Unit Roots, Cointegration, and Structural Change

G S Maddala

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Idioma: inglés

Editorial: Cambridge University Press, 1999

0521587824 / 9780521587822

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Descripción del artículo del vendedor

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.

N° de ref. del artículo CIN0521587824G

Título
Unit Roots, Cointegration, and Structural Change
Autor
G S Maddala
Editorial
Cambridge University Press
Año de publicación
1999
Estado
Good
Encuadernación
Paperback
Idioma
inglés
ISBN 10
0521587824
ISBN 13
9780521587822

World of Books Inc

Montgomery, IL, Estados Unidos de America

Vendedor de 4 estrellas

Vendedor de IberLibro desde 23 de marzo de 2026

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