Unit Roots, Cointegration, and Structural Change by G S Maddala

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Unit Roots, Cointegration, and Structural Change by G S Maddala

Summary

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.

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Unit Roots, Cointegration, and Structural Change by G S Maddala

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
SKU Unavailable
ISBN 13 9780521587822
ISBN 10 0521587824
Title Unit Roots, Cointegration, and Structural Change
Author G S Maddala
Series Themes In Modern Econometrics
Condition Unavailable
Binding Type Paperback
Publisher Cambridge University Press
Year published 1999-01-21
Number of pages 524
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note Unavailable