Unit Roots in Macroeconomic Time Series: Some Critical Issues

31 Pages Posted: 9 Nov 2012

See all articles by Bennett T. McCallum

Bennett T. McCallum

Carnegie Mellon University - David A. Tepper School of Business; National Bureau of Economic Research (NBER)

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Date Written: 1993

Abstract

The relevant question concerning “unit roots” in the U.S. real GNP time series pertains to the relative importance of difference-stationary and trend-stationary components. Various analytical approaches indicate that an accurate answer is not obtainable with existing data. Also considered is whether trending series should be differenced prior to use in regression analysis. In addition, it is argued that the absence of cointegration among variables does not imply the absence of any practicality useful long-run relationship.

Suggested Citation

McCallum, Bennett T., Unit Roots in Macroeconomic Time Series: Some Critical Issues (1993). FRB Richmond Economic Quarterly, vol. 79, no. 2, Spring 1993, pp. 13-43. Available at SSRN: https://ssrn.com/abstract=2129288

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