
Unit Roots, Cointegration, and Structural Change
Cambridge University Press
Published on 21. January 1999
Book
Paperback/Softback
524 pages
978-0-521-58782-2 (ISBN)
Description
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.
Reviews / Votes
"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 ReviewsMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
College/higher education
Product notice
Paperback (trade)
Illustrations
21 Tables, unspecified
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 28 mm
Weight
750 gr
ISBN-13
978-0-521-58782-2 (9780521587822)
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Schweitzer Classification
Other editions
Additional editions

G. S. Maddala | In-Moo Kim
Unit Roots, Cointegration, and Structural Change
Book
01/1999
Cambridge University Press
€52.71
Article exhausted; check for reprint
Previous edition

G. S. Maddala | In-Moo Kim
Unit Roots, Cointegration, and Structural Change
Book
01/1999
Cambridge University Press
€52.71
Article exhausted; check for reprint
Persons
Content
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.