Unit Roots and Cointegration for the Economist

Abstract

Previous papers by one of the authors, Perman (1989, 1991), have proved popular amongst applied economists seeking an introduction to the new econometrics of unit roots and cointegration. The aim of the present paper is, as before, to provide a comprehensive overview of the field in a manner which minimises the technical knowledge required of the reader and which offers intuitive explanations wherever possible. Other useful surveys, at a slightly higher technical level, include the special issues of the Oxford Bulletin of Economics and Statistics (March 1986, August 1992), Dolado et al . (1990) and Campbell and Perron (1991). In this introduction we motivate the study of unit roots and cointegration, and outline the contents of the rest of the chapter. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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