Unit Roots, Cointegration, and Structural Change
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Unit Roots, Cointegration, and Structural Change by G. S. Maddala
Book DescriptionTime 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.
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Book DetailsISBN: 9780521587822
(228mm x 152mm x 27mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 21-Jan-1999
Country of Publication: United Kingdom
Books By Author G. S. Maddala
Introduction to Econometrics, Paperback (October 2009)
Now in its fourth edition, this landmark text provides a fresh, accessible and well-written introduction to the subject. With a rigorous pedagogical framework, which sets it apart from comparable texts, the latest edition features an expanded website providing numerous real life data sets and examples.
Limited-Dependent and Qualitative Variables in Econometrics, Paperback (June 1986)» View all books by G. S. Maddala
This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated.
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