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Könyv Unit Roots, Cointegration, and Structural Change G. S. MaddalaIn-Moo Kim

Unit Roots, Cointegration, and Structural Change

Szerző: G. S. MaddalaIn-Moo Kim
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: Cambridge University Press
Elérhetőség: Beszállítói készleten
Küldés 9-15 napon belül
20 927 Ft
Time series analysis has undergone many changes in recent years with the advent of unit roots and co...

Információk a könyvről

Szerző
G. S. MaddalaIn-Moo Kim
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
1999
oldal
524
EAN
9780521587822
ISBN
0521587824
Enbook ID
02036413
Kiadó
Cambridge University Press
Súly
766
Méretek
153 x 229 x 27

Teljes leírás

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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