Unit Roots, Cointegration and Structural Change

ISBN-13: 9780521587822 / Angielski / Miękka / 1999 / 524 str.

G. S. Maddala; In-Moo Kim

Opis

Time series analysis has undergone many changes during recent years with the advent of unit roots and cointegration. This textbook by G. S. Maddala and In-Moo Kim is based on a successful lecture program and provides a comprehensive review of these topics as well as structural change. G. S. Maddala is one of the most distinguished writers of graduate and undergraduate econometrics textbooks today and Unit Roots, Cointegration and Structural Change represents a major contribution that will be of interest both to specialists and graduate and undergraduate students.

Recenzje

"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

Spis treści

Figures; Tables; Preface; Part I. Introduction and Basic Concepts; 1. Introduction; 2. Basic concepts; Part II. Unit Roots and Cointegration: 3. Unit roots; 4. Issues in unit root testing; 5. Estimation of cointegrated systems; 6. Tests for cointegration; 7. Econometric modeling with integrated regressors; Part III. Extensions of the Basic Model: 8. The Bayesian analysis of stochastic trends; 9. Fractional unit roots and fractional cointegration; 10. Small sample inference: bootstrap methods; 11. Cointegrated systems with I(2) variables; 12. Seasonal unit roots and seasonal cointegration; Part IV. Structural Change: 13. Structural change, unit roots and cointegration; 14. Outliers and unit roots; 15. Regime switching models and structural time series models; 16. Future directions; Appendix I. A brief guide to asymptotic theory; Author index; Subject index.