This paper provides a selective survey of the recent literature of unit root econometrics. Since the seminal work of Nelson and Plosser (1982) was published, much theoretical and empirical research has been done in the area of unit root nonstationarity. Nelson and Plosser found that the null...

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments...