Unit Roots, Cointegration, and Structural Change

A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

G. S. Maddala (Author), In-Moo Kim (Author)

9780521587822, Cambridge University Press

Paperback, published 21 January 1999

524 pages, 21 tables
23.3 x 15.1 x 2.8 cm, 0.828 kg

"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

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.

Figures
Tables
Preface
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.

Subject Areas: Econometrics [KCH]