Authors
Pierre Perron
Publication date
1994
Book
Cointegration for the Applied Economist
Pages
113-146
Publisher
Palgrave Macmillan UK
Description
The unit root hypothesis has attracted a considerable amount of work in both the economics and statistics literature. Indeed, the view that most economic time series are characterized by a stochastic rather than deterministic nonstationarity has become prevalent. The seminal study of Nelson and Plosser (1982) which found that most macroeconomic variables have a univariate time series structure with a unit root has catalysed a burgeoning research program with both empirical and theoretical dimensions.
Total citations
Scholar articles
P Perron - Cointegration: for the Applied Economist, 1994
P Perron - 1994
P Perron, BB Rao - Ed. E. Rao, 1994
P Perron, UR Trend - Cointegration for the Applied Economists