Munich Personal RePEc Archive

A Perspective on Unit Root and Cointegration in Applied Macroeconomics

Razzak, Weshah (2003): A Perspective on Unit Root and Cointegration in Applied Macroeconomics. Forthcoming in: The International Journal of Applied Econometrics and Quantitative Studies , Vol. Vol 1, No. Issue (2007)

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Abstract

I discuss econometric issues of high relevance to economists in central banks whose job is to interpret the permanency of shocks and provide policy advice to policymakers. Trend, unit root, and persistence are difficult to interpret. There are numerous econometric tests, which vary in their power and usefulness. I provide a set of strategies on dealing with macro time series.

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