The article reviews key developments in analyzing nonstationary time series in economics. It explains the concept of nonstationarity, where data processes contain unit roots, and distinguishes between different types of nonstationarity. The article discusses how structural vector autoregressions may not provide accurate results and introduces the concepts of spurious and nonsense regression. It also covers statistical tests for unit roots and cointegration, highlighting the importance of super-consistent parameter estimates for cointegrated variables. Additionally, panel unit root tests and cointegration tests for panel data are reviewed, along with the introduction of ARCH models to analyze heteroscedasticity.