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Unit Roots, Cointegration, and Structural Change

$58.00 ( ) USD

Part of Themes in Modern Econometrics

  • Date Published: May 2012
  • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • format: Adobe eBook Reader
  • isbn: 9781139241168

$ 58.00 USD ( )
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About the Authors
  • Time series analysis has undergone many changes during recent years with the advent of unit roots and cointegration. This textbook by G. S. Maddala and In-Moo Kim is based on a successful lecture program and provides a comprehensive review of these topics as well as structural change. G. S. Maddala is one of the most distinguished writers of graduate and undergraduate econometrics textbooks today and Unit Roots, Cointegration and Structural Change represents a major contribution that will be of interest both to specialists and graduate and undergraduate students.

    • Author (Maddala) has track record of massive sales success, including sales of 15,000 of previous book with the Press
    • A truly user-friendly textbook, which has been classroom tested as part of a successful lecture programme
    • Omission of intricate maths makes the book ideal for practitioners
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    Reviews & endorsements

    "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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    Product details

    • Date Published: May 2012
    • format: Adobe eBook Reader
    • isbn: 9781139241168
    • contains: 21 tables
    • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • Table of Contents

    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.

  • Authors

    G. S. Maddala

    In-Moo Kim, Sungkyunkwan University, Seoul

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