Abstract: This book presents the most recent development in econometrics, namely the unit-root field including error correction and co-integration. It explains statistical procedures in detail, and emphasizes the results of applications. The book is divided into two parts. Part I deals with the univariate unit root, i.e. to see if a stochastic trend is present when each time series is analysed separately. Part II discusses co-integration, i.e. the empirical investigation of long-run relationships among a number of time series.

Keywords: econometrics, unit root, error correction, co-integration, time series