ABSTRACT
This chapter addresses regression estimation problems that typically arise when using time series data. (Readers not familiar with time series analysis should read the appendices to this chapter, which cover topics such as autoregressive and moving-average processes, autoregressive distributed lag (ADL) processes, unit root processes, integrated processes, cointegrated processes, etc.) In particular, we shall examine the detection of so-called unit roots, testing for cointegration among integrated series, and the use of an error-correcting term as a regressor.
