A primer on unit-roots and cointegration : Cátedra de Econometría

Autores
Sosa Escudero, Walter
Año de publicación
2000
Idioma
inglés
Tipo de recurso
documento de trabajo
Estado
versión enviada
Descripción
The analysis of unit-root processes and cointegrated systems has played a prominent role in econometrics and macroeconomics in the last decade, with applications to diverse fields such as macroeconomics, finance, economic history, international economics, etc. The reasons for such a rapid expansion of the subject are its strong intuitive appeal and its highly involved technical complexity. After a decade of the publication of the seminal work by Engle and Granger (1987) cointegration and unit-root techniques have become standard elements in every applied econometrician's toolkit. These notes present an introductory and informal approach to the topic at the level of any undergratuate book in econometrics. The subject well deserves a detailed and rigurous study for which there are many specialized textbooks discussed at the end of these notes.
Departamento de Economía
Materia
Ciencias Económicas
Economía
Econometría
Indicadores económicos
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by/3.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/3479
Acceder
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repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling A primer on unit-roots and cointegration : Cátedra de EconometríaSosa Escudero, WalterCiencias EconómicasEconomíaEconometríaIndicadores económicosThe analysis of unit-root processes and cointegrated systems has played a prominent role in econometrics and macroeconomics in the last decade, with applications to diverse fields such as macroeconomics, finance, economic history, international economics, etc. The reasons for such a rapid expansion of the subject are its strong intuitive appeal and its highly involved technical complexity. After a decade of the publication of the seminal work by Engle and Granger (1987) cointegration and unit-root techniques have become standard elements in every applied econometrician's toolkit. These notes present an introductory and informal approach to the topic at the level of any undergratuate book in econometrics. The subject well deserves a detailed and rigurous study for which there are many specialized textbooks discussed at the end of these notes.Departamento de Economía2000-03info:eu-repo/semantics/workingPaperinfo:eu-repo/semantics/submittedVersionDocumento de trabajohttp://purl.org/coar/resource_type/c_8042info:ar-repo/semantics/documentoDeTrabajoapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/3479enginfo:eu-repo/semantics/altIdentifier/url/http://www.depeco.econo.unlp.edu.ar/trabdoce/docen3.pdfinfo:eu-repo/semantics/altIdentifier/issn/2347-0313info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/3.0/Creative Commons Attribution 3.0 Unported (CC BY 3.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-10T11:52:36Zoai:sedici.unlp.edu.ar:10915/3479Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-10 11:52:36.567SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv A primer on unit-roots and cointegration : Cátedra de Econometría
title A primer on unit-roots and cointegration : Cátedra de Econometría
spellingShingle A primer on unit-roots and cointegration : Cátedra de Econometría
Sosa Escudero, Walter
Ciencias Económicas
Economía
Econometría
Indicadores económicos
title_short A primer on unit-roots and cointegration : Cátedra de Econometría
title_full A primer on unit-roots and cointegration : Cátedra de Econometría
title_fullStr A primer on unit-roots and cointegration : Cátedra de Econometría
title_full_unstemmed A primer on unit-roots and cointegration : Cátedra de Econometría
title_sort A primer on unit-roots and cointegration : Cátedra de Econometría
dc.creator.none.fl_str_mv Sosa Escudero, Walter
author Sosa Escudero, Walter
author_facet Sosa Escudero, Walter
author_role author
dc.subject.none.fl_str_mv Ciencias Económicas
Economía
Econometría
Indicadores económicos
topic Ciencias Económicas
Economía
Econometría
Indicadores económicos
dc.description.none.fl_txt_mv The analysis of unit-root processes and cointegrated systems has played a prominent role in econometrics and macroeconomics in the last decade, with applications to diverse fields such as macroeconomics, finance, economic history, international economics, etc. The reasons for such a rapid expansion of the subject are its strong intuitive appeal and its highly involved technical complexity. After a decade of the publication of the seminal work by Engle and Granger (1987) cointegration and unit-root techniques have become standard elements in every applied econometrician's toolkit. These notes present an introductory and informal approach to the topic at the level of any undergratuate book in econometrics. The subject well deserves a detailed and rigurous study for which there are many specialized textbooks discussed at the end of these notes.
Departamento de Economía
description The analysis of unit-root processes and cointegrated systems has played a prominent role in econometrics and macroeconomics in the last decade, with applications to diverse fields such as macroeconomics, finance, economic history, international economics, etc. The reasons for such a rapid expansion of the subject are its strong intuitive appeal and its highly involved technical complexity. After a decade of the publication of the seminal work by Engle and Granger (1987) cointegration and unit-root techniques have become standard elements in every applied econometrician's toolkit. These notes present an introductory and informal approach to the topic at the level of any undergratuate book in econometrics. The subject well deserves a detailed and rigurous study for which there are many specialized textbooks discussed at the end of these notes.
publishDate 2000
dc.date.none.fl_str_mv 2000-03
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
info:eu-repo/semantics/submittedVersion
Documento de trabajo
http://purl.org/coar/resource_type/c_8042
info:ar-repo/semantics/documentoDeTrabajo
format workingPaper
status_str submittedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/3479
url http://sedici.unlp.edu.ar/handle/10915/3479
dc.language.none.fl_str_mv eng
language eng
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info:eu-repo/semantics/altIdentifier/issn/2347-0313
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by/3.0/
Creative Commons Attribution 3.0 Unported (CC BY 3.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/3.0/
Creative Commons Attribution 3.0 Unported (CC BY 3.0)
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
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reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
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repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
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