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Part I - Introduction and basic concepts

Published online by Cambridge University Press:  04 August 2010

G. S. Maddala  and
In-Moo Kim
In-Moo Kim
Affiliation:
Sungkyunkwan University, Seoul
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Summary

This part consists of two chapters. Chapter 1 is just an outline of the book. Chapter 2 introduces the basic concepts: stochastic processes; stationarity, the different kinds of commonly used stationary models (MA, AR, ARMA), Box-Jenkins methods; integrated variables and cointegration; spurious regression; deterministic and stochastic trend; detrending methods; VAR, ECM, ADL models; tests for unit root and cointegration.

All these topics are pursued in subsequent chapters and some of the statements made here (regarding unit root and cointegration tests) are qualified in subsequent chapters. The point here is to explain what all these terms mean.

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Information
Unit Roots, Cointegration, and Structural Change , pp. 1 - 2
Publisher: Cambridge University Press
Print publication year: 1999

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