02238cam a22002537 4500001000600000003000500006005001700011008004100028100002200069245014200091260006600233490005100299500001600350520106800366530006101434538007201495538003601567690017001603700002001773710004201793830008601835856003701921856002601958t0100NBER20140711015713.0140711s1991 mau||||fs|||| 000 0 eng d1 aCampbell, John Y.10aPitfalls and Opportunitiesh[electronic resource]:bWhat Macroeconomists Should Know About Unit Roots /cJohn Y. Campbell, Pierre Perron. aCambridge, Mass.bNational Bureau of Economic Researchc1991.1 aNBER technical working paper seriesvno. t0100 aApril 1991.3 aThis 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. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aC32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes2Journal of Economic Literature class.1 aPerron, Pierre.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0100.4 uhttp://www.nber.org/papers/t0100 uurn:doi:10.3386/t0100