TY  - JOUR
AU  - McCallum,Bennett T.
TI  - Unit Roots in Macroeconomic Time Series: Some Critical Issues
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4368
PY  - 1993
Y2  - September 1993
UR  - http://www.nber.org/papers/w4368
L1  - http://www.nber.org/papers/w4368.pdf
N1  - Author contact info:
Bennett T. McCallum
Tepper School of Business, Posner 256
Carnegie Mellon University
Pittsburgh, PA 15213
Tel: 412/268-2347
Fax: 412/268-6830
E-Mail: bm05@andrew.cmu.edu
AB  - This paper suggests that the relevant question concerning  unit root' in the U.S. real GNP time series pertains to the relative importance of difference-stationary and trend-stationary components. Various analytical approaches indicate than an accurate answer is not obtainable with existing data. The paper next considers whether trending series should be differences prior to use in regression analysis and suggests it may not matter greatly if autocorrelated residuals are avoided. Finally, the paper argues that the absence of cointegration among variables does not imply the absence of any practically useful long-run relationship.
ER  -