Levels, Differences and ECMs – Principles for Improved Econometric Forecasting*
探讨单位根与协整检验在模型开发中的作用，基于模拟与实证证据，推荐使用这些检验来改进初始向量自回归模型的设定，以提升预测效果。
Abstract Unit‐root testing can be a preliminary step in model development, an intermediate step, or an end in itself. Some researchers have questioned the value of any unit‐root and cointegration testing, arguing that restrictions based on theory are at least as effective. Such confusion is unsatisfactory. Needed is a set of principles that limit and define the role of the tacit knowledge of the model builders. In a forecasting context, we enumerate the various possible model selection strategies and, based on simulation and empirical evidence, recommend using these tests to improve the specification of an initial general vector autoregression model.