Unit Roots, Cointegration, and Structural Change

Name: Unit Roots, Cointegration, and Structural Change
Brand: Cambridge University Press
SKU: 9780521587822
Price: 1277 CZK
Availability: InStock

Autor: G. S. MaddalaIn-Moo Kim

Jazyk:

Vazba: Brožovaná

Vydavatel: Cambridge University Press

Dostupnost: Skladem u dodavatele

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

Informace o knize

Autor

G. S. MaddalaIn-Moo Kim

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

1999

Stránek

524

EAN

9780521587822

ISBN

0521587824

Enbook ID

02036413

Vydavatel

Cambridge University Press

Hmotnost

766

Rozměry

153 x 229 x 27

Kompletní 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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