Department of Economics
270 Bay State Road
Boston, MA 02215
Institutional Affiliation: Boston University
Information about this author at RePEc
NBER Working Papers and Publications
|April 1991||Pitfalls 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: NBER Macroeconomics Annual 1991, Vol. 6, eds. O.J. Blanchard and S. Fischer , Cambridge: MIT Press, January 1992.
|January 1991||Pitfalls 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 1985||Testing 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.