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Unit Roots, Cointegration, and Structural Change

Name: Unit Roots, Cointegration, and Structural Change
Brand: Cambridge University Press
SKU: 02036413
Price: 22305 HUF
Availability: InStock
Author: G. S. MaddalaIn-Moo Kim
ISBN: 9780521587822

G. S. MaddalaIn-Moo Kim

Language

English

Book Paperback

Libristo code: 02036413

Publishers Cambridge University Press, January 1999

Time series analysis has undergone many changes in recent years with the advent of unit roots and co... Full description

Libristo code: 02036413

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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.

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About the book

Full name Unit Roots, Cointegration, and Structural Change

Author G. S. MaddalaIn-Moo Kim

Language

English

Binding Book - Paperback

Date of issue 1999

Number of pages 524

EAN 9780521587822

ISBN 0521587824

Libristo code 02036413

Publishers Cambridge University Press

Weight 766

Dimensions 153 x 229 x 27

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