National Science Library of Georgia

Image from Google Jackets

Unit roots, cointegration, and structural change / G.S. Maddala, In-Moo Kim.

By: Contributor(s): Material type: TextTextSeries: Themes in modern econometricsPublisher: Cambridge : Cambridge University Press, 1998Description: 1 online resource (xviii, 505 pages) : digital, PDF file(s)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9780511751974 (ebook)
Other title:
  • Unit Roots, Cointegration, & Structural Change
Subject(s): Additional physical formats: Print version: : No titleDDC classification:
  • 330/.01/5195 21
LOC classification:
  • HB139 .M3555 1998
Online resources:
Contents:
1. Heterogeneity 2. Authorship 3. Copyright 4. The formation of cultural identities 5. The pedagogy of literature 6. Philosophy 7. The bestseller 8. Globalization.
Summary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
No physical items for this record

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

1. Heterogeneity 2. Authorship 3. Copyright 4. The formation of cultural identities 5. The pedagogy of literature 6. Philosophy 7. The bestseller 8. Globalization.

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.

There are no comments on this title.

to post a comment.
Copyright © 2023 Sciencelib.ge All rights reserved.