Unit Roots, Cointegration, and Structural Change
G S Maddala author In-Moo Kim author
Format:Paperback
Publisher:Cambridge University Press
Published:21st Jan '99
Currently unavailable, and unfortunately no date known when it will be back
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Time series analysis has undergone many changes during recent years with the advent of unit roots and cointegration. This textbook by best-selling author G. S. Maddala and In-Moo Kim is based on a successful lecture programme and provides a comprehensive review of these topics as well as of 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 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.
"This well-written book is sure to become a must-read for empirical researchers as well as upper-level graduate students who are contemplating dissertation work in theoretical time series econometrics...This book is a welcome addition to books on time series analysis." Mathematical Reviews
ISBN: 9780521587822
Dimensions: 233mm x 151mm x 28mm
Weight: 828g
524 pages