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  3. Unit Roots, Cointegration, and Structural Change
  • Cited by 197
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    • Publisher:
      Cambridge University Press
      Publication date:
      August 2010
      January 1999
      ISBN:
      9780511751974
      9780521587822
      DOI:
      https://doi.org/10.1017/CBO9780511751974
      Dimensions:
      Weight & Pages:
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.828kg, 524 Pages
      • Subjects:
      Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability
      Series:
      Themes in Modern Econometrics
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    Subjects:
    Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability
    Series:
    Themes in Modern Econometrics
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    Book 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

    "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

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