Unit roots, cointegration, and structural change by Maddala G.S., Kim I. M.

Unit roots, cointegration, and structural change



Unit roots, cointegration, and structural change book download




Unit roots, cointegration, and structural change Maddala G.S., Kim I. M. ebook
Page: 524
Publisher: CUP
Format: djvu
ISBN: 0521582571,


Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Keywords: Fiscal Sustainability, Panel Unit Root tests, Panel Cointegration tests, Structural. Cambridge, UK: Cambridge University Press. Unit Roots, Cointegration, and Structural Change Average Reviews: (More customer reviews)This is a book on specialized topics in econometric modeling. JEL Classification: C22, C23, H62. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. Adding the lagged variables (usually at the rate corresponding to n/3, where n is the sample size) removes distortions to the level of statistical significance but lowers the power of the test to detect a unit root when one is present. I´m trying to conduct a cointegration analysis (Engle-Granger two step method) on some pair of stocks. If possible, I would like to Unit roots, cointegration, and structural change / G.S. Kim (1998), Unit Roots, Cointegration and Structural Change.