Unit Roots, Cointegration, and Structural Change / Edition 1

Unit Roots, Cointegration, and Structural Change / Edition 1

by G. S. Maddala, In-Moo Kim
     
 

ISBN-10: 0521587824

ISBN-13: 9780521587822

Pub. Date: 05/28/2007

Publisher: Cambridge University Press

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

Overview

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.

Product Details

ISBN-13:
9780521587822
Publisher:
Cambridge University Press
Publication date:
05/28/2007
Series:
Themes in Modern Econometrics Series
Edition description:
New Edition
Pages:
505
Product dimensions:
5.98(w) x 8.98(h) x 1.06(d)

Table of Contents

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.

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