Unit Roots, Cointegration, and Structural Change
Home > Business and Economics > Economics > Econometrics and economic statistics > Unit Roots, Cointegration, and Structural Change: (Themes in Modern Econometrics)
Unit Roots, Cointegration, and Structural Change: (Themes in Modern Econometrics)

Unit Roots, Cointegration, and Structural Change: (Themes in Modern Econometrics)


     0     
5
4
3
2
1



Out of Stock


Notify me when this book is in stock
X
About the Book

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.

Table of Contents:
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.

Review :
"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


Best Sellers


Product Details
  • ISBN-13: 9780511751974
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press (Virtual Publishing)
  • Language: English
  • ISBN-10: 0511751974
  • Publisher Date: 04 Aug 2010
  • Binding: Digital download and online
  • Series Title: Themes in Modern Econometrics


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Unit Roots, Cointegration, and Structural Change: (Themes in Modern Econometrics)
Cambridge University Press -
Unit Roots, Cointegration, and Structural Change: (Themes in Modern Econometrics)
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Unit Roots, Cointegration, and Structural Change: (Themes in Modern Econometrics)

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals


    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!