Abstract
In the field of modeling economic time series, the 1980s might easily be described as the decade of cointegration. During this decade, theoretical and applied econometricians alike invested a great deal of effort in dealing with the theoretical and empirical implications of Nelson and Plosser’s (1982) central observation that time series of important economic variables such as consumption and per capita GNP may have statistical properties quite distinct from those that would warrant the use of standard tools, such as normal, t-, and F-tables, of inference and estimation.
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Banerjee, A. (1995). Dynamic Specification and Testing for Unit Roots and Cointegration. In: Hoover, K.D. (eds) Macroeconometrics. Recent Economic Thought Series, vol 46. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-0669-6_12
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DOI: https://doi.org/10.1007/978-94-011-0669-6_12
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