Unit Roots, Cointegration, and Structural Change

G.S. Maddala, In-Moo Kim - Collection Themes in modern econometrics

505 pages, parution le 28/04/2004

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Résumé

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.

Sommaire

Introduction and basic concepts
Unit roots and cointegration
Extensions of the basic model
Structural change

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	G.S. Maddala, In-Moo Kim
Collection	Themes in modern econometrics
Parution	28/04/2004
Nb. de pages	505
Format	15 x 22,5
Couverture	Broché
Poids	820g
Intérieur	Noir et Blanc
EAN13	9780521587822
ISBN13	978-0-521-58782-2