What Should Macroeconomists Know About Unit Roots?

Research
Written By John Cochrane

1991 NBER Macroeconomics Annual 6, (1991), 201-210. Comments on ‘Pitfalls and Opportunities: What  Macroeconomists Should  Know  About  Unit  Roots’” by John Campbell, JSTOR Another blistering critique of the (mis) use of unit root econometrics.

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John Cochrane
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A Critique of The Application of Unit Root Tests
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Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations.