AUTHOR: Mara D. Neusel TITLE: Unstable Cohen--Macaulay Algebras Mathematical Research Letters -- to appear -- We characterize Cohen--Macaulay algebras in the category $K_{fg}$ of unstable Noetherian algebras over the Steenrod algebra via the depth of the $P^*$-invariant ideals. This allows us to transfer the Cohen--Macaulay property to suitable subalgebras. We apply this to rings of invariants of finite groups and to the $P^*$-inseparable closure. AMS CODE: 55S10 Steenrod Algebra, 13XX Commutative Rings and Algebras, 55XX Algebraic Topology} KEY WORDS: Steenrod Algebra, Cohen--Macaulay Algebras, Unstable Algebras, $P^*$-Invariant Prime Ideal Spectrum, $P^*$-Inseparable Closure, Polynomial Invariants of Finite Groups