Unit Roots, Cointegration, and Structural Change

Name: Unit Roots, Cointegration, and Structural Change
Brand: Cambridge University Press
SKU: 9780521587822
Price: 52.71 EUR
Availability: InStock

Autor: G. S. MaddalaIn-Moo Kim

Jazyk:

Väzba: Brožovaná

Vydavateľ: Cambridge University Press

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52.71 €

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

Informácie o knihe

Autor

G. S. MaddalaIn-Moo Kim

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

1999

Stránok

524

EAN

9780521587822

ISBN

0521587824

Enbook ID

02036413

Vydavateľ

Cambridge University Press

Hmotnosť

766

Rozmery

153 x 229 x 27

Kompletný popis

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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Unit Roots, Cointegration, and Structural Change

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