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  1. Home
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  3. Unit Roots, Cointegration, and Structural Change
  • Cited by 184
Publisher:
Cambridge University Press
Online publication date:
August 2010
Print publication year:
1999
Online ISBN:
9780511751974
DOI:
https://doi.org/10.1017/CBO9780511751974
Subjects:
Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability
Series:
Themes in Modern Econometrics
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Book description

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.

Reviews

"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

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