, and the interpretation of unit root econometrics in finite samples. A second part of the paper tackles similar issues in a multivariate context where cointegration is now the central concept. The paper reviews representation, testing, and estimation of multivariate time series models with some unit roots. Two important themes of this paper are first, the importance of correctly specifying deterministic components of the series; and second, the usefulness of unit root tests not as methods to uncover some -true relation" but as practical devices that can be used to impose reasonable restrictions on the data and to suggest what asymptotic distribution theory gives the best approximation to the finite-sample distribution of coefficient estimates and test statistics.

Notes:

Print version record

April 1991.