NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Pierre Perron

Department of Economics
Boston University
270 Bay State Road
Boston, MA 02215

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

April 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots
with John Y. Campbell: t0100
This 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 ...

Published:

January 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots
with John Y. Campbell
in NBER Macroeconomics Annual 1991, Volume 6, Olivier Jean Blanchard and Stanley Fischer, editors
April 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation
with Robert J. Shiller: t0045
Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.

Published: Perron, Pierre and Robert J. Shiller. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Economic Letters, Vol. 18, 1985,pp. 381-386.

 
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