Time-Series-Based Econometrics

In the last decade, there have been rapid and enormous developments in the field of unit roots and cointegration, but this progress has taken divergent directions, and has been subjected to criticism from outside the field. This book responds to those criticisms, clearly relating cointegration to economic theories and describing cointegrated regression as a revolution in econometric methods for macroeconomics. It provides a guide for the selection of appropriate inference methods to study macroeconomic relations.