Unit Roots, Cointegration and Structural Change

G. S. Maddala

ISBN 10: 0521587824 / ISBN 13: 9780521587822

Published by Cambridge University Press, 2008

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9780521587822

Bibliographic Details

• Title: Unit Roots, Cointegration and Structural Change
• Publisher: Cambridge University Press
• Publication Date: 2008
• Language: English
• ISBN 10: 0521587824
• ISBN 13: 9780521587822
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 229W x 152H x 28D millimeters 229 millimeters width by 152 millimeters height by 28 millimeters depth
• Weight: 750 grams

About this title

Synopsis

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.

About the Author

G.S. MADDALA passed away in June 1999 and had been a leading figure in the econometrics profession for more than three decades. At the time of his death, he held the University Eminent Scholar Professorship in the Department of Economics at Ohio State University. His previous university affiliations include Stanford University, University of Rochester and University of Florida.