Unit roots, cointegration, and structural change
Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap…
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- Full title :Unit roots, cointegration, and structural change / G.S. Maddala, In-Moo Kim.
Summary
Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap methods for small-sample inference. The chapters on structural change discuss the problems of unit root tests and cointegration under structural change, outliers and robust methods, the Markov-switching model and Harvey's structural time series model. Unit Roots, Cointegration and Structural Change is a major contribution to Themes in Modern Econometrics, of interest both to specialists and graduate and upper-undergraduate students.
Read More ↓Edition Statements
- Publication Date:1998
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge
- Language:eng
- Publication Date:1998
Notes
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
The Physical Object
- Description:1 online resource (xviii, 505 Seiten)
Edition Identifiers
- ISBN:9780511751974, 0511751974, 9780521582575, 0521582571, 9780521587822, 0521587824
- DOI:10.1017/CBO9780511751974
- oclc:ocn967402850
- LC Classification:HB139
- Dewey Decimal:330/.01/5195
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